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Sühan Altay

Dr.rer.nat. Sühan Altay
Telephone:
+43 1 31336 6285
Email:
Contact information and photo taken from and editable at WU Directory.

CV

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Researcher Identifier

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Awards and Honors

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Expertise

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Activities

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Publications

Journal article

2019 Altay, Sühan, Eksi-Altay, Zehra, Colaneri, Katia. 2019. Portfolio optimization for a large investor controlling market sentiment under partial information . SIAM Journal on Financial Mathematics. 10 (2), 512-546. (Details)
2018 Altay, Sühan, Colaneri, Katia, Eksi-Altay, Zehra. 2018. Pairs Trading under Drift Uncertainty and Risk Penalization. International Journal of Theoretical and Applied Finance. 21 (07), 1850046 (Details)
2013 Altay, Sühan, Gerhold , Stefan, Haidinger, Rainer, Hirhager, Karin. 2013. Digital double barrier options: Several barrier periods and structure floors. International Journal of Theoretical and Applied Finance. 16 (08) (Details)

Paper presented at an academic conference or symposium

2019 Altay, Sühan. 2019. Optimal Converge Trading with Unobservable Pricing Errors. 9th General AMaMeF Conference, Sorbonne Université, France, 11.06-14.06. (Details)
2017 Altay, Sühan. 2017. A joint term structure model for credit and interest rate risk with flexible correlation structure. Workshop in Wahrscheinlichkeitstheorie, Statistik und Finanzmathematik, TU Dresden, Germany, April 20-22, 2017. (Details)
  Altay, Sühan. 2017. Portfolio optimization for a large investor: an intensity-based control framework for a pure-jump model under partial information. 8th General AMaMeF Conference, University of Amsterdam, Netherlands, June 21, 2017. (Details)
2016 Altay, Sühan. 2016. On the applications of term structure models with multivariate Jacobi processes. BFS 2016 – 9th World Congress of the Bachelier Finance Society, NY, United States/USA, July 17, 2016. (Details)
  Altay, Sühan. 2016. Term structure of defaultable bonds, an approach with Jacobi processes. VCMF 2016 - Vienna Congress on Mathematical Finance, WU Wien, Austria, September 12-14, 2016. (Details)

Working/discussion paper, preprint

2018 Altay, Sühan, Colaneri, Katia, Eksi-Altay, Zehra. 2018. Optimal Converge Trading with Unobservable Pricing Errors. (Details)
  Altay, Sühan. 2018. Stein-Chen approximation and error bounds for the sum of path-dependent indicators of stochastic processes. (Details)
  Altay, Sühan, Schmock, Uwe. 2018. Term structure of defaultable bonds, an approach with Jacobi processes. (Details)
  Altay, Sühan. 2018. Yield curve generation with independent component analysis. (Details)

Lecture notes/article in lecture notes

2016 Altay, Sühan, Schmock, Uwe. 2016. Lecture Notes On The Yamada–watanabe Condition For The Pathwise Uniqueness Of Solutions Of Certain Stochastic Differential Equations. https://fam.tuwien.ac.at/~schmock/notes/Yamada-Watanabe.pdf: - (Details)

Projects

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