100 Institute RD, Salisbury Labs 405B
Affiliated Department or Office
Actuarial Mathematics
BS/MS University of Vienna 2004
PhD Technical University of Berlin 2010

I am an applied mathematician specializing in the field of financial mathematics and engineering. Currently, I am most interested in problems involving modeling with stochastic volatility and the implied volatility surface. Another topic of my research interests lies in delegated portfolio optimization and the role played by incentive schemes paid to fund managers.

After receiving a BS/MS from the University of Vienna and a PhD from Technische Universität Berlin in mathematics, I joined the Department of Operations Research and Financial Engineering at Princeton University as a postdoctoral scholar and lecturer. My current position as assistant professor at WPI's Mathematical Sciences department is my first full faculty position.

Being new at WPI, I look forward to sharing with students my passion for probability theory, stochastic processes, and their applications in financial and actuarial mathematics. I intend to contribute in particular to the professional master's program in financial mathematics, and I look forward to advising students working on MQPs, master's and doctoral theses in my areas of expertise.

Scholarly Work

Is the minimum value of an option on variance generated by local volatility?, with M. Beiglböck and P. Friz (SIAM J. Finan. Math. 2, 213-220 (2011); Preprint, also available at arXiv)

From smile asymptotics to market risk measures, with R. Sircar (Math. Finance 25:2, 400-425 (2015); Preprint, also available at SSRN; arXiv)

Portfolio optimization under convex incentive schemes, with M. Bichuch (Finance Stoch. 18:4, 873-915 (2014); Preprint, also available at SSRN; arXiv)

Arbitrage-free pricing of XVA - Part I: framework and explicit examples, with M. Bichuch and A. Capponi (submitted; Preprint, 34 pages, 7 figures; also available at SSRN; arXiv)