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   Current
Currently working in the banking sector in market risk.

  Research Interests
Theory and applications of Markov processes, Lévy processes, applied probability, mathematical finance, and actuarial science.

  Publications

Published papers:
Hackmann, D., and Kuznetsov, A. (2016) Approximating Lévy processes with completely monotone jumps. The Annals of Applied Probability, 26 (1), 328--359

Hackmann, D., and Kuznetsov, A. (2014) Asian options and meromorphic Lévy processes. Finance and Stochastics. 18(4): 825--844

Hackmann, D., and Kuznetsov, A. (2013) A note on the series representation for the density of the supremum of a stable process. Electronic Communications in Probability. 18(42): 1--5

Accepted papers:
Hackmann, D. (2017) Karhunen-Loève expansions of Lévy processes. To appear in Communications in Statistics - Theory and Methods.

Hackmann, D. (2017) Analytic techniques for option pricing under a hyperexponential Lévy model. To appear in Journal of Computational and Applied Mathematics.
Accompanying Mathematica software

Submitted papers:
Furman, E., Hackmann, D. and Kuznetsov, A., (2017) On Log-Normal Convolutions: An Analytical-Numerical Method With Applications to Economic Capital Determination. submitted.

Theses:
Analytical methods for Lévy processes with applications to finance (Ph.D. 2015)

The Optimal Dividend Problem for two Families of Meromorphic Lévy Processes (M.A. 2011)

Solving the Black-Scholes Equation using a Finite Difference Method (B.Sc. 2010)


  Talks

Invited Talks:
Hackmann, D. (2015) Analytical Methods for Lévy processes with applications to finance: Part 1 & Part 2. At: Institute of financial mathematics and applied number theory, Johannes Kepler University, Linz, Austria, March 2 & 3. Seminar

Hackmann, D. (2015) Analytical Methods for Lévy processes with applications to finance. At: Vienna Seminar in Mathematical Finance and Probability, University of Vienna, Vienna, Austria, January 22. Seminar

Contributed Talks:
Hackmann, D. (2016) Karhunen-Loève expansions of Lévy processes. At: 3rd Barcelona summer school on stochastic analysis, UAB, Barcelona, Spain, June 27--July 1. International summer school

Hackmann, D. (2015) The density of the supremum of a stable process. At: Joint Austrian-Hungarian mathematical conference, Széchenyi István University, Gyõr, Hungary, August 25--27. International conference

Hackmann, D. (2014) Approximating Lévy processes with completely monotone jumps. At: Workshop on statistical inference for Lévy processes, Lorentz Center, Leiden, The Netherlands, September 22--25. International conference

Hackmann, D. (2014) Approximating Lévy processes with completely monotone jumps. At: 2nd Barcelona summer school on stochastic analysis, UAB, Barcelona, Spain, July 7--11. International summer school

Hackmann, D. (2013) Asian options and meromorphic Lévy processes. At: The satellite summer school of the 7th international conference on Lévy processes, Bedlewo, Poland, July 8--13. International summer school

Hackmann, D. (2012) The optimal dividend problem for two families of meromorphic Lévy processes. At: CAIMS Meeting, Toronto, Canada, June 24--28. National conference



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