Zehra Eksi-Altay
Assistenzprofessor Dr.rer.nat. Zehra Eksi-Altay BSc.MSc.- Telephone:
- +43 1 31336 5004
- Email:
- zehra.eksi@wu.ac.at
Affiliation
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
- ORCID: 0000-0002-1848-8935
Awards and Honors
- 2017
- YITP Research Prize- QFW2017
Classifications
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.