Prof. Dr. Denis Belomestny

Transcription

1 Prof. Dr. Denis Belomestny CONTACT INFORMATION (OFFICIAL) PERSONAL INFORMATION Duisburg-Essen University Faculty of Mathematics Thea-Leymann-Str. 9, D Essen Tel: (0201) WWW: hm0124 Birth date: Birth place: Moscow, Russia Marital status: Married, one child Citizenship: Russian/German RESEARCH INTERESTS Nonparametric statistics Statistical inference for stochastic processes Regression algorithms for optimal stopping and optimal control problems Financial mathematics EDUCATION Moscow Lomonosov State University, Moscow, Russia! Ph.D., Departament of Statistics and Stochastic processes, Februar 2002 Thesis Topic: Reconstruction of the common distribution from the distribution of some statistics Advisor: Prof. Prokhorov Area of Study: Statistics and Probability Theory! M.S., Departament of Statistics and Stochastic processes, June 1998 Thesis Topic: Estimation of the Order of a Markov chain Advisor: Prof. Prokhorov Area of Study: Statistics and Stochastic Processes 1 of 11

2 ACADEMIC AND ADMINISTRATIVE EXPERIENCE Moscow Lomonosov State University, Moscow, Russia Junior Researcher ! Participation in teaching and scientific activities at Moscow Lomonosov State University Institute for Applied Mathematics, Bonn University, Bonn, Germany PostDoc Researcher ! Participation in the project Connection and completion of traffic data recorded unevenly in space and time funded by German Science Foundation! Participation in teaching Weierstraß Institute for Applied Analysis and Stochastics, Berlin, Germany Researcher ! Participation in the projects Statistical Data Analysis and Applied Mathematical Finance Senior Researcher (tenured position) Duisburg-Essen University, Duisburg, Germany Full Professor (W3) ! Member of a hiring committee for a associated professorship (W2) Stochastic Analysis! Head of a hiring committee for a tenure track assistant professorship (W1) Applied Stochastics! Deputy head of a hiring committee for an associated professorship (W2) Inverse Problems! Member of a hiring committee for a full professorship (W3) Numerical Mathematics 2 of 11

3 OFFERS Offer of Assistant Professorship (W1) at Humboldt University Berlin, Faculty of Economics (not realized) Offer of Associate Professorship (Chair in Financial Mathematics) at Twente University (not realized) Offer of Full Professorship (W3) at Duisburg-Essen University, Faculty of Mathematics (accepted) TEACHING EXPERIENCE Duisburg-Essen University, Faculty of Mathematics, Duisburg/Essen, Germany Master course Numerical stochastics 4 hours per week 10/ /2014 Master course Nonparametric statistics 4 hours per week 04/ /2013 Master course Numerical financial mathematics 4 hours per week 04/ /2013 Master course Statistics and Time series analysis 4 hours per week 10/ /2013 Master course Financial Mathematics I 4 hours per week 04/ /2012 Master course Stochastics II 4 hours per week 10/ /2012 Bachelor course Introduction into Stochastics 4 hours per week 04/ /2011 Humboldt University of Berlin, Faculty of Mathematics, Berlin, Germany Master course Simulation-based Algorithms and their Convergence Analysis 2 hours per week 10/ /2011 Humboldt University of Berlin, Faculty of Economics, Berlin, Germany 3 of 11

4 Master course Statistical Tools in Finance and Insurance 2 hours per week 10/ /2010 Master course Advanced Methods in Quantitative Finance 2 hours per week 04/ /2009 Master course Statistics of Financial Markets 2 hours per week 10/ /2009 Master course Advanced methods in Quantitative finance 2 hours per week 04/ /2008 Master course Statistics of Financial Markets 2 hours per week 10/ /2008 Master course Advanced methods in Quantitative finance 2 hours per week 04/ /2007 Master course Statistics of Financial Markets 2 hours per week 10/ /2007 Master course Monte Carlo Methods in Finance 2 hours per week 04/ /2004 EXPERIENCE IN ACQUIRING THIRD PARTY FUNDING Humboldt-Forschungsstipendium (for experienced scientists) for Dr. Mijatovic (Imperial College London). Research allowance for UDE of 800 Euro monthly 14,4 T 10/ /2015 Project Statistics of complex stochastic models in financial mathematics in the special research area (SFB 823) Statistical modelling of nonlinear dynamic processes (German Science Foundation (DFG)) 249 T 07/ /2017 Project Solving optimal stopping problems and reflected backward stochastic differential equations by convex optimization and penalization within the Priority Program (Schwerpunktprogramm) 1324 (German Science Foundation (DFG)) 166 T 10/ /2014 Project Calibration errors in risk management in the special research area (SFB 823) Statistical modelling of nonlinear dynamic processes (German Science Foundation (DFG)) 4 of 11

