Talks and Conference Presentations

“Joint Estimation of Mean and Covariance for Unbalanced Panels”, Research Seminar, WU Vienna, 19 March 2025

“Kernel Density Machines”, Workshop on Numerical Methods for Finance and Insurance, University of Milan, 27 February 2025

“Shrinking the Term Structure”, Finance Innovations & AI Seminar, Canadian Imperial Bank of Commerce, 12 February 2025

“Stripping the Swiss Discount Curve using Kernel Ridge Regression”, Scandinavian Actuarial Conference, University of Copenhagen, 16 August 2024

“Learning the Moment Kernel: Nonparametric Conditional Mean and Covariance Estimation for Unbalanced Panels”, The OMI Machine Learning in Quantitative Finance Conference, Oxford, 6 June 2024

“Shrinking the Term Structure”, SFI Research Days, Gerzensee, 4 June 2024

“Kernel Density Machines”, Recent Developments in the Mathematics of Machine Learning (online conference), University of Wuppertal, 26 March 2024

“Kernel Methods with Applications in Finance and Statistics”, CMS Colloquium, Stockholm Mathematics Centre, 20 March 2024

“Shrinking the Term Structure”, Advanced Financial Technologies Laboratory Seminar, Stanford University, 22 February 2024

“Kernel Density Machines”, 17th International Conference on Computational and Financial Econometrics (CFE 2023), Berlin, 16 December 2023

“Shrinking the Term Structure”, New Challenges in the Interplay between Finance and Insurance, Oberwolfach Workshop, 5 October 2023

“Shrinking the Term Structure”, European Finance Association Annual Meeting, Amsterdam, 16 August 2023

“Joint Learning of International Yield Curves”, SIAM Conference on Financial Mathematics and Engineering (FM23), Philadelphia, 7 June 2023

“Stripping the Discount Curve – a Robust Machine Learning Approach”, Finance Research Seminar, University of St.Gallen, 21 March 2023

“Stripping the Discount Curve – a Robust Machine Learning Approach” Conference in memory of Tomas Björk, Swedish House of Finance, Stockholm, 10 October 2022 (conference)

“Stripping the Discount Curve – SAA Working Group on Yield Curves” CONVENTION A, European Actuarial Academy online conference, 21 September 2022 (conference)

“First Results of the SAA Working Group on Yield Curves” Annual Meeting of the Swiss Association of Actuaries, Andermatt, 26 August 2022 (program)

“Stripping the Discount Curve – a Robust Machine Learning Approach” 11th World Congress of the Bachelier Finance Society, Hong Kong (zoom), 17 June 2022 (congress)

“Empirical Asset Pricing via Gaussian Process Regression” SFI Research Days, Gerzensee, 14 June 2022 (conference)

“Empirical Asset Pricing via Gaussian Process Regression” Euler Institute Research Seminar, University of Lugano, 8 June 2022 (seminar)

“Stripping the Discount Curve – a Robust Machine Learning Approach” Actuarial Science and Financial Mathematics seminar, University of Waterloo, 1 April 2022 (seminar)

“Stripping the Discount Curve – a Robust Machine Learning Approach” World Online Seminar on Machine Learning in Finance, 8 February 2022 (seminar)

“Stripping the Discount Curve – a Robust Machine Learning Approach” Statistics and Mathematics Research Seminar, WU Wien, 19 January 2022 (seminar)

“Stripping the Discount Curve – a Robust Machine Learning Approach” Mathematical Finance Seminar, Columbia University, 2 December 2021 (seminar)

“StockTwits Sentiment Classification and Stock Returns” International FinTech, InsurTech & Blockchain Forum, Zurich, 19 November 2021 (conference)

“Stripping the Discount Curve – a Robust Machine Learning Approach” Risk Day, ETH Zurich, 17 September 2021 (conference)

“Stripping the Discount Curve – a Robust Machine Learning Approach” Workshop on Mathematics and Computation of Financial Engineering, Ettore Majorana Foundation and Centre For Scientific Culture, Erice, 4 September 2021

