Zehra Eksi

Vienna University of Economics and Business, Institute for Statistics and Mathematics

Assistant Professor

Welthandelsplatz 1

Building D4, 4th floor

Vienna, 1020

Austria

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 46,736

in Total Papers Downloads

933

SSRN CITATIONS
Rank 49,926

SSRN RANKINGS

Top 49,926

in Total Papers Citations

6

CROSSREF CITATIONS

4

Scholarly Papers (8)

1.

Pairs Trading Under Drift Uncertainty and Risk Penalization

International Journal of Theoretical and Applied Finance, Vol. 21, No. 7, 2018
Number of pages: 24 Posted: 20 Apr 2017 Last Revised: 25 Oct 2018
Sühan Altay, Katia Colaneri and Zehra Eksi
Vienna University of Economics and Business, Institute for Statistics and Mathematics, University of Rome Tor Vergata, Department of Economics and Finance and Vienna University of Economics and Business, Institute for Statistics and Mathematics
Downloads 233 (137,985)
Citation 2

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pairs trading, regime-switching, utility maximization, risk penalization and partial information

2.

Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework

Swiss Finance Institute Research Paper No. 13-54
Number of pages: 21 Posted: 19 Oct 2013
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 203 (157,320)

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affine Gaussian processes, inflation-indexed bonds, no-arbitrage, pricing, hedging, market completeness

3.

A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations

Swiss Finance Institute Research Paper No. 13-09
Number of pages: 30 Posted: 30 Mar 2013 Last Revised: 10 Apr 2013
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 194 (164,087)
Citation 2

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collateralized debt obligations, single-tranche CDO, affine term-structure of credit spreads, catastrophic risk

4.

On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations

Swiss Finance Institute Research Paper No. 13-18
Number of pages: 31 Posted: 12 Apr 2013
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 103 (272,470)

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single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance-minimizing hedge, regression-based hedge

5.

Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information

Number of pages: 37 Posted: 15 Jun 2017
Sühan Altay, Katia Colaneri and Zehra Eksi
Vienna University of Economics and Business, Institute for Statistics and Mathematics, University of Rome Tor Vergata, Department of Economics and Finance and Vienna University of Economics and Business, Institute for Statistics and Mathematics
Downloads 77 (327,012)
Citation 1

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utility maximization, regime-switching, market sentiment, partial information, piece-wise deterministic Markov processes

6.

Optimal Liquidation under Partial Information with Price Impact

Number of pages: 32 Posted: 13 Feb 2017 Last Revised: 17 Jun 2018
University of Rome Tor Vergata, Department of Economics and Finance, Vienna University of Economics and Business, Institute for Statistics and Mathematics, Independent and WU Vienna University of Economics and Business
Downloads 48 (413,816)
Citation 5

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Optimal liquidation, stochastic filtering, piecewise deterministic Markov process, Markov decision models, viscosity solutions

7.

EM Algorithm for Markov Chains Observed Via Gaussian Noise and Point Process Information: Theory and Case Studies

Number of pages: 34 Posted: 11 Jul 2017
Camilla Damian, Zehra Eksi and Rüdiger Frey
Vienna University of Economics and Business, Vienna University of Economics and Business, Institute for Statistics and Mathematics and Vienna University of Economics and Business
Downloads 41 (440,575)

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Expectation maximization (EM) Algorithm, hidden Markov models, point processes, non-linear filtering, goodness-of-fit tests, credit risk ratings

8.

Optimal Convergence Trading with Unobservable Pricing Errors

Number of pages: 25 Posted: 11 Dec 2018 Last Revised: 11 Oct 2019
Sühan Altay, Katia Colaneri and Zehra Eksi
Vienna University of Economics and Business, Institute for Statistics and Mathematics, University of Rome Tor Vergata, Department of Economics and Finance and Vienna University of Economics and Business, Institute for Statistics and Mathematics
Downloads 34 (470,468)
Citation 1

Abstract:

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optimal control, convergence trade, regime-switching, partial information