About MeI am a postdoctoral researcher at the Department of Mathematics at ETH Zurich. Before I held postdoc positions at Aarhus University and at the FAM research group at TU Wien. I completed my PhD studies under the supervision of Prof. Josef Teichmann at TU Wien in January 2009. My contact details are:
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My research interestsMy area of research are stochastic processes with jumps - in particular affine processes - and their applications to stochastic volatility and interest rate modeling. I am also interested in properties and asymptotics for the implied volatility surface, and the analytical tools to study them, such as saddlepoint approximations, large deviation theory and moment explosions. On the applied side I have also done some work on LIBOR models, short rate models and model calibration. On the theoretical side affine processes are still a rich source of problems and challenges. |
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Teaching
Publications & Preprints
On convexity of solutions of ordinary differential equations: Submitted (2009). With Eberhard Mayerhofer and Alexander Smirnov
A remark on Gatheral's 'most-likely path approximation' of implied volatility: Preprint (2009)
A new approach to LIBOR modeling: Submitted (2009). Jointly with Antonis Papapantoleon and Josef Teichmann
Affine Processes are Regular: Submitted (2009). Jointly with Walter Schachermayer and Josef Teichmann
Moment Explosions in Stochastic Volatility Models: Contribution to Encyclopedia of Quantitative Finance (2009). Jointly with Peter Friz
Affine Processes - Theory and Applications in Finance: A slightly updated version of my PhD thesis. Completed in January 2009 under supervision of Josef Teichmann.
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models: Forthcoming in Mathematical Finance (2009).
Polynomial processes and their applications to mathematical finance: Joint work with Christa Cuchiero and Josef Teichmann. Submitted 2008
Forward-Start Options in the Barndorff-Nielsen-Shephard Model: Joint work with Fiodar Kilin, CQPF Working Paper Series at the Frankfurt School of Finance 2008
Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models: An article on some properties of affine term structure models. It is joint work with Thomas Steiner and has been published in Finance & Stochastics 12/2 (2008).
An Intuitive Introduction to Operator Semi-groups: A short note on operator semi-groups and generators of Markov process. Written January 2006.
Selected Talks and Presentations
Affine Processes are Regular: The slides to a talk from October 2009 at the Forschungsseminar Stochastische Analysis und Stochastik der Finanzmärkte at the Humbold University in Berlin.
A new approach to LIBOR modeling: The slides to a talk I gave in July 2009 at the Conference on stochastic processes and applications (SPA) in Berlin.
Moment Explosions and Long-Term Properties of Stochastic Volatility Models: The slides to a talk I gave in February 2009 at the Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance in Vienna.
Affine Processes and Applications to Stochastic Volatility Modelling: The slides to a talk I gave in January 2008 at the Weierstrass Institute in Berlin. The first part of this talk is a short introduction to affine processes.
Smile Asymptotics for Affine Stochastic Volatility Models: The slides to a talk I gave in November 2007 at the Mini-Workshop on Calibration, Levy processes in finance, FFT, and related issues at the Vienna University of Technology.
Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models: The slides to a talk I gave in March 2007 at the Frankfurt MathFinance Workshop 2007 at the Frankfurt School of Finance and Management.
Non-Parametric Calibration of the Barndorff-Nielsen-Shephard Model: The slides to a talk I gave in September 2006 at the Workshop on Financial Modelling with Jump Processes at the Ecole Polytechnique near Paris in France.
Recommended Links
Getting Data
- FRED - Economic data Interest rates, price indices, exchange rates and other stuff. Made available by the Federal Reserve Bank of St.Louis
- Yahoo Finance Stock quotes, etc.
- Downloading Yahoo Data How to download Yahoo finance data to spreadsheets.
Finding Papers
- NUMDAM Digitized French mathematics Journals freely available - including the famous Seminaire de Probabilites de Strasbourg and Annales de l'Institut Henri Poincare
- Google Scholar Very efficient in finding research papers
Other Stuff
- Risk Glossary Glossary for risk management and finance
- Wilmott Articles and Forums related to quantitative finance