[ sulge aken ]
| Elulookirjeldus (CV) | ||
| 1. | Eesnimi | Raul |
| 2. | Perekonnanimi | Kangro |
| 3. | Töökoht | Tartu Ülikool, matemaatika-informaatika teaduskond, matemaatilise statistika instituut |
| 4. | Ametikoht | Finantsmatemaatika dotsent |
| 5. | Sünniaeg | 20.05.1966 (päev.kuu.aasta) |
| 6. | Haridus | Tartu Riiklik Ülikool, 1992, rakendusmatemaatiku diplom Carnegie Melloni Ülikol, 1997, PhD (matemaatika) |
| 7. | Teenistuskäik | Alates 09/2005, Tartu Ülikool, Matemaatilise statistika instituut, finantsmatemaatika dotsent 06/2002-08/2005, Audentese Ülikool, Infotehnoloogia teaduskonna dekaan 01/2002-08/2005, Audentese Ülikool, rakendusmatemaatika professor 09/2001-12/2001, Mainori Majandusintituut, rakendusmatemaatika professor 02/2000-06/2002, Tartu Ülikool, Rakendusmatemaatika instituut, 1/2 koormusega vanemteadur 02/2000-08/2001, Tartu Ülikool, Matemaatilise statistika instituut, 1/2 koormusega lektor 09/1997-08/1999, Tartu Ülikool, Rakendusmatemaatika instituut, vanemteadur 09/1992-06/1997, Carnegie Melloni Ülikool, Matemaatikateaduskond assistent |
| 8. | Teaduskraad | Ph.D. (matemaatika) |
| 9. | Teaduskraadi välja andnud asutus, aasta |
Carnegie Melloni Ülikool, 1997 |
| 10. | Tunnustused | 1999 aasta A. Humala preemia |
| 11. | Teadusorganisatsiooniline ja –administratiivne tegevus |
09/98-08/02 TÜ Mat.-inform. teadusk. nõukogu liige alates 06/99 Eesti Matemaatika Seltsi juhatuse liige |
| 12. | Juhendamisel kaitstud väitekirjad |
Liile Jõgi, MSc, 2005, juh. Raul Kangro. Ühe aktsia käitumist kirjeldavate Black-Scholesi tüüpi turumudelite parameetrite hindamisest. Tartu Ülikool Valeri Koort, MSc, 2004, juh. Raul Kangro, Tõnu Kollo. Võrestiku-, Monte-Carlo ning kvaasi-Monte-Carlo meetodid Euroopa optsioonide hindamiseks. Tartu Ülikool Artur Sepp, MSc, 2003, juh. Raul Kangro, Kalev Pärna. Modeling Volatility Smiles via Jump-Diffusion Stochastic Volatility and Lèvy Processes. Tartu Ülikool Artur Sepp, MSc, 2003, juh. Raul Kangro, Kalev Pärna. Analytical Pricing of Path-Dependent Options under Jump-Diffusion Processes: Application of Laplace Transform. Tartu Ülikool |
| 13. | Teadustöö põhisuunad | finantsmatemaatika, integraal- ja diferentsiaalvõrrandid |
| 14. | Jooksvad grandid | ETF grant nr 5221 (2002-2005) põhitäitja |
| 15. | Teaduspublikatsioonid |
R. Kangro, K. Pärna, A. Sepp, Pricing European-style options under jump diffusion processes with stochastic volatility: applications of Fourier transform. Acta et Commentationes Universitatis Tartuensis de Mathematica, 8 (2004), 123-133. R. Kangro, I. Parts, Superconvergence in the maximum norm of a class of piecewise polynomial collocation methods for solving linear weakly singular Volterra integro-differential equations, J. Integral Equations Appl. 15 (2003), no. 4, 403-427. R. Kangro, R. Pallav, A. Pedas, Quadratic spline collocation method for weakly singular integral equations, Proc. Estonian Acad. Sci. Phys. Math. 51 (2002), no. 1, 47-60. R. Kangro, R. A. Nicolaides, Estimates for the Far Field Truncation Error for Multidimensional Black-Scholes Equations with Variable Coefficients, SIAM J. Numer. Anal. 38 (2000), no. 4, 1357-1368. R. Kangro, U. Kangro, R. A. Nicolaides, Extendability of Solutions of Helmholtz's Equation to the Interior of a Two Dimensional Scatterer, Quart. Appl. Math. 58 (2000), no. 3, 591-600. R. Kangro, U. Kangro, Function spaces related to divergence and curl operators, Differential and Integral Equations: Theory and Numerical Analysis (ed. by A. Pedas), Est. Math. Soc., Tartu, 1999, 53-63. R. Kangro, On the smoothness of solutions to an integral equation with a kernel having a singularity on a curve. Acta et comm. Univ. Tartuensis, 913 (1990), 24-37. |
viimati muudetud: 04.08.2005
| Curriculum Vitae (CV) | ||
| 1. | First Name | Raul |
| 2. | Surname | Kangro |
