portrait photo

Zehra Eksi-Altay

Assistenzprofessor Dr.rer.nat. Zehra Eksi-Altay BSc.MSc.
Telephone:
+43 1 31336 5004
Email:
Contact information and photo taken from and editable at WU Directory.

CV

2011
Dr.rer.nat. University of Vienna : Mathematics
2005
MSc Middle East Technical University: Applied Mathematics
2003
BSc Middle East Technical University: Economics

Researcher Identifier

Awards and Honors

2017
YITP Research Prize- QFW2017

Classifications

  • 1118 Probability theory (Details)
  • 1137 Financial mathematics (Details)

Expertise

    No expertises found.

Activities

Position in committee for appointments
  2014-2015 WU Wien
Academic advisor
  since 2017 Institute of Applied Mathematics, METU - Thesis Co-supervision (PhD Mathematical Finance)
  since 2016 WU Wien - Thesis supervision (M.Sc Economics)
  since 2015 WU Wien - Thesis supervision (M.Sc Quantitative Finance)
Research and Teaching Stay
  2017 University of Perugia (3 Feb-5 March) - Visiting professor within the Young Investigator Training Program (YITP Research Prize- QFW2017)
  2014 Isaac Newton Institute for Mathematical Sciences, University of Cambridge (24 Aug-19 Dec) - Invited Participant for the semester on ”Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches”
  2012 École polytechnique fédérale de Lausanne (EPFL) - Research Visit
  2011 École polytechnique fédérale de Lausanne (EPFL) - Research Visit
Other scientific activities
  2017 WU Wien (BBS Seminar of the Institute for Statistics and Mathematics-SS) - Seminar with the title 'Portfolio optimization: a pure jump model with unobservable characteristics and linear market impact'.
  2015 Wu Wien(BBS Seminar of the Institute for Statistics and Mathematics-WS) - Seminar with the title 'Portfolio optimization for a large investor under partial information with price impact '.
  2015 Wu Wien(BBS Seminar of the Institute for Statistics and Mathematics-SS) - Seminar with title 'EM algorithm for Markov chain observed via noisy Gaussian and point processes information'.

Publications

Journal article

2017 Eksi-Altay, Zehra, Ku, Hyejin. 2017. Portfolio optimization for a large investor under partial information with price impact. Mathematical Methods of Operations Research , (Details)
2015 Dockner, Engelbert, Eksi-Altay, Zehra, Rammerstorfer, Margarethe. 2015. A Convenience Yield Approximation Model for Mean-Reverting Commodities. Journal of Futures Markets 35 S. 625-654. (Details)
2014 Eksi-Altay, Zehra, Filipovic, Damir. 2014. Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework. Journal of Computational and Applied Mathematics 259 452-463. (Details)

Contribution to conference proceedings

2006 Eksi-Altay, Zehra, Yildirim, Irem, Yildirak, Kasirga. 2006. Alternative Risk Measures and Extreme Value Theory in Finance: Implementation on ISE 100 Index. In Proceedings of ICBME'2006, Hrsg. Yasar University, ---. Turkey: (Details)

Paper presented at an academic conference or symposium

2017 Eksi-Altay, Zehra, Damian, Camilla, Frey, Rüdiger. 2017. EM Algorithm For Markov Chain Observed via Gaussian Noise and Point Processes Information. VIECO 2017 - Vienna-Copenhagen Conference on Financial Econometrics, Vienna, Austria, 09.03-11.03. (Details)
  Eksi-Altay, Zehra. 2017. Shall I sell or shall I wait? Optimal liquidation under partial information with price impact. 8th General AMaMeF Conference on Mathematical Finance, Amsterdam, Netherlands, 19.06-23.06. (Details)
2016 Damian, Camilla, Frey, Rüdiger, Eksi-Altay, Zehra. 2016. Filter-based discrete-time EM algorithm with diffusion and point process observation. CFE-2016, Seville, Spain, 9.12-11.12. (Details)
  Eksi-Altay, Zehra and Altay, Suhan. 2016. Optimal investment problems for pairs trading. 28th European Conference on Operational Research, Poznan, Poland, 03.07-06.07, . (Details)
  Eksi-Altay, Zehra and Ku, Hyejin. 2016. Portfolio optimization for a Large Investor under Partial Information and Price Impact. 14th EUROPT Workshop on Advances in Continuous Optimization, Warsaw, Poland, 01.07-02.07, . (Details)
  Eksi-Altay, Zehra and Ku, Hyejin. 2016. Portfolio optimization for a Large Investor under Partial Information and Price Impact. 9th World Congress of the Bachelier Finance Society, New York, United States/USA, 15.07-19.07. (Details)
  Eksi-Altay, Zehra. 2016. Shall I sell or shall I wait: Optimal liquidation under partial information with price impact. Vienna Congress on Mathematical Finance - VCMF 2016, Vienna, Austria, 12.09-14.09. (Details)
2012 Eksi-Altay, Zehra, Filipovic, Damir. 2012. Pricing and Hedging of Inflation-indexed Bonds in an Affine Framework. ICACM - International Conference on Applied and Computational Mathematics, Ankara, Türkei, 03.10-06.10. (Details)
2010 Eksi-Altay, Zehra, Filipovic, Damir. 2010. Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework. AMaMeF 2010, Ljubljana, Slowenien, 04.05-08.05. (Details)
2009 Eksi-Altay, Zehra, Filipovic, Damir. 2009. Pricing and Hedging of Inflation-indexed Bonds in an Affine Framework. AMaMeF 2009, Alesund, Norwegen, 04.05-10.05. (Details)
2008 Eksi-Altay, Zehra, Slinko, Irina. 2008. Inflation Linked Derivatives: Pricing Model for a Multi-Country Setting. European Summer School in Financial Mathematics, Paris, Frankreich, 07.09-14.09. (Details)

