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Welcome

I was a researcher in the Research Unit of Financial and Actuarial Mathematics at TU Wien, Austria.

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 Managment 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] S. Gerhold, I. C. Gülüm, A variant of Strassen's theorem: Existence of martingales within a prescribed distance, 2016. Submitted. arXiv
[3] S. Gerhold, I. C. Gülüm, Consistency of option prices under bid-ask spreads, 2016. Submitted. arXiv

Current Projects

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