PhD-thesis under my supervision
I consider supervision as one of the beautiful parts of academic life. I expect from my students interest and passion for mathematics, for mathematics in applications (for instance in the financial industry) and for discussing all this in groups and with me. If you want to apply for a PhD-position with me please do so at
Zurich graduate School mentioning my name as a potential supervisor. If you still have questions please do not hesitate to write me an email.
Current (co-)supervision of PhD-thesis
Completed supervision of PhD-thesis
- Barbara Forster (together with Walter Schachermayer), Sensitivity Analysis for Jump-Diffusions. TU Wien 2007.
- Maria Siopacha (together with Walter Schachermayer), Taylor Expansions of Option Prices by means of Malliavin Calculus. TU Wien 2007.
- Alexander Soreff (together with Christian Schmeiser), Pathwise recombining Cubature Formulas. University of Vienna 2007.
- Thomas Steiner, The yield curve and its maxima - affine models and calibration. TU Vienna 2008.
- Christian Bayer, Selected Topics in Numerics of Stochastic Differential Equations. TU Vienna 2008.
- Martin Keller-Ressel, Affine Processes - Theory and Applications in mathematical Finance. TU Vienna 2009.
- Christa Cuchiero, Affine and polynomial processes, ETH Zürich 2011.
- Sara Karlsson (together with Walter Schachermayer), Consistent dynamic equity market code-books from a practical point of view, University Vienna 2011.
- Philipp Dörsek (together with Markus Melenk), Numerical methods for stochastic partial differential equations, TU Vienna 2011.
- Florian Leisch, Stochastic Portfolio Theory with a view towards risk management, TU Vienna 2013.
(Co-)supervised Diploma-thesis
- Irene Tscholl, Consistency Problems in Interest Rate Theory, Diploma Thesis at TU Vienna, Austria 2003.
- Barbara Forster, Cubature Formulas on Wiener Space, Diploma Thesis at TU Vienna, Austria 2003.
- Christian Bayer, Cubature on Wiener Space extended to Higher Order Operators, Diploma Thesis at TU Vienna, Austria 2004.
- Stephan Sturm, Calculation of the Greeks by Malliavin Calculus, co-supervision, Diploma Thesis at University Vienna, Austria 2004.
- Richard Warnung, Stochastic Volatility in Fixed-Income Markets, Diploma Thesis at TU Vienna, Austria 2005.
- Sebastien Bagot, Modelling Interest Rates with Wiener Chaos, Diploma Thesis at TU Vienna, Austria 2005.
- Harald Oberhauser, The chaotic Representation property for Lévy Processes, Diploma Thesis at University Vienna, Austria 2006.
- Christa Cuchiero, Affine Interest Rate Models - Theory and Practice, Diploma Thesis at TU Vienna, Austria 2006.
- Christian Selinger, Gradient Flows on the space of probability measures. On differential-geometric aspects of optimal transport, Diploma Thesis at University Vienna, Austria 2006.
- André Szabolcz Szelp, Analysis of Recovery Times, Diploma Thesis at TU Vienna, Austria 2006.
- Georg Grafendorfer, Hardening the BMV-conjecture, Diploma Thesis at TU Vienna, Austria 2007.
- Kristin Radek, Utility based asset pricing under high risk aversion, Diploma Thesis at TU Vienna, Austria 2008.
- Daniel Dvorak, Cubature on Wiener Space, Diploma Thesis at TU Vienna, Austria 2008.
- Norbert Kirchler, No arbitrage valuation of weather derivatives, Diploma Thesis at TU Vienna, Austria 2008.
- Andreas Magenschab, The potential approach to the term structure of interest rates - theory and application, Diploma Thesis at TU Vienna, Austria 2008.
- Philipp Harms, The Poincare Lemma in sub-riemannian geometry, Diploma Thesis at TU Vienna, Austria 2008.
- Philipp Wininger, Monte-Carlo Valuation of American Options, Diploma Thesis at TU Vienna, Austria 2008.
- Martin Bauer, Geodesics in subriemannian geometry, Diploma Thesis at TU Vienna, Austria 2008.
- Clarissa Modl, Critical Reading of "The (Mis)behaviour of markets" by Benoit B. Mandelbrot", Diploma Thesis at TU Vienna, Austria 2008.
