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Curriculum

  • since May 2020 Professor for Quantative Riskmanagement at the department of Statistics and Operations Research at the University of Vienna
  • 2020 Professor, Université de Paris (Diderot), Laboratoire de Probabilité, Statistique et Modélisation
  • 2019 Assistant Professor, University of Economics Vienna, Department of Statistics and Mathematics
  • 2018 Habilitation in Mathematics, University of Vienna
  • 2014-2019 Universitysassistant (Postdoc), Universität Wien, Faculty for Mathematics
  • 2013-2014 Universityassistant (Postdoc), Technical University of Wien, Finance- and Insurance mathematics
  • 2011-2013 Postdoc, ETH Zürich and University of Vienna, Faculty for Mathematics
  • 2007-2011 Ph.D in Mathematics, ETH Zürich, Dissertation: Affine and polynomial processes
  • 2006-2007 Risk analyst, Allianz France, Paris
  • 2004-2005 Studies on applied Mathematics at Ecole Centrale Paris
  • 2001-2006 Studies on technical mathematics at the Technical University of Vienna, focus on economical and financial mathematics
  • 1983- born in Linz, Austria
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    Main Research Interests

  • Mathematical Finance and Quantitative Riskmanagement
    (data driven risk inference, stochastic volatility, stochastic portfolio theory, robust portfolio optimization, arbitrage theory, interest rate theory, systemic risk)
  • Machine Learning in Finance, Insurance and Economics
  • Stochastic processes in finite and infinite dimensions
  • McKean Vlasov equations, interacting particle systems and mean field games
  • Statistics of stochastic processes, statistics with high-frequency data, covariance estimation, robust model calibration
  • Universal approximation theorems in dynamic situations
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    Awards and Prizes

  • START Prize, 2019
  • Bruti-Liberati Visiting Fellowship in Sydney, 2018
  • Prix de l’Institut Europlace de Finance (EIF): Best paper award in finance for the article “A General HJM Framework for Multiple Yield Curve Modeling” jointly written with Claudio Fontana and Alessandro Gnoatto, 2017
  • Ph.D. thesis awarded with the ETH medal (granted to the best 8% of Ph.D. theses completed at ETH each year), 2012
  • Scholarships for outstanding studies awarded by the TU Vienna,2002-2004
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    Editorial activites

  • Guest Editor for the Special Issue “Machine Learning in Finance” of Mathematical Finance, January 2022
  • Associate Editor for the SIAM Journal on Financial Mathematics, January 2022
  • Associate Editor for Frontiers of Mathematical Finance,September 2021
  • Associate Editor for Stochastics,January 2021
  • Associate Editor for Mathematical Finance,January 2021
  • Associate Editor for the Journal of Computational Finance, July 2018
  • Associate Editor for Finance and Stochastics, January 2017
  • Jury member (External) jury member in several thesis, habilitation and selection committees
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    Referee Activity

  • Annals of Applied Probability
  • Electronic Journal of Probability
  • Finance and Stochastics
  • Mathematical Finance
  • SIAM Journal on Financial Mathematics
  • Sigma
  • Statistics and Probability Letters
  • Stochastic Processes and their Applications
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    Scientific Committees

  • Senior Programm Committee for ACM International Conference on AI in Finance, Member of the Scientific Committee of CFE 2021
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    Referee positions and grant review panels

  • Grant reviewer: National Science Centre, Poland (NCN)
  • Grant reviewer: Dutch Research Council (NWO)
  • Reviewer for habilitation committees, tenure committees and hiring committees
  • Jury member: Bruti Liberati prize for best thesis
  • Jury member (External) jury member in several thesis and habilitation committees
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    Memberships

  • Louis Bachelier Fellow
  • Members of the Young Academy, Austria
  • SIAM
  • Bachelier Finance Society
  • Wolfgang Pauli Institute, Vienna
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    University Service

  • Vice director of the PhD study programm in Business, Economics and Statistic, October 2022.
  • Executive board member of the research network Data Science @ Uni Vienna, October 2022.
  • External member of hiring committees
    Maître de conférence in Mathematical Finance at University of Évry Val d’Essonne and at ENSIIE, 2020.
    Full professor in Probability and Statistics at the Institut Élie Cartan of the University of Lorraine in Nancy, 2022.
  • Internal member of hiring committees
    Tenure track positions in Stochastic Methods for Data Science and in Gov- ernance, Organizational Design and Digitalization, 2020.
    Full professorship in Optimization, 2022.