PhD-thesis under my supervision

I consider supervision as an essential part of my 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 within groups. 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 or do write directly to me. If you still have questions please do not hesitate to contact me.

Current (co-)supervision of PhD-theses

• Jakob Heiss, PhD-student.
• Florian Krach, PhD-student.
• Tengyingzi Perrin, PhD-student.
• Daria Sakhanda, PhD-student.
• Hanna Wutte, PhD-student.
• Ege Yilmaz, (external) PhD-student.
• Syang Zhou, PhD-student.

Completed supervision of PhD-theses

• 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.
• Christian Selinger (together with Anton Thalmaier), Wasserstein diffusions, Universite du Luxembourg 2010.
• 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.
• Nicoletta Gabrielli, Affine processes from the perspective of path space valued Levy processes, ETH Zürich 2014.
• Blanka Horvath, Robust methods for the SABR model: Analysis, Asymptotics and numerics, ETH Zürich 2015.
• Ozan Akdogan, Variance Curve models: finite dimensional realizations and beyond, ETH Zürich 2016.
• David Stefanovits, Robust calibration in yield curve modeling, ETH Zürich 2016.
• Georg Grafendorfer, Infinite dimensional affine processes, ETH Zürich 2016.
• Ozan Akdogan, Variance curve models: finite dimensional realizations and beyond, ETH Zürich 2016.
• Thomas Krabichler, Term structure modelling beyond classical paradigms, ETH Zürich 2017.
• Lukas Gonon, Calibration, filtering and hedging: non-linear information processing in mathematical finance, ETH Zürich 2018.
• Chong Liu, A tale of two minimization problems: semimartingale transportation and rough paths lifts, ETH Zürich 2019.
• Xi Kleisinger-Yu, Risk management in energy markets: analytical and machine learning perspectives, ETH Zürich 2021.
• Calypso Herrera, Machine Learning in Finance: applications of continuous depth and randomized neural networks, ETH Zürich 2021.
• Tonio Möllemann, Generalized Feller semigroups with applications to affine and polynomial processes, SNS 2022 (jointly with Christa Cuchiero)
• Matteo Gambara, Two perspectives on consistent modelling of option markets, ETH Zürich 2022.

PhD committee participation

• Stefan Waldenberger (TU Graz) 2015
• Alexandre Pannier (Imperial College) 2021
• Adeline Fermanian (Paris) 2022
• Patric Bonnier (Oxford), Pierre Bras (Paris), Alain Rossier (Oxford), Zan Zuric (Imperial College) 2023

(Co-)supervised Bachelor-, Semester-, Master-, and Diploma-theses

• 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.
• Bernhard Beni, The Lamperti Transform, Master Thesis at ETH Zürich, 2010.
• Christoph Kandetzky, Solvable Affine Term Structure Models, Master Thesis at ETH Zürich, 2011.
• Daniel Gentinetta, Polynomial processes and their applications, Master Thesis at ETH Zürich, 2011.
• Alessandro Gnoatto, Yield curve shapes for affine processes on positive definite matrices, Master thesis at ETH Zürich&UZH, 2011.
• Dilyan Stoyanov, Numerics of the Levy-driven Heath-Jarrow-Morton Model of Interest Rate Theory, Master Thesis at ETH Zürich, 2012.
• Delphine Savatier, Multiple Yield Curve Models, Master Thesis at ETH Zürich, 2013.
• Alexander Smirnov, Dual representation of American Put Option Prices in discrete time, Bachelor thesis at ETH Zürich, 2014.
• Anastasic Gavrilova, Bestimmung der Konvergenzraten gegen die Frechetverteilung mit Hilfe der Steinschen Methode, Bachelor thesis at ETH Zürich, 2014.
• Nicolas Gisler, Simulation of fractional Brownian motion, Bachelor thesis at ETH Zürich, 2015.
• Alejandro Gonzalez Cuevas, Detecting Financial Bubbles, Semesterarbveit at ETH Zürich, 2016.
• Andrea Riva, The potential approach for pricing, Bachelor thesis at ETHZürich, 2012.
• Andres Rosero, Numerics of Stochastic Partial Differential Equations and the HJM Equation, Master thesis at ETH Zürich, 2012.
• Chong Liu, A simple proof of the fundamental theorem of local martingales, Semesterarbeit at ETH Zürich, 2014.
• Chong Liu, On the Ways of Constructing Supermartingale Deflators, Master thesis at ETH Zürich, 2014.
• Aurel Tell Adler, Understanding probabilities on sentences in an expressive logic, Bachelor thesis at ETH Zürich, 2014.
• Ausano Cajrati Crivelli Mesmer Nobili, Understanding Nassim Taleb's "Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Market", Bachelor thesis at ETH Zürich, 2015.
• Ausano Cajrati Crivelli Mesmer Nobili, Improved Convergence Results for Long-Term Interest Rates, Master Thesis at ETH Zürich, 2016.