“Stripping the Discount Curve – a Robust Machine Learning Approach” Swiss Re Dependence Day, 5 July 2021

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” Online Workshop on Stochastic Analysis and Hermite Sobolev Spaces, 22 June 2021 (workshop)

“A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems” SFI Research Days, 8 June 2021 (conference)

“A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems” SIAM Conference on Financial Mathematics and Engineering, 2 June 2021 (conference)

“A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems” QuantLab lunch seminar, Pictet, 21 May 2021

“A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems” Virtual Risk Management and Insurance Seminar, Georgia State University, 30 April 2021

“A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems” SIAM Activity Group on Financial Mathematics and Engineering virtual seminar, 12 November 2020 (seminar) (video)

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” Bachelier Finance Society One World Seminar, 8 October 2020 (seminar)

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” SFI Research Days, Gerzensee, 8 June 2020 (conference)

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” CFM-Imperial Quantitative Finance Seminar, Imperial College London, 10 October 2019 (seminar)

“A Term Structure Model for Dividends and Interest Rates” Cambridge-Lausanne workshop, Lausanne, 27 September 2019 (workshop)

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” Vienna Congress on Mathematical Finance, Vienna, 9 September 2019 (conference)

“Replacement of LIBOR as a benchmark rate: State of play of Alternative Risk-Free Rates” 9th International Congress on Industrial and Applied Mathematics, Valencia, 17 July 2019 (conference)

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” 9th International Congress on Industrial and Applied Mathematics, Valencia, 15 July 2019 (conference)

“Machine Learning with Kernels for Portfolio Valuation and Risk Management” SIAM Conference on Financial Mathematics & Engineering, Toronto, 5 June 2019 (conference)

“A Machine Learning Approach to Portfolio Risk Management” Workshop on Replication in Life Insurance, Technical University of Munich, 10 May 2019 (workshop)

“A Machine Learning Approach to Portfolio Risk Management” David Sprott Distinguished Lecture, University of Waterloo, 25 April 2019 (lecture) (YouTube)

“A Term Structure Model for Dividends and Interest Rates” Finance Seminar, Smurfit Graduate Business School, University College Dublin, 28 March 2019

“Digitalization in Banking” La Semaine de la Digitalisation, University of Lausanne, 15 February 2019 (seminar)

“A Machine Learning Approach to Portfolio Risk Management” Mathematical Finance Seminar, Bielefeld University, 9 January 2019 (seminar)

“A Term Structure Model for Dividends and Interest Rates” Consortium for Data Analytics in Risk Seminar, UC Berkeley, 31 July 2018 (seminar)

“A Machine Learning Approach to Portfolio Risk Management” Advanced Financial Technologies Laboratory Seminar, Stanford University, 17 July 2018 (seminar)

“A Machine Learning Approach to Portfolio Risk Management” Minisymposium on Financial Tech, SIAM Annual Meeting, Portland, 11 July 2018 (conference)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” SFI Research Days, Gerzensee, 5 June 2018 (conference)

On the Relation between Linearity-Generating Processes and Linear-Rational Models” Econometrics-Finance Seminar, Aarhus University, 31 May 2018 (seminar)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” Risk and Stochastics Conference, London School of Economics and Political Science, 20 April 2018 (conference) Cambridge – Lausanne Workshop 2018 (discussant), Cambridge University, 24 March 2018 (workshop)

“Replicating Portfolio Approach to Capital Calculation” Opening Conference, Verona Paris Stochastic Modeling Semester, Verona University, 19 December 2017 (conference)

“Risk Management and Regulation” (panel session) Panel discussant, Workshop on Risk Measurement and Regulatory Issues in Business, Université de Montréal, 11-14 September 2017 (workshop)

“Replicating Portfolio Approach to Capital Calculation” Invited speaker, Workshop on Risk Measurement and Regulatory Issues in Business, Université de Montréal, 11-14 September 2017 (workshop)

