Curriculum

since May 2020 Professor for Quantative Riskmanagement at the department of Statisticds 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

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

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

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

Senior Programm Committee for ACM International Conference on AI in Finance, Member of the Scientific Committee of CFE 2021

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

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.