JOR 17 2 Authors

The Journal of Risk

Volume 17, Issue 2


Matthew Lorig

Matthew Lorig is an assistant professor in the Department of Applied Mathematics at the University of Washington, where he is actively engaged in the ongoing development of the Computational-Finance and Risk Management program ( Prior to joining the University of Washington he was a postdoc in the Department of Operations Research and Financial Engineering at Princeton University. He holds a PhD in physics from the University of California at Santa Barbara. Matthew's research focus primarily on finding analytic approximations for option prices, implied volatilities, and solutions of nonlinear PDEs arising in mathematical finance.




Andrea Pascucci

Andrea Pascucci is Full Professor of Probability at the University of Bologna where he is director of a post-graduate programme in Quantitative Finance. His research interests include second order partial differential equations and stochastic analysis with an emphasis on applications to finance. He is the author of four monographs edited by Springer and numerous publications in international journals. His research encompasses subjects ranging from volatility modeling and calibration to asymptotic approximations and hypoelliptic PDEs. Andrea is frequent speaker at international conferences and professional and academic training courses on quantitative finance.



Stefano Pagliarani

Stefano Pagliarani is a researcher at Ecole Polytechnique in Paris. After graduating at the University of Bologna, he obtained his PhD from the University of Padua with a thesis on Lévy processes and their application to mathematical finance. His research interests include parabolic and hypoelliptic P(I)DEs, BSDEs, and their application to finance. He is the author of numerous publications in international journals on topics ranging from analytical approximations to pricing of vulnerable derivatives and portfolio optimization.



Marek Kolman

 Marek Kolman is a Ph.D. student of Finance at University of Economics in Prague and also works for J&T Banka as a Senior Risk Manager. His main focus is in the area of credit risk, where he is looking for connections with derivatives. He enjoys teaching (computational finance and financial mathematics), visiting conferences and doing sports.




Özcan Ceylan

Özcan Ceylan is Assistant Professor of Finance & Accounting at the Department of Business Administration at Istanbul Kemerburgaz University in Turkey. He received a B.A. in Economics in 2005 from Galatasaray University in Turkey. After he obtained his master's degree in 2006 from Université Paris Ouest Nanterre La Défense in France, he was granted a three-year doctoral research fellowship by the French Ministry of National Education. He has completed his PhD in Economics/Finance at Université Paris Ouest Nanterre in 2011. His research interests cover many areas in the fields of behavioral finance, high frequency data econometrics, market microstructure and financial instability. His research focuses particularly on analyzing the causes and consequences of variations in the level of risk aversion in stock markets.






Theo Berger

Theo Berger is an assistant professor of econometrics and statistics at the University of Bremen, with interests in risk management, forecasting and econometric approaches to problems in Finance. Prior to this he worked at DHL Corporate Treasury Departement and developed a risk management concept based on Value-at-Risk figures. He has a PhD in financial econometrics.



Martin Missong

Martin Missong is a professor of Empirical Economics and Applied Statistics at the University of Bremen, Faculty of Business Studies and Economics. His research focuses on Financial Econometrics and Risk Analysis. He is also working on interdisciplinary topics of applied risk management and statistics.



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