Researchers

I am assistant professor in the Research Unit of Financial and Actuarial Mathematics at the Vienna University of Technology, Austria.

My scientific interest is mainly in asymptotic methods in mathematical finance. More concretely, I have recently worked on stochastic volatility models and on utility maximisation under transaction costs. Besides, I am interested in combinatorics, computer algebra, and special functions.

I spent the first half of 2009 at the Centre de Recherche Commun INRIA-Microsoft Research in Orsay, France, where I participated in the development of the Dynamic Dictionary of Mathematical Functions .