Markus Hofer's Homepage 
Research interests:


Selected scientific talks: 

Pricing and Hedging of
lookback options in hyperexponential jump diffusion
models, International Conference on Mathematical Finance and Economics, 68 July 2011, Istanbul, Turkey. Pricing and Hedging of lookback options in hyperexponential jump diffusion models, Fourth International Conference on Mathematics in Finance, 2126 August 2011, BergenDal, South Africa. A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing, Fourth European Summer School in Financial Mathematics, 59 September 2011, Zurich, Switzerland. Variance reduction via Latin hypercube sampling, a central limit theorem and option pricing, 10th German Probability and Statistics Days, 59 March 2012, Mainz, Germany. Latin hypercube sampling with dependence and applications option pricing (Poster) (Winner of poster award), Frankfurt MathFinance Conference, 2627 March 2012, Frankfurt, Germany. Uniform Distribution of generalized Kakutani's sequences of partitions, Uniform Distribution Theory 2012, 2529 June 2012, Smolenice, Slovakia. Variance reduction via Latin hypercube sampling, a central limit theorem and option pricing, 8th World Congress in Probability and Statistics, 914 July 2012, Istanbul, Turkey. Monte Carlo methods in financial applications, DSA Seminar Universite de Lausanne, 29 October 2012, Lausanne, Switzerland. On betaadic Halton sequences, Ninth IMACS Seminar on Monte Carlo Methods, 1519 July 2013, Annecy, France. 

Scientific publications: submitted: 

Published or accepted for publication: 



Ergodic properties of
betaadic Halton sequences, joint work with Maria Rita Iacò and Robert Tichy, Ergodic Theory and Dynamical Systems, to appear, .pdf. 

On the distribution functions
of two oscillating sequences, joint work with Christoph Aistleitner and Manfred Madritsch, Uniform Distribution Theory, to appear, .pdf. 

On the uniform distribution
modulo 1 of multidimensional LSsequences, joint work with Christoph Aistleitner and Volker Ziegler, Annali di Matematica Pura ed Applicata, to appear, .pdf. 

Pricing and Hedging of
lookback options in hyperexponential jump diffusion models, joint work with Philipp Mayer, Applied Mathematical Finance, DOI 10.1080/1350486X.2013.774985, .pdf. 

Probabilistic discrepancy
bounds for Monte Carlo point sets, joint work with Christoph Aistleitner, Mathematics of Computation, to appear, .pdf. 

On
the maximal spectral type of a class of rank one
transformations, joint work with Christoph Aistleitner, Dynamical Systems 27 (2012), no. 4, 515523, .pdf. 

A
central limit theorem for Latin hypercube sampling with
dependence and application to exotic basket option pricing,
joint work with Christoph Aistleitner and Robert Tichy, International Journal of Theoretical & Applied Finance, 15 (2012), no. 7, (20 pages) .pdf. 



Uniform
Distribution of generalized Kakutani's sequences of
partitions, joint work with Christoph Aistleitner, Annali di Matematica Pura ed Applicata (2011), DOI 10.1007/s1023101102359, 110, .pdf. 

Probabilistic
error bounds for the discrepancy of mixed sequences, joint work with Christoph Aistleitner, Monte Carlo Methods Appl. 18 (2012), no. 2, 181200, .pdf. 

Theses 

Monte
Carlo methods in financial mathematics (PhD thesis, TU Graz,
2012). 

Pricing
of barrier and lookback options in exponential Levy models
(Diploma thesis, TU Graz, 2009). 