“Replicating Portfolio Approach to Capital Calculation” Plenary Session, 52nd Actuarial Research Conference, Georgia State University, 27 July 2017 (conference)

“Polynomial Jump-Diffusion Models” (lecture) CEAR/Huebner Summer Risk Institute, Georgia State University, 25-26 July 2017 (institute)

“Polynomial Jump-Diffusion Models” Invited Paper Session, 61st World Statistics Congress of the International Statistics Institute (ISI), Marrakech, 17 July 2017 (congress)

“Polynomial models in finance” (mini course) School and Workshop on Dynamical Models in Finance, EPFL, 22-24 May 2017 (school)

“Replicating Portfolio Approach to Capital Calculation” Zürich-Hannover-Workshop on Insurance and Financial Mathematics, SCOR Zurich, 4 May 2017 (workshop)

“Replicating Portfolio Approach to Capital Calculation” Key Note Speaker, Conference on Innovations in Insurance, Risk- and Asset Management, Technical University of Munich, 7 April 2017 (conference)

“Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion” (discussant) Banque de France Seminar, Paris, 22 March 2017

“Replicating Portfolio Approach to Capital Calculation” Swissquant Workshop, Zurich, 10 March 2017

“Polynomial models in finance” (mini course) 16th Winter School on Mathematical Finance, Lunteren, 23-25 January 2017 (winter school)

“Systemic Risk and Central Clearing Counterparty Design” Winter School on Systemic Risk, EPFL, 10 January 2017 (winter school)

“Replicating Portfolio Approach to Capital Calculation” Institute of Actuaries of Belgium (IA|BE) Chair 2016, Brussels, 1 December 2016 (lecture) (slides) “

Replicating Portfolio Approach to Capital Calculation” Mathematisches Kolloquium, University of Freiburg, 13 October 2016 (colloquium)

“Replicating Portfolio Approach to Capital Calculation” 9th World Congress of the Bachelier Finance Society, New York, 19 July 2016 (congress)

“Systemic Risk and Central Clearing Counterparty Design” GRI-Fields Conference on the Stability of Financial Systems: Modelling, Regulation and Stress Testing, Toronto, 28 June 2016 (conference)

“Replicating Portfolio Approach to Capital Calculation” Versicherungsmathematisches Kolloquium, LMU Munich, 13 June 2016 (seminar)

“Systemic Risk and Central Clearing Counterparty Design” SFI Research Days, Gerzensee, 6 June 2016 (conference)

“Linear-Rational Term Structure Models” Mathematical Finance Seminar, Universités Paris 6 and Paris 7, 16 Apr 2016 (seminar)

“Linear-Rational Term Structure Models” Finance Seminar, University of Zurich, 11 Mar 2016 (seminar)

“Linear-Rational Term Structure Models” Quantitative Finance Seminar, Université catholique de Louvain, 19 Feb 2016 (seminar)

“Linear-Rational Term Structure Models” Key Speaker, Frontiers in Stochastic Modelling for Finance, Padua, Feb 2016 (conference)

“Is Asset Management the Right Strategic Initiative for Swiss Banking?” (panel discussant) 10th Annual Meeting of the Swiss Finance Institute, Zurich, Nov 2015 (meeting)

“Linear-Rational Term Structure Models” Finance Research Seminar, University of St.Gallen, Oct 2015 (seminar)

“Replicating Portfolio Approach to Solvency Capital Calculation” The Mathematics and Statistics of Quantitative Risk Management, MFO Oberwolfach, Sep 2015 (workshop)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” Mathematical Finance Beyond Classical Models, ETH, Sep 2015 (workshop)

“Linear-Rational Term Structure Models” Term Structure Modelling and the Zero Lower Bound, Banque de France, Paris, June 2015 (workshop)

“Polynomial Preserving Diffusions and Applications in Finance” Advanced Modelling in Mathematical Finance, Kiel, May 2015 (conference)

“Linear Commodity Futures Models” Stochastics of Environmental and Financial Economics, Norwegian Academy of Sciences, Oslo, April 2015 (conference)