| 3. | Institution | University of Tartu, Faculty of Mathematics and Computer Science, Institute of Mathematical Statistics |
| 4. | Position | Docent of Financial Mathematics |
| 5. | Date of birth | 20.05.1966 (day.month.year) |
| 6. | Education | The State University of Tartu, 1992, diploma in applied mathematics Carnegie Mellon University, 1997, PhD (mathematics) |
| 7. | Research and professional experience |
Since 09/2005, Tartu University, Institute of Mathematical Statistics, Docent of Financial Mathematics 06/2002-08/2005, Audentes University, Dean of Faculty of Information Technology 01/2002-08/2005, Audentes University, Proffessor of Applied Mathematics 09/2001-12/2001, Mainor Business School, Proffessor of Applied Mathematics 02/2000-06/2002, Tartu University, Institute of Applied Mathematics, 1/2-time senior researcher 02/2000-08/2001, Tartu University, Institute of Mathematical Statistics, 1/2-time lecturer 09/1997-08/1999, Tartu University, Institute of Applied Mathematics, senior researcher 09/1992-06/1997, Carnegie Melloni University, Department of Mathematics, teaching assistant |
| 8. | Academic degree | Ph.D. (mathematics) |
| 9. | Dates and sites of earning the degrees |
Carnegie Mellon University, 1997 |
| 10. | Honours/awards | A. Humal's prize in mathematics, 1999 |
| 11. | Research-administrative experience |
09/98-08/02 member of the council of the Faculty of Math. and Comp. Science of TU since 06/99 member of the board of Estonian Mathematical Society |
| 12. | Supervised dissertations |
Liile Jõgi, MSc, 2005, superv. Raul Kangro. Ühe aktsia käitumist kirjeldavate Black-Scholesi tüüpi turumudelite parameetrite hindamisest. Tartu Ülikool Valeri Koort, MSc, 2004, superv. Raul Kangro, Tõnu Kollo. Võrestiku-, Monte-Carlo ning kvaasi-Monte-Carlo meetodid Euroopa optsioonide hindamiseks. Tartu Ülikool Artur Sepp, MSc, 2003, superv. Raul Kangro, Kalev Pärna. Modeling Volatility Smiles via Jump-Diffusion Stochastic Volatility and Lèvy Processes. Tartu Ülikool Artur Sepp, MSc, 2003, superv. Raul Kangro, Kalev Pärna. Analytical Pricing of Path-Dependent Options under Jump-Diffusion Processes: Application of Laplace Transform. Tartu Ülikool |
| 13. | Current research program | computational finance, integral and differential equations, numerical methods |
| 14. | Current grant funding | EstSF grant no 5221 (2002-2005), senior personnel |
| 15. | List of most important publications |
R. Kangro, K. Pärna, A. Sepp, Pricing European-style options under jump diffusion processes with stochastic volatility: applications of Fourier transform. Acta et Commentationes Universitatis Tartuensis de Mathematica, 8 (2004), 123-133. R. Kangro, I. Parts, Superconvergence in the maximum norm of a class of piecewise polynomial collocation methods for solving linear weakly singular Volterra integro-differential equations, J. Integral Equations Appl. 15 (2003), no. 4, 403-427. R. Kangro, R. Pallav, A. Pedas, Quadratic spline collocation method for weakly singular integral equations, Proc. Estonian Acad. Sci. Phys. Math. 51 (2002), no. 1, 47-60. R. Kangro, R. A. Nicolaides, Estimates for the Far Field Truncation Error for Multidimensional Black-Scholes Equations with Variable Coefficients, SIAM J. Numer. Anal. 38 (2000), no. 4, 1357-1368. R. Kangro, U. Kangro, R. A. Nicolaides, Extendability of Solutions of Helmholtz's Equation to the Interior of a Two Dimensional Scatterer, Quart. Appl. Math. 58 (2000), no. 3, 591-600. R. Kangro, U. Kangro, Function spaces related to divergence and curl operators, Differential and Integral Equations: Theory and Numerical Analysis (ed. by A. Pedas), Est. Math. Soc., Tartu, 1999, 53-63. R. Kangro, On the smoothness of solutions to an integral equation with a kernel having a singularity on a curve. Acta et comm. Univ. Tartuensis, 913 (1990), 24-37. |
last updated: 04.08.2005
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