portrait photo

Zehra Eksi-Altay

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

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

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
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"
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

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 & Risk Modeling 35 (1-2), 51-72. (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, , 1-23. (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)
  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

Forthcoming Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. Forthcoming. 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)
  Rammerstorfer, Margarethe, Eksi-Altay, Zehra. 2017. Convenience Yield Modelling - One model fits all. (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)

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.