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Prof. Dr. Martin Rainer

Room: Uygulamalı Matematik Enstitüsü Oda 217

Office Phone: +90 312 210 5695

Fax: +90 312 210 2987

E-mail: mrainer [at] metu.edu.tr

Contents 1 Classes and Seminars 2 Recent Publications 3 Research Interests 4 Academic Degrees

Classes and Seminars

Fall/Winter 2009/2010:

IAM 752 Advanced Interest Rate Models

IAM 753 Stochastic Energy Pricing Models

Spring 2009:

IAM 554 Stochastic Interest and Credit Models

Related Semester Projects:

Ceren Eda Can, "On Calibration of the LIBOR Market Model to Caps Prices"

Hatice Anar, Ibrahim Ethem Güney, Erkan Kalayci, "An Empirical Study on Commodity Linked Bonds."

IAM 743 Special Topics: Financial Mathematics of Incomplete Markets

IAM 752 Special Topics: Stochastic Processes and Related Geometry

Recent Publications

M. Rainer, On self-affine stable stochastic processes applied in solar physics, IYA-2009 Int. Conference on Astronomy, Physics, and Mathematics (15.-18.10.2009) Nakhchivan.

M. Rainer, Derivatives pricing in incomplete markets, 23rd. EURO Conference on Operations Research (05.-08.07.2009) Bonn.

S. Giebel and M. Rainer, Forecast of stock prices by using neural networks in comparison to log-normal estimation, 4th. Statistical Days (17.-20.06.2009) Univ. Luxembourg.

M. Rainer, Calibration of Ornstein-Uhlenbeck yield processes and dynamical control of short rate models, Workshop on Recent Developments in Applied Probability and Statistics (23.-24.04.2009) METU Ankara.

M. Rainer, Calibration of stochastic models for interest rate derivatives, Optimization 58 (2009) 373—388.

M. Rainer, Calibrated Stochastic Pricing Models: From Interest to Credit Derivatives, AMaMeF Workshop (25-26.04.2008) METU Ankara.

Research Interests

Mathematical Finance: Derivatives Pricing and Hedging in Complete and Incomplete Markets; Equivalent Martingale Measures, Market Price of Risk, Risk Measures; No-Free-Lunch-Without-Vanishing-Risk Theorems; Utility Indifference Pricing, Risk Indifference Pricing; Minimal Entropy Measure

FX, Interest, and Credit Markets: Pricing and Hedging; FX, Interest and Credit Derivatives; Credit Default Models; Calibrated Models for Short Rates and Market Rates; Interest Instruments linked to Commodities, FX, and Inflation

Commodity and Energy Markets: Pricing and Hedging, Calibrated Models for Spot- and Future Prices; Pricing Natural Resources and Agricultural Products; Markets of Hydrocarbons, Power, Renewable Energies

Risk Assessment and Management: Market Risk, Risk Assessment in Incomplete Markets; Convex Risk Measures; Risk Aversion; Default Risk, Extremal Events; Risk Aggregation; Hedging Instuments, Hedge Efficiency

Economical Models: Developing and Emerging Markets; Stochastic Models for Interest, FX, and Inflation

Mathematical Ecology: Stochastic Models for Weather and Climate; Natural Resources, Human Consumption and Emission Processes; Efficiency of Renewable Energy Systems; Measuring Ecological Cost

Mathematical Modelling: Data Analysis, Model Calibration, Dynamical Programming; Complex Systems

Stochastic Analysis: Stochastic Integration, (Semi-)Martingales, Stochastic Calculus of Variations; Ito-Stratonovich Calculus; Wiener-Ito Chaos Expansion; Processes with Selfsimiliarity, Stability, Stationarity, Additivity; Integral Representations, Invariants; Ornstein-Uhlenbeck semigroups and operators; Continuous Time Limit of Discrete Processes

Geometry: Riemannian Geometry and Lie-Groups; Invariants and Classifying Spaces; Fractal Geometry, Stochastic Geometry

Mathematical Physics: Quantum Field Theory; Quantum Geometry, Quantum Cosmology; Entropy and Information

Academic Degrees

• Ph.D. (Mathematics): Universität Potsdam, 1994

• M.S./Diplom (Mathematical Physics): Universität Heidelberg, 1989

• B.Sc./Vordiplom (Mathematics & Physics): Universität Erlangen, 1985

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