Poster presented at an academic conference or symposium

2017 Eksi-Altay, Zehra, Altay, Suhan, Colaneri, Katia. 2017. Pairs Trading under Regime Switching and Risk Penalization. QFW 2017, Milano, Italy, 25.01-27.01. (Details)
2016 Damian, Camilla, Frey, Rüdiger, Eksi-Altay, Zehra. 2016. Filter-Based Discrete-Time EM Algorithm with Diffusion and Point Process Observation. VCMF-2016, Vienna, Austria, 12.09-14.09. (Details)
2014 Eksi-Altay, Zehra, Frey, Rüdiger. 2014. Modeling Sovereign Credit Risk under Partial-information. Bachelier Finance Society 8th World Congress, Brussels, Belgien, 02.06-06.06. (Details)

Working/discussion paper, preprint

Forthcoming Colaneri, Katia and Eksi-Altay, Zehra and Frey, Rüdiger and Szölgyenyi, Michaela. Forthcoming. Shall I sell or shall I wait? Optimal liquidation under partial information with price impact. (Details)
2017 Eksi-Altay, Zehra, Altay, Sühan, Colaneri, Katia. 2017. Pairs Trading under Drift Uncertainty and Risk Penalization. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM Algorithm for Markov Chains Observed Via Gaussian Noise and Point Process Information: Theory and Case Studies. (Details)
  Altay, Sühan, Colaneri, Katia, Eksi-Altay, Zehra. Forthcoming. Portfolio optimization: a pure jump model with unobservable characteristics and linear feedback effect. (Details)
2013 Eksi-Altay, Zehra, Filipovic, Damir. 2013. A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations. (Details)
  Eksi-Altay, Zehra, Filipovic, Damir. 2013. On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations. (Details)
2007 Eksi-Altay, Zehra. 2007. A Black-Scholes like model with Vasicek interest rates. (Details)

Dissertation

2011 Eksi-Altay, Zehra. 2011. Essays in CDO and Inflation Linked Derivatives Modeling. Dissertation, University of Vienna. (Details)

Master thesis

2005 Eksi-Altay, Zehra. 2005. Comparative Study of Risk Measures. Masterarbeit, Middle East Technical University. (Details)

Unpublished lecture

2017 Eksi-Altay, Zehra, Altay, Sühan, Colaneri, Katia. 2017. Portfolio optimization: a pure jump model with unobservable characteristics and linear feedback effect. FAM-Seminars, TU Wien , 04.05. (Details)
  Eksi-Altay, Zehra, Damian, Camilla, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via noisy Gaussian and point processes information. Seminar, University of Perugia (Invited talk), 16.02. (Details)
2016 Eksi-Altay, Zehra, Frey, Rüdiger, Damian, Camilla. 2016. Em Algorithm for Markov Chain Observed Via Gaussian Noise and Point Processes Information. IAM, Colloquium (Invited talk), METU, Institute of Applied Mathematics, 27.12. (Details)
2011 Eksi-Altay, Zehra, Filipovic, Damir. 2011. Pricing and Hedging of Single Tranche CDOs. TU FAM Seminars, Wien, 11.10. (Details)

Projects

  • No projects found.