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Research interests:                                                            
  • Levy Processes
  • Option pricing
  • (Quasi)-Monte Carlo integration
  • Uniform distribution of point sequences
  • Discrepancy theory
Selected scientific talks:
Pricing and Hedging of lookback options in hyper-exponential jump diffusion models,
International Conference on Mathematical Finance and Economics,
6-8 July 2011, Istanbul, Turkey.

Pricing and Hedging of lookback options in hyper-exponential jump diffusion models,
Fourth International Conference on Mathematics in Finance,
21-26 August 2011, Berg-en-Dal, 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,
5-9 September 2011, Zurich, Switzerland.

Variance reduction via Latin hypercube sampling, a central limit theorem and option pricing,
10th German Probability and Statistics Days,
5-9 March 2012, Mainz, Germany.

Latin hypercube sampling with dependence and applications option pricing (Poster) (Winner of poster award),
Frankfurt MathFinance Conference,
26-27 March 2012, Frankfurt, Germany.

Uniform Distribution of generalized Kakutani's sequences of partitions,
Uniform Distribution Theory 2012,
25-29 June 2012, Smolenice, Slovakia.

Variance reduction via Latin hypercube sampling, a central limit theorem and option pricing,
8th World Congress in Probability and Statistics,
9-14 July 2012, Istanbul, Turkey.

Monte Carlo methods in financial applications,
DSA Seminar Universite de Lausanne,
29 October 2012, Lausanne, Switzerland.

On beta-adic Halton sequences,
Ninth IMACS Seminar on Monte Carlo Methods,
15-19 July 2013, Annecy, France.
Scientific publications:

submitted:



Published or accepted for publication:


Optimal bounds for integrals with respect to copulas and applications,
joint work with Maria Rita Iacò,
Journal of Optimization Theory and Applications, to appear, .pdf.

Ergodic properties of beta-adic 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 LS-sequences,
joint work with Christoph Aistleitner and Volker Ziegler,
Annali di Matematica Pura ed Applicata, to appear, .pdf.

Pricing and Hedging of lookback options in hyper-exponential 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, 515--523, .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.

On the limit distribution of consecutive elements of the van der Corput sequence,
joint work with Christoph Aistleitner,
Uniform Distribution Theory 8 (2013), no. 1, 89--96, .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/s10231-011-0235-9, 1-10, .pdf.
Probabilistic error bounds for the discrepancy of mixed sequences,
joint work with Christoph Aistleitner,
Monte Carlo Methods Appl. 18 (2012), no. 2, 181--200, .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).