Higher School of Econom ics (M oscow, Russia) Senior research scientist Research on Lévy-based models

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1 VLADIMIR PANOV Shabolovka 28/11, building 9, office Moscow Russia Tel: +7 (965) Research interests Lévy-based models Statistical inference for stochastic processes Stochastic modeling Data mining, statistical software, applications of statistical methods Education Ph.D. (Mathematics), Humboldt University (Berlin), Concentrations: stochastic volatility models, Blumenthal-Getoor index Dissertation on the topic: Abelian theorem for stochastic volatility models and semiparametric estimation of the signal space. M.S., Lomonosov University (Moscow), Faculty of mechanics and mathematics, diploma with distinction. Experience present Higher School of Economics (M oscow, Russia), Faculty of Econom ic Sciences Department of statistics and data analysis Associate professor Research on statistical inference for complex stochastic models Teaching: Stochastic processes, Modelling of jump processes in economics, Data mining techniques present Higher School of Econom ics (M oscow, Russia) International laboratory of stochastic analysis and its applications, Senior research scientist Research on Lévy-based models University of Duisburg Essen (Germ any) and Laboratory of structure m ethods of data analysis in predictive m odeling (M IPT, M oscow), 1

2 Postdoc Project Stochastic methods for complex dynamical processes Weierstrass institute for applied analysis and stochastics (Berlin, Germany), Research assistant Research on stochastic volatility models (financial mathematics) and data mining (dimension reduction, pattern recognition) StatSoft Russia (Moscow), Expert in statistical analysis Application of statistical methods in various fields as marketing, social sciences, pharmaceutical, insurance Statistical and data mining consulting, teaching Main publications 2017 Low-frequency estimation of continuous-time moving average Levy processes (with D. Belomestny and J. Woerner) Bernoulli (to appear) Limit theorems for sums of random variables with mixture distribution Statistics and Probability Letters, Vol P Series representations for multivariate time-changed Lévy model Methodology and computing in applied probability, 19 (1): Sup-norm convergence rates for Lévy-density estimation (with V.Konakov). Extremes, 19 (3): Statistical inference for generalized Ornstein-Uhlenbeck processes (with D.Belomestny) Electronic journal of statistics, 9: Estimation of the activity of jumps in time-changed Lévy models (with D. Belomestny) Electronic journal of statistics, 7: Abelian theorems for stochastic volatility models with application to the estimation of jump activity. (with D. Belomestny) Stochastic processes and their applications, 123(1):

3 Books 2017 Modern problems of stochastic analysis and statistics - Selected contributions in honor of Valentin Konakov (editor - V. Panov.) Springer 2013 Modern mathematical statistics: exercises and solutions a practice book for mathematical statistics. (with W. Härdle, V.Spokoiny and W.Wang). Heidelberg: Springer Verlag Other publications 2015 Построение COGARCH (Continuous GARCH) модели. (with A.Markova) В книге: математическое моделирование в экономике, страховании и управлении рисками. Сборник материалов IV Международной молодёжной научно-практической конференции. Издательство Саратовского университета, с Modeling dependence between Lévy processes. Proceedings of the conference Information Technologies and Systems Semiparametric estimation of the signal subspace. (with D.Belomestny, V. Spokoiny) Journal of machine learning and data analysis, 1(3): Estimation of the activity of jumps in time-changed Lévy models. (with D. Belomestny). SFB 823 Preprint, Nr. 39/2012. Оценивание индекса Блюменталя-Гетура на основе асимптотического поведение характеристической функции. Сборник трудов конференции 'Интеллектуализация обработки информации. Statistical estimation of the jump activity for time-changed Lévy processes. Proceedings of the conference Information Technologies and Systems Estimation of the signal subspace without estimation of the inverse covariance matrix. WIAS Preprint, Nr.1546 and SFB 649 Discussion paper, No Non-Gaussian component analysis: New ideas, new proofs, new applications. WIAS Preprint, Nr.1501 and SFB 649 Discussion paper, No

4 Grants received Grant for the International Laboratory of Stochastic Analysis and its Applications Grant for research group for probabilistic and functional methods Research project within the Collaborative research center 823 Statistical modeling of nonlinear dynamic processes (DFG, German research foundation) Research project within the Collaborative research center 649 Economic Risk (DFG, German research foundation) Oberwolfach Leibniz graduate students travel grant Russian foundation of basic research. Selected talks at conferences and seminars 2017 Conference on ambit fields and related topics (Aarhus, August 2017) 10 th Extreme value analysis conference EVA2017 (Delft, June 2017) