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| Elulookirjeldus (CV) | ||
| 1. | Eesnimi | Artur |
| 2. | Perekonnanimi | Sepp |
| 3. | Töökoht | Tartu Ülikool, matememaatilise statistika instituut |
| 4. | Ametikoht | Doktorant |
| 5. | Sünniaeg | 07.08.1977 (päev.kuu.aasta) |
| 6. | Haridus | 2003-... Tartu Ülikool, Matemaatiline statistika, doktorantuur 2000-2003 Tartu Ülikool, Finants- ja kindlustusmatemaatika, magistratuur 1996-2000 Tallinna Tehnikaülikool, Rahvamajandus, bakalaureus 1985-1996 Kohtla-Järve 3. Keskkool |
| 7. | Teenistuskäik | |
| 8. | Teaduskraad | 1) Matemaatilise statistika magister 2) Finants- ja kindlustus-matemaatika kutsemagister |
| 9. | Teaduskraadi välja andnud asutus, aasta |
Tartu Ülikool, 2003 Tartu Ülikool, 2003 |
| 10. | Tunnustused | 1) Eesti Teaduste Akadeemia I auhind magistritöö “Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform” eest, detsember 2003 |
| 11. | Teadusorganisatsiooniline ja –administratiivne tegevus |
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| 12. | Juhendamisel kaitstud väitekirjad |
|
| 13. | Teadustöö põhisuunad | Uurimisteemaks on finantsmodelleerimine Levy protsesside abil. Eesmärgiks on kasutada Levy protsesse finantsaktiva hinna modelleerimiseks ning alusvara hinnast sõltuvate tuletisväärtpaberite hindamiseks. Uurimustöö põhirõhk on analüütiliste meetodite tuletamisel selliste väärtpaberitega seotud hindamisprobleemide lahendamiseks |
| 14. | Jooksvad grandid | |
| 15. | Teaduspublikatsioonid |
Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform, International Journal of Theoretical and Applied Finance, Vol.7, No. 2, (March 2004), 151-175 Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (with Raul Kangro and Kalev Pärna), Acta et Commentationes Universitatis Tartuensis de Mathematica, vol. 8 (2004), p.123-133 Option Pricing with Jumps (with Igor Skachkov), Wilmott Magazine, November 2003, 50-58 |
viimati muudetud: 29.07.2005
| Curriculum Vitae (CV) | ||
| 1. | First Name | Artur |
| 2. | Surname | Sepp |
| 3. | Institution | University of Tartu, Institute of Mathematical Statistics |
| 4. | Position | PhD student |
| 5. | Date of birth | 07.08.1977 (day.month.year) |
| 6. | Education | 2003-... University of Tartu, PhD in Statistics 2000-2003 University of Tartu, Master in Financial and Actuarial Mathematics 1996-2000 Tallinn University of Technology Faculty, B.S. in Economics 1985-1996 Kohtla-Jarve 3rd Keskkool |
| 7. | Research and professional experience |
|
| 8. | Academic degree | 1) M.Sc. in Mathematical Statistics 2) Master in Financial and Actuarial Mathematics |
| 9. | Dates and sites of earning the degrees |
University of Tartu, 2003 University of Tartu, 2003 |
| 10. | Honours/awards | 1) ETA Student Research Paper I Award for the Master’s thesis “Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform”, Dec 2003 |
| 11. | Research-administrative experience |
|
| 12. | Supervised dissertations | |
| 13. | Current research program | My research interests include mathematical finance and pricing derivatives securities, in particular: incomplete markets, jump-diffusion processes and their implications for pricing and risk management. In my PhD work and related publications, I have been developing closed-form solutions for pricing of vanilla and path-dependent options under jump-diffusions. I'm looking forward to extend my methods for a broader class of stochastic processes and financial instruments as well as develop hedging strategies in incomplete markets. |
| 14. | Current grant funding | |
| 15. | List of most important publications |
Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform, International Journal of Theoretical and Applied Finance, Vol.7, No. 2, (March 2004), 151-175 Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (with Raul Kangro and Kalev Pärna), Acta et Commentationes Universitatis Tartuensis de Mathematica, vol. 8 (2004), p.123-133 Option Pricing with Jumps (with Igor Skachkov), Wilmott Magazine, November 2003, 50-58 |
last updated: 29.07.2005
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