“Systemic Risk and Central Counterparty Clearing” Workshop on Systemic Risk and Financial Networks, UCLA, March 2015 (workshop)

“Model Uncertainty and Scenario Aggregation” Journées Actuarielles de Strasbourg, September 2014 (workshop)

“Systemic Risk and Central Counterparty Clearing” Workshop on Systemic Risk: Models and Mechanisms, Cambridge University, August 2014 (workshop)

“Model Uncertainty and Scenario Aggregation” Dependence Day, Swiss Re Centre for Global Dialogue, Zurich, 4 July 2014

“Linear-Rational Term Structure Models” 8th World Congress of the Bachelier Finance Society, Brussels, Jun 2014 (conference)

“Polynomial Models in Finance” Festvortrag Carathéodory Gesellschaft, LMU Munich, 16 May 2014 (seminar)

“Power Heston model” (short communication) Stochastic Analysis in Finance and Insurance, MFO Oberwolfach, May 2014 (conference)

“Polynomial Commodity Futures Models” Workshop on Random Fields in Energy and Weather Finance, Wolfgang Pauli Institute, Vienna, Apr 2014 (workshop)

“Model Uncertainty and Scenario Aggregation” RiskMinds Insurance 2014, Amsterdam, Mar 2014 (conference)

“Linear-Rational Term Structure Models” Keynote Speaker, Symposium on Interest Rate Models in a Low Rate Environment, Claremont Graduate University, Mar 2014 (symposium)

“Linear-Rational Term Structure Models” Center for Financial and Risk Analytics Seminar, Stanford University, Mar 2014 (seminar)

“Linear-Rational Term Structure Models” Seminar on Mathematical Finance, Vienna, Jan 2014 (seminar)

“Linear-Rational Term Structure Models” London Mathematical Finance Seminar, Nov 2013 (seminar)

“Systemic Risk with Central Counterparty Clearing” Finance and Stochastics Seminar, Imperial College London, Nov 2013 (seminar)

“Linear-Rational Term Structure Models” Cambridge Finance Seminar, Nov 2013 (seminar)

“Scenario Aggregation for Solvency Regulation” Plenary speaker, 6th General AMaMeF and Banach Center Conference, Warsaw, Jun 2013 (conference)

“Risk-Based Solvency Regulation and Scenario Aggregation” Finance Research Seminar, Vienna Graduate School of Finance, Jun 2013 (seminar)

“Scenario Aggregation for Solvency Regulation” De Finetti Risk Seminar, Milano, Apr 2013 (seminar)

“Scenario Aggregation for Solvency Regulation” Plenary talk, IMA Conference on Mathematics in Finance, Edinburgh, Apr 2013 (conference)

“Scenario Aggregation for Solvency Regulation” Indices of Riskiness and New Risk Measures, ETH Zurich, Mar 2013 (workshop)

“Schweizer Solvenztest – Solvency II: Auswirkungen auf die Schweizer Wirtschaft” Swiss Finance Institute Connecting Minds, Zurich, Mar 2013 (event, documents)

“Polynomial Term Structure Models” The Seventh Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, Jan 2013 (conference)

“Risk-Based Solvency Regulation” ETH Risk Center Seminar, ETH Zurich, Dec 2012 (progam)

“Polynomial Term Structure Models” Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen, ETH Zurich, Sep 2012 (conference)

“Polynomial Term Structure Models” Stochastic Analysis and Applications, EPFL, Jun 2012 (conference)

“The Term Structure of Interbank Risk“ Global Derivatives Trading & Risk Management Conference, Barcelona, Apr 2012 (conference)

“The Term Structure of Interbank Risk” Invited talk, Conference on Liquidity and Credit Risk, Freiburg, Mar 2012 (conference)

“Polynomial Term Structure Models” Invited talk, 10th German Probability and Statistics Days, Mainz, Mar 2012 (conference)

“The Term Structure of Interbank Risk” The Mathematics and Statistics of Quantitative Risk Management, MFO Oberwolfach, Feb 2012 (conference)