5 168 T 05/ /2013 Project Calibration and pricing errors in risk management in the special research area (SFB 649) Economical Risk (German Science Foundation (DFG)) 390 T 05/ /2011 EXPERIENCE IN MANAGING INDUSTRIAL PROJECTS Deputy head of the industrial cooperation projects with Landesbank Berlin and HSH Bank Kiel 300 T BSC AND MSC SUPERVISION L. Nerusch (TU Berlin) Approximative option pricing in general affine models via analytic transforms Diplom K. Kempkes (UDE) Pricing American options via parametric methods Diplom A. Weynarski (UDE) (joint with V. Krätschmer) Darstellung der klassischen Portfolioanalyse nach Markowitz innerhalb des Modellrahmens arbitragefreier Finanzmärkte MSc B. Fischbach (UDE) Stochastic mesh method and its convergence BSc E. Agostini (UDE) (joint with V. Krätschmer) Analytische Beschreibungen von Eulerallokationen auf Basis von konkaven Verzerrungsrisikomaßen Diplom N. Hofmann (UDE) Inverse problems in financial mathematics Diplom E. Kalinina (UDE) Variance reduction via reduced basis approach Diplom 5 of 11

6 PHD SUPERVISION Vladimir Panov Statistical inference on the jump activity based on lowfrequency data Anna Stephan Statistical inverse problems and calibration of Markov functional interest rates model Fabian Dickmann Multi-level methods for the solution of optimal stopping problems TRAINEES SUPERVISION A Briantais (Ecole Polytechnique, Paris) Efficient calibration of stochastic volatility models REFEREE Annals of Statistics (12) Annals of Applied Probability (4) Stochastic Processes and Their Applications (4) Econometrica (1) Operations Research (3) Finance and Stochastics (3) Mathematical Finance (4) SIAM Journal of Financial Mathematics (2) Journal of Computational Finance (2) Probability Theory and Related Fields (1) Stochastic Systems (1) 6 of 11

7 REFEREED PUBLICATIONS 1. Belomestny, D. and Spokoiny, V. (2013). Concentration inequalities for smooth random fields, forthcoming in SIAM Theory Probab. Appl. 2. Belomestny, D. and Panov, V. (2013). Estimation of the activity of jumps for time-changed Levy processes, Electronic Journal of Statistics, 7(1), Belomestny, D., Schoenmakers, J. and Dickmann, F. (2013). Multilevel dual approach for pricing American type derivatives, Finance and Stochastics, 17(4), Belomestny, D. and Panov, V. (2013). Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility. Stochastic Processes and Their Applications, 123(1), Belomestny, D. (2013). Solving optimal stopping problems by empirical dual optimization. Annals of Applied Probability, 23(5), Belomestny, D. and Krätschmer, V. (2012). Central limit theorems for law-invariant coherent risk measures. Journal of Applied Probability, 49(1), Belomestny, D. (2011). Statistical inference for time-changed Lévy processes via composite characteristic function estimation. Annals of Statistics, 39(4), Belomestny, D. (2011). Pricing Bermudan options using regression: optimal rates of convergence for lower estimates. Finance and Stochastics, 15(4), Belomestny, D. (2011). Spectral estimation of the Lévy density in partially observed affine models. Stochastic Processes and Their Applications, 121, Belomestny, D. (2011). On the rates of convergence of simulationbased optimization algorithms for optimal stopping problems. Ann. Appl. Probab., 21(1), Belomestny, D. and Schoenmakers, J. (2011). A jump-diffusion Libor model and its robust calibration. Quantitative Finance, 11(4), Belomestny, D. (2010). Spectral estimation of the fractional order of a Lévy process. Annals of Statistics, 38(1), of 11

8 13. Belomestny, D., Kolodko, A. and Schoenmakers, J. (2010). Regression methods for stochastic control problems and their convergence analysis. SIAM Journal on Control and Optimization, 48(5), Belomestny, D., Milstein, G. and Schoenmakers, J. (2010). Sensitivities for Bermudan options by regression methods. Decisions in Economics and Finance, 33(2), Belomestny, D. and Gapeev, P. (2010). An iterative procedure for solving integral equations related to optimal stopping problems. Stochastics, 82(4), Belomestny, D., Kolodko, A. and Schoenmakers, J. (2010). Pricing CMS spread options in a Libor market model. Int. J. Theoret. Appl. Finance, 13(1), Belomestny, D., Rüschendorf, L. and Urusov, M. (2010). Optimal stopping of integral functionals and a no-loss free boundary formulation. SIAM Theory Probab. Appl., 54(1), Belomestny, D., Mathew, S. and Schoenmakers, J. (2009). Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Methods and Applications, 15(4), Belomestny, D., Kampen, J. and Schoenmakers, J. (2009). Holomorphic transforms with application to affine processes. Journal of Functional Analysis, 257(4), Belomestny, D., Milstein, G. and Spokoiny, V. (2009). Regression methods in pricing American and Bermudan options using consumption processes. Quantitative Finance, 9(3), Belomestny, D., Bender, Ch. and Schoenmakers, J. (2009). True upper bounds for Bermudan products via non-nested Monte Carlo. Mathematical Finance, 19(1), Belomestny, D. and Spokoiny, V. (2007). Spatial aggregation of local likelihood estimates with applications to classification. Annals of Statistics, 35(5), Belomestny, D. and Reiß, M. (2006). Spectral calibration of exponential Lévy models. Finance and Stochastics, 10(4), Belomestny, D. and Milstein, G. (2006). Monte Carlo evaluation of American options using consumption processes. Int. J. Theoret. Appl. Finance, 9(4), of 11

