Dipl.-Ing. Christoph Gerstenecker, BSc

PRAE DOC UNIVERSITY ASSISTANT

I am a Prae Doc University Assistant within the group of Christa Cuchiero

 

CURRICULUM VITAE

RESEARCH ACTIVITIES

 

Office hour:
upon request

RESEARCH INTERESTS

  • Rough volatility
  • Large Deviations
  • Stochastic Volterra integral equations

RESERACH ACTIVITIES

  • Refereed Publications
    • S. Gerhold, C. Gerstenecker, A. Gulisashvili. Large deviations for fractional volatility models with non-Gaussian volatility driver, 2021. To appear in SPA. (LINK)
    • S. Gerhold, C. Gerstenecker. Large deviations related to the law of the iterated logarithm for Ito diffusions, Electronic Communications in Probability 25, paper no. 16, 2020. (LINK)
    • S. Gerhold, C. Gerstenecker, A Pinter. Moment explosions in the rough Heston model, Decisions in Economics and Finance 42(2), pp. 575-608, 2019. (LINK)
  • Talks
    • "Stochastic Volterra equations and rough volatility", Nov 19, 2020. Invited talk at the Vienna Seminar in Mathematical Finance and Probability, Vienna.
    • "Large deviations for fractional volatility models with non-Gaussian volatility driver", Sep 1, 2020. 13th European Summer School in Financial Mathematics, Vienna.
    • "Moment explosions in the rough Heston model", Jan 21, 2019. Poster at the 18th Winter school on Mathematical Finance, Lunteren.
    • "Moment explosions in the rough Heston model", Sep 13, 2018. 7th Austrian Stochastic Days 2018, Vienna.
    • "Moment explosions in the rough Heston model", Aug 31, 2018. 11th European Summer School in Financial Mathematics, Paris. 
  • Academic Services
    • Co-Organizer of the Vienna-Zurich Symposium for Young Researchers in Financial Mathematics and Related Fields (ViZuS 2019), Nov 27–29, 2019.