Welcome
I was a researcher in the Research Unit of Financial
and Actuarial Mathematics at TU Wien, Austria until October 2016.
After two years of working in the private sector I returned to FAM as a part-time external lecturer.
Currently I supervise
Bachelor theses.
Although working in the industry now, I have not turned my back on scientific research.
My scientific interest is financial mathematics in general, computational finance, machine learning and topics in risk management.
I was a member of the 9th class of the Portfolio Management Program (PMP) .
Publications
[1] S. Gerhold, I. C. Gülüm, A. Pinter, Small-maturity asymptotics for the
at-the-money implied volatility slope in Lévy models,
Applied Mathematical Finance 23(2), pp. 135-157, 2016.
.pdf
[2] S. Gerhold, I. C. Gülüm, Peacocks nearby: approximating sequences of measures,
Stochastic Processes
and their Applications 129(7), pp. 2406-2436, 2019.
.pdf
[3] S. Gerhold, I. C. Gülüm, Consistency of option prices under bid-ask
spreads, Mathematical Finance 30(2), pp. 377-402, 2020.
open access
Thesis
[1] I. C. Gülüm, Consistency of Option Prices under Bid-Ask Spreads
and Implied Volatility Slope Asymptotics, Ph.D. thesis, UT Vienna, 2016.
.pdf
Talks
Modelling of Non-Maturing Deposits,
September 29, 2020. Praxis der Finanz- und Versicherungsmathematik 2020, Vienna.
Modelling of Non-Maturing Deposits,
December 3, 2019. Invited Talk at Vienna University of Economics and Business for the Lecture Quantitative Optimization Methods in Finance, Vienna.
Machine Learning bei einer Bank,
September 26, 2018. Praxis der Finanz- und Versicherungsmathematik 2018, Vienna. slides
A Variant of Strassen's Theorem with an Application to the Consistency of Option Prices,
July 16, 2016. 9th World Congress of the Bachelier Finance Society, New York. slides
A Variant of Strassen's Theorem with an Application to the Consistency of Option Prices,
June 29, 2016. 3rd Young Researchers Meeting in Probability, Numerics and Finance, Le Mans.
A Variant of Strassen's Theorem with an Application to the Consistency of Option Prices,
June 13, 2016. Seminar Talk at Ulm University, Ulm.
A Variant of Strassen's Theorem with an Application to the Consistency of Option Prices,
June 1, 2016. 5th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin.
A Variant of Strassen's Theorem with an Application to the Consistency of Option Prices,
March 3, 2016. German Probability and Statistics Days 2016, Bochum.
A variant of Strassen's theorem:
Existence of martingales within a prescribed distance,
Dec 10, 2015. Vienna Seminar in Mathematical Finance and Probability, Vienna.
On the Existence of an equivalent martingale measure which preserves the Dependence Structure,
Sep 27, 2013. PRisMa 2013, One-Day Workshop on Portfolio Risk Management, Vienna.
Contact
Email: ismail.cetin.gueluem -AT- gmx.net
Dr Ismail Cetin Gülüm
Vienna University of Technology
Financial and Actuarial Mathematics
Wiedner Hauptstraße 8 / 105-1
A-1040 Vienna, Austria