“The Term Structure of Interbank Risk” Finance Seminar, University of Zurich, Dec 2011

“The Term Structure of Interbank Risk” Workshop on Interest Rate and Credit Risk, Chemnitz, Nov 2011 (conference)

“The Term Structure of Interbank Risk” Talks in Financial and Insurance Mathematics, ETH Zurich, Nov 2011

“The Term Structure of Interbank Risk” Workshop on Mathematical Modeling of Systemic Risk, Paris, June 2011 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” Keynote lecture, 8th FINRISK Research Day, Gerzensee, June 2011 (conference)

“Variance Swap Curve Models” Seventh Seminar on Stochastic Analysis, Random Fields, and Applications, Ascona, May 2011 (conference) Princeton-Lausanne Workshop on Quantitative Finance (Discussant), Lausanne, May 2011 (conference)

“Variance Swap Rate Factor Models” Recent Developments in Mathematical Finance, Stockholm, May 2011 (conference)

“Quadratic Variance Swap Term Structure Models” Global Derivatives Trading & Risk Management Conference, Paris, Apr 2011 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” Actuarial and Financial Mathematics Conference, Brussels, Feb 2011 (conference)

“Identifiable Term-Structure Models” (short communication) Stochastic Analysis in Finance and Insurance, MFO Oberwolfach, Jan 2011 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” Finance Seminar, University of Geneva, Dec 2010

“Pricing and Hedging Collateralized Debt Obligations” 5th Annual Meeting of the Swiss Finance Institute, Zurich, Nov 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” Risk Day, Zurich, Sep 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” Annual Meeting of the Swiss Association of Actuaries, St.Gallen, Sep 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” 73rd Annual Meeting of the Institute of Mathematical Statistics (IMS), Gothenburg, Aug 2010 (conference)

“Equivalent Measure Changes for Jump-Diffusions” Analysis, Stochastics, and Applications, Vienna, Jul 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence” Plenary Speaker, 6th World Congress of the Bachelier Finance Society, Toronto, Jun 2010 (conference)

“Pricing and Hedging of CDOs: a Top-down Approach” Workshop on Foundations of Mathematical Finance, Fields Institute, Toronto, Jan 2010 (conference) 2009: Quantitative Methods in Finance, Sydney; Workshop Spectral and Cubature Methods in Finance and Econometrics, University of Leicester; Adam Smith Asset Pricing Conference (Discussant), University of Oxford; Mathematical Finance Seminar, University of Oxford; Financial Mathematics and Applied Probability Seminar, King’s College London 2008: Seminar in Financial and Insurance Mathematics, ETH Zurich; Séminaire de Finance Quantitative, EPF Lausanne; Workshop on Dynamic and Multivariate Risk Measures, Institut Henri Poincaré, Paris; Workshop on Portfolio Risk Management, TU Vienna; Johann Radon Institute for Computational and Applied Mathematics, Kick-off-Workshop Special Semester on Stochastics with Emphasis on Finance; 12th International Congress on Insurance:Mathematics and Economics, Dalian, China; Stochastic Analysis and Applications: from Mathematical Physics to Mathematical Finance, Princeton University; Sixth Seminar on Stochastic Analysis, Random Fields and Applications, Ascona; Workshop on the Mathematics and Statistics of Quantitative Risk Management, MFO Oberwolfach; Mathematisches Kolloquium, University of Vienna; Croatian Quants Day, Zagreb; Probability Seminar, University of Zagreb; Mini-Workshop on Mathematics of Solvency, MFO Oberwolfach; Workshop on Stochastic Analysis in Finance and Insurance, MFO Oberwolfach; Quantitative Finance Seminar, Humboldt-Universität zu Berlin; Research Seminar, Department of Statistics and Mathematics , WU Vienna 2007: Internal Models in Risk Management, Amsterdam Center for Finance and Insurance; Actuarial Science Seminar, University of Amsterdam; Kolloquium des Instituts für Statistik und Decision Support Systems, University of Vienna; Pauli Symposium on PDEs in mathematical