LAUFENDE PROJEKTE
- Incorporating Model Error in the Management of Electricity Portfolios (PGMO Fondation Mathématique Jacques Hadamard)
- Portfolio Risk and Asset Allocation: Utilizing High-Frequency Information in High Dimensions (WWTF)
- Systemic Risk (IIASA-International Institute of Advanced System Analysis)
- Vienna Graduate School on Computational Optimization (FWF Doktoratskolleg)
ABGESCHLOSSENE PROJEKTE
- Risk Capital Reserves for Flood Catastrophes in National and European Context (ÖNB)
- 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).