Zehra Eksi-Altay
Assoziierte Professorin Privatdozentin Dr. Zehra Eksi-Altay BSc.MSc.- Telephone:
- +43 1 31336 5004
- Email:
- zehra.eksi@wu.ac.at
Affiliation
CV
-
2017
- Habilitation in Financial Mathematics, WU Vienna 2011
- PhD in Mathematics, University of Vienna 2005
- MSc in Applied Mathematics, Middle East Technical University 2003
- BSc in Economics, Middle East Technical University
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 | ||
|---|---|---|
| since 2014 | WU Wien - Member of Recruitment Committee | |
| Reviewer for a scientific journal | ||
| since 2020 | SIAM Journal on Financial Mathematics | |
| since 2019 | Quantitative Finance | |
| since 2019 | Journal of Futures Markets | |
| since 2019 | Financial Innovation | |
| since 2019 | Central Bank Review | |
| since 2019 | Applied Probability Journals | |
| since 2018 | Mathematical Reviews | |
| since 2015 | Optimization | |
| Invitation to Research Seminar | ||
| 2017 | University of Perugia, Seminar, 16.02. - Talk “EM algorithm for Markov chains observed via noisy Gaussian and point processes information” | |
| 2017 | TU Wien, FAM, Vienna Seminar in Mathematical Finance and Probability, 04.05. - Talk “Portfolio optimization: a pure jump model with unobservable characteristics and linear feedback effect” | |
| 2016 | METU Middle East Technical University, Turkey, Institute of Applied Mathematics, Colloquium, 27.12. - Talk “EM Algorithm for Markov Chain Observed Via Gaussian Noise and Point Processes Information” | |
| 2011 | TU Wien, FAM-Seminars, 11.10. - Talk "Pricing and Hedging of Single Tranche CDOs" | |
| Organization scientific meeting (Conference etc.) | ||
| 2020 | 13th European Summer School in Financial Mathematics - Member of organising committee | |
| Supervisor dissertation | ||
| since 2020 | WU Vienna - Thesis Supervisor (PhD) | |
| 2017-2019 | WU Vienna - Thesis Co-supervisor (PhD) | |
| 2017-2019 | Institute of Applied Mathematics, METU - Thesis Co-supervisor (PhD Mathematical Finance) | |
| since 2016 | WU Wien - Thesis supervisor (M.Sc Economics) | |
| since 2015 | WU Wien - Thesis supervisor (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
| 2020 | Altay, Sühan, Colaneri, Katia, Eksi-Altay, Zehra. 2020. Optimal Convergence Trading with Unobservable Pricing Errors. Annals of Operations Research. | (Details) | |
| Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2020. Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications. 130 (4), 1913-1946. | (Details) | ||
| 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 |
Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2018. EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies. Statistics and Risk Modeling. 35 (1-2), 51-72.
|
(Details) | |
| 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) | ||
| 2017 | Eksi-Altay, Zehra, Ku, Hyejin. 2017. Portfolio optimization for a large investor under partial information with price impact. Mathematical Methods of Operations Research, 86 (3), 601-623. | (Details) | |
| 2015 | Dockner, Engelbert, Eksi-Altay, Zehra, Rammerstorfer, Margarethe. 2015. A Convenience Yield Approximation Model for Mean-Reverting Commodities. Journal of Futures Markets, 35 (7), 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 (B), 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
| 2019 | Eksi-Altay, Zehra. 2019. Momentum and mean reversion under partial information. Vienna Congress on Mathematical Finance, Vienna, Austria, 09.09.-11.09. | (Details) | |
| 2018 | Eksi-Altay, Zehra, Altay, Sühan, Colaneri, Katia. 2018. Pairs Trading under Drift Uncertainty and Risk Penalization. DSF-R 2018, Vienna, Austria, 13.09.2018. | (Details) | |
| 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) | |
| 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. 41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES), Cagliari, Italy, 14.09-16.09. | (Details) | ||
| Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and numerical experiments. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. | (Details) | ||
| Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM Algorithm for Markov Chains Observed via Gaussian Noise and Point Process Information: Theory and Numerical Experiments. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, Vienna, Austria, 03.07-05.07. | (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
| 2020 | Eksi-Altay, Zehra, Filipovic, Damir. 2020. Affine Pricing and Hedging of Collateralized Debt Obligations. | (Details) | |
| Altay, Sühan, Colaneri, Katia, Eksi-Altay, Zehra. 2020. Optimal Portfolio Allocation with Momentum and Mean Reversion under Partial Information. | (Details) | ||
| 2019 | Rammerstorfer, Margarethe, Eksi-Altay, Zehra, Trueck, Stefan. 2019. Convenience Yield Modelling - One model fits all. | (Details) | |
| 2016 | Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2016. Optimal liquidation under partial information with price impact. | (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) |
Habilitation
| 2017 | Eksi-Altay, Zehra. 2017. Continuous-time Partial Information Models in Finance: Inference and Applications. Habilitationsschrift, WU Vienna University of Economics and Business. | (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) |
Projects
- No projects found.