mayer(at)finanz.math.tugraz.at

• Financial mathematics
• Robust calibration of market models
• Model-independent hedging and pricing of exotic derivatives
• Stochastic volatility models

• Einführung in die Finanzmathematik.
  (with H. Albrecher and A. Binder)
  Mathematik Kompakt, Birkhäuser Verlag Basel
  163 pp., ISBN: 978-3764387839; 2009. Link
  
  
• On the calibration of local jump-diffusion asset price models. (with S. Kindermann)
  Finance & Stochastics, accepted, 2010.
  
• Semi-static hedging strategies for exotic options. (with H. Albrecher)
  in: Alternative Investments and Strategies, R. Kiesel et al. (Eds), to appear
• Metric discrepancy theory, functions of bounded
  variation and GCD sums. (with C. Aistleitner and V. Ziegler)
  Uniform Distribution Theory, accepted, 2010.
• On the calibration of local jump-diffusion market models. (with S. Kindermann)
  RICAM Report 2008-19, submitted.
  
• General lower bounds for arithmetic Asian option prices (with H. Albrecher and W. Schoutens)
  Applied Mathematical Finance; 15(2):123--149, 2008.
  
• Identification of the local speed function in the local Levy model (with S. Kindermann, H. Albrecher and H. Engl)
  Journal of Integral Equations and Applications, 20(2):161--200, 2008.
• The little Heston trap. (with H. Albrecher, W. Schoutens and J. Tistaert)
  WILMOTT (2007), No.1, 83-92.

• A generalized Dupire formula and its stable estimation.
  SIAM Conference on Financial Mathematics & Engineering; New Brunswick, NJ, Nov. 21-22, 2008. (invited)
• Robust calibration methods for equity market models of local Levy type.
  5th World Congress of the Bachelier Finance Society, London, Great Britain, July 16--19, 2008.
  
• Robust calibration techniques for local Levy type models.
  Conference on Numerical Methods in Finance, Udine, Italy, Jun. 25 -- 27, 2008.
  
• Robust calibration methods for financial market models.
  Multivariate Risk Management, EURANDOM, Eindhoven, Netherlands, Dec. 9 -- 10, 2007. (invited)
  
• Robust calibration of local Levy equity models. Mini-Workshop on Calibration, Levy processes in finance, FFT and related issues, Vienna, Austria, Nov. 16, 2007. (invited)
• Inverse problems for financial market models of Levy type.
  AMaMeF Workshop on financial modeling with jump processes; Palaiseau, France, Sep. 6-8, 2006 (invited)
  
• Model-independent bounds for the price of arithmetic Asian options.
  4th World Congress of the Bachelier Finance Society; Tokio, Japan, August 17-20, 2006.