About me
About me
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I am a research associate at the Vienna University of Economics and Business. I completed my PhD under the supervision of Zehra Eksi-Altay and Paul Eisenberg. My specialties are term structure models and fixed-income markets.
My interests include stochastic analysis in infinite dimensions, volatility and term structure models, machine learning and neural network methods in finance as well as model calibration.
Office
Institute for Statistics and Mathematics, Vienna University of Economics and Business, Welthandelplatz 1, 1020 Vienna, Room D4.3.153
Research
Research
Publications
Publications
Regime-switching affine term structures [article](2023)
with Zehra Eksi, Paul Krühner
Quantitative Finance, 24(1), 139–155
Preprints
Preprints
Reproducing kernel based methods for modelling the discount curve [arXiv](2025)
with Zehra Eksi, Paul KrühnerShape of term structures compatible with flexible choice of diffusion [arXiv](2025)
with Paul Krühner,
Working papers
Working papers
Invariant spaces for kernel regression of the bond curve
with Zehra Eksi, Paul Krühner, Damir Filipović
PhD thesis
PhD thesis
Linearised term structures: Markov modulation and kernel techniques [pdf]
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