Address:Faculty of Mathematics
Site: UZA4, Room: C 405
Nordbergstraße 15
A-1090 Wien, Austria
Telephone: +43 1 4277 50725
Email:
Advisor: Walter Schachermayer, Josef Teichmann
Research interests:
My area of research is stochastic analysis.
In particular I'm interested in stochastic volatility models used in mathematical finance. Interesting subfields are;
- Modeling the volatility surface: SPDE methods, implementation of Schweizer-Wissel approach.
- Impact of modeling jumps in the underlying (SVJ-models) and of modeling jumps in the underlying and the volatility (SVJJ-models): applying Lévy-Khintchine representation, deriving implied volatilities, (see for example Gatheral (2006), or http://math.nyu.edu/fellows_fin_math/gatheral.htm ).
- Fitting of parameters: calibration to market prices, local vs. global optimization of least squared error, (see for example Mikhailov & Nögel (2003)), parameterization of the implied volatility surface, (see for example Gatheral (2006)).