Funding:
Sole PI of PYP grant ``Robust Statistical Learning from Complex Data", 500.000 SGD
Sole PI of FWF project P34743 (terminated early due to relocation), ca 400.000 Euro
Sole PI of FWF project ESP31, ca 300.000 Euro
Awards:
Papers (see also google scholar):
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Probability Theory and Related Fields, in press
Finance and Stochastics, in press
Journal of Functional Analysis, in press
Advances in Mathematics, in press
Journal of the European Mathematical Society, in press
International Mathematics Research Notices, (10):8459-8480, 2024
Siam Journal on Financial Mathematics, 14(2):704-720, 2023
Advances in Mathematics, 400:108261, 2022
Annals of Applied Probability, 32(4):3146-3198, 2022
Electronic Communications in Probability, 26(28):1-13, 2021
Finance and Stochastics, 25(3):469-503, 2021
Proceedings of the Royal Society A, 477:2256, 2021
Mathematics of Operations Research, 48(4):2129-2155, 2023
Annals of Applied Probability, 32(1):529-550, 2022
Electronic Journal of Probability, 25(94):1-22, 2020
Probability Theory and Related Fields, 78(3):1125–1172, 2020
Finance and Stochastics, 24(3):601-632, 2020
Electronic Journal of Probability, 24(97):1-21, 2019
Journal of Mathematical Analysis and Applications, 471(1-2):752-775, 2019
Finance and Stochastics, 24(1):215-248, 2020
Siam Journal on Control and Optimization, 60(1), 410-434, 2022
Mathematical Finance, 30(1):287-309, 2020
Finance and Stochastics, 23(3):697-728, 2019
Proceedings of the American Mathematical Society, 147(4):1483-1495, 2019
Stochastic Processes and their Applications,130(2):785-805, 2020
Annals of Applied Probability, 29(1):577-612, 2019
Recent teaching:
Lecturer "Financial Derivatives: Modelling and Computation", QF5209
Lecturer Seminar "High-dimensional probability theory for Data Science", Uni. Vienna 2024/25
Guest lecturer for tutorials "Stochastics for Engineers", Uni. Klagenfurt 2023/24
Minicourse "Introduction to mathematics of statistical learning theory" at Vienna school of mathematics, 2023
Minicourse "Introduction to geometric aspects of statistical learning theory" at NTU Singapore 5 weeks, 2023
Recent / future activities:
Recent talks + travel:
AI Theory Seminar (talk) 2026
QMF conference Sydney (talk) 2025
SUTD research seminar (talk) 2025
WU Vienna Statistics Reserach Seminar(talk) 2025
BANFF workshop Bridging Theory and Practice in Finance (talk) 2025
Eighteenth Annual Risk Management Conference (talk) 2025
NUS QF conference (talk) 2025
TU Graz, Colloquium in Data Science (talk) 2025
UC Irvine, Combinatorics and Probability seminar (talk) 2025
Research stay UC Irvine (1 week) 2025
Research stay Stanford (2 weeks) 2025
Research stay UC Berkeley (2 weeks) 2025
Oxford, Stochastic analysis and mathematical finance seminar (talk) 2025
BANFF workshop Modeling, Learning and Understanding (talk) 2024
Research stay ETH (1 week) 2024
Habilitation faculty research presentation at Uni Vienna (talk) 2024
Mathematical aspects of Learning Theory - 20 years later (participant) 2024
Austrian Stochastic Days (talk) 2024
Soft methods in Probability and Statistics (talk) 2024
National University of Singapore (talk) 2024
Machine Learning and Data Science Uni Vienna (talk) 2024
Mathematics for Data Science, Uni Vienna (talk) 2024
Statistics Colloquium at TU Graz (talk) 2024
Mathematical and Statistical Methods for Actuarial Sciences and Finance (talk) 2024
Research stay ETH (1 week) 2024
Austrian Statistics days (talk) 2024
Research stay ETH (2 weeks) 2024
HIM Bonn, High dimensional phenomena: geometric and probabilistic aspects (participant) 2024
Research stay UPF Barcelona (2 weeks) 2024
Foundations of Machine Learning in Finance, ISOR Vienna (talk) 2024
Co-authors: Julio Backhoff, Mathias Beiglboeck, Patrick Cheridito, Samuel Drapeau, Stephan Eckstein, Manu Eder, Michael Kupper, Thibaut Lux, Gabor Lugosi, Shahar Mendelson, Ariel Neufeld, Jan Obloj, Roberto Imbuzeiro Oliveira, Gudmund Pammer, Antonis Papapantoleon, Kyunghyun Park, David Proemel, Zoraida Rico, Stefan Schrott, Ludovic Tangpi, Johannes Wiesel, Xin Zhang