## 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,* 2016, Applied Mathematical Finance 23(2), pp. 135-157,
.pdf

[2] . Gerhold, I. C. Gülüm, * Peacocks nearby: approximating sequences of measures, * 2018. To appear in SPA.

[3] S. Gerhold, I. C. Gülüm, * Consistency of option prices under bid-ask spreads,* 2018. Submitted.
arXiv

## 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

*
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@gmx.net

**Tel.:** +43-1-58801 105179

Dr Ismail Cetin Gülüm

Vienna University of Technology

Financial and Actuarial Mathematics

Wiedner Hauptstraße 8 / 105-1

A-1040 Vienna, Austria