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Current funded projects:


Finished funded research projects:

  • Statistical pattern recognition (ÖNB-Austrian National Bank)
  • Pension fund management (BVP pension fund)
  • Data dependency in financial optimization (FWF- Austrian Science Fund)
  • Optimal network design and marketing strategies (Telekom Austria)
  • AURORA-Advanced parallel and distributed algorithms for Computational Finance (FWF)
  • Unit life insurance with guarantee (ÖNB)
  • WEBOPT (European Commission-subproject leader)
  • Risk management in liberalized electricity markets (WWTF-Vienna science and technology fund)
  • Seeds in Finance (ÖNB)
  • RISKPLAN (Asia-Link)
  • Long-term risk management (FWF)
  • ALMPEK: Pension fund management (Bridge Program)
  • Multiperiod risks in portfolio selection (FWF)
  • Approximation of Stochastic Optimization Problems (FWF)
  • Gradient estimation by measure valued differentiation-calculation of “the Greeks”(ÖNB)
  • Energy policies and risk management for the 21th century (WWTF).






Department of Statistics and Operations Research (ISOR)
University of Vienna

Oskar-Morgenstern Platz 1
Room 6.307
1090 Wien

T: +43-1-4277-386 30
University of Vienna | Universitätsring 1 | 1010 Vienna | T +43-1-4277-0