9 25. Belomestny, D. (2005). Reconstruction of a general distribution from the distribution of some statistics. SIAM Theory Probab. Appl., 49(1), Belomestny, D., Jentsch, V. and Schreckenberg, M. (2003). Completion and continuation of nonlinear traffic time series: a probabilistic approach. J. Phys. A, 36(45), Belomestny, D. (2003). Constraints on distributions imposed by properties of linear forms. ESAIM Probab. Stat., 7, Belomestny, D. (2003). On the problem of reconstructing the general distribution from the distribution of a linear statistic. Moscow Univ. Math. Bull., 58(2), Belomestny, D. (2003). On the reconstruction of a distribution of summands from the distribution of the sum. SIAM Theory Probab. Appl., 46(2), Belomestny, D. (2002). On the problem of characterizing the distribution of random variables by the distribution of their sum. Journal of Mathematical Sciences, 111 (3), Belomestny, D. (2001). On the problem of reconstructing the general distribution from the distribution of the maximum. Doklady Mathematics (Doklady Akademii Nauk), 64 (1), 7 8 OTHER PUBLICATIONS 32. Belomestny, D. and Milstein, G. (2008), Simulation based option pricing, In: W. Härdle, N. Hautsch, L. Overbeck, (Eds.) Applied Quantitative Finance, Springer, 2008 SUBMITTED PAPERS 34. Belomestny, D., Ladkau, M. and Schoenmakers, J. (2013). Multilevel simulation based policy iteration for optimal stopping - convergence and complexity, under revision in Mathematics of Operations Research. 35. Belomestny, D., Dickmann, F. and Nagapetyan, T. (2013). Pricing American options via multi-level approximation methods, under revision in SIAM Journal of Financial Mathematics. 9 of 11

10 WORKING PAPERS 35. Belomestny, D. and Stephan, A. (2013). On one inverse problem of financial mathematics with error in the operator. BOOKS IN PREPARATION Belomestny, D. and Reiß, M. Estimation and calibration of Lévy-based models via Fourier methods, Lévy Matters, Springer Belomestny, D., Bender, Ch., Dickmann, F. and Schweitzer, N. Solving stochastic dynamic programs by convex optimization and simulation, Springer LNCSE Belomestny, D. and Schoenmakers, J. Advanced Simulation-Based Methods for Optimal Stopping and Control, Palgrave Macmillan RECENT TALKS Plenary talk, Computational Methods for Jump Processes, 7-9 July, 2014, Warwick Invited talk, MCQMC 2014 Conference 7-11 April, 2014, Loeven Invited talk, Statistical inference for continuous time stochastic processes, Februar, 2014, Dortmund Invited talk, Stochastic Seminar, Saarland University, 18 July 2013, Saarbrücken Plenary talk, Advanced Finance and Stochastics, June, 2013, Moscow Invited talk, MPI for Plasma Physics, 31 Mai, 2013, Greifswald Invited talk, Stochastic Analysis Seminar, 14 Mai 2013, Imperial College London Invited talk, Financial Time Series Analysis: Non-Stationarity and the Financial Crisis, 3-8 June 2012, Singapore Invited talk, Computational Stochastics Workshop, 27 March, 2012, Annweiler Contributed talk, German Open Probability and Stochastic Days, 08 March, 2012, Mainz 10 of 11

11 Invited talk, Statistics Seminar, 09 Januar, 2012, Düsseldorf University Invited talk, Statistics Seminar, 25 November, 2011, HU Berlin Invited talk, Mathematisches Kolloquium, 08 November, 2011, Karlsruhe Institute of Technology Invited talk, Workshop on Stochastic Methods in Financial Markets, August, 2011, Ljubljana COORGANIZATION OF CONFERENCES Workshop Statistics of stochastic Processes, Dortmund, Section organiser at 26th European Conference on Operational Research, Rome 1-4 July, Advanced Stochastic Optimization Problems, Steklov Mathematical Institute, Moscow, September 24-28, Humboldt-Princeton Conference, HU Berlin, Faculty of Economics, Oktober Humboldt-Copenhagen Conference, HU Berlin, Faculty of Economics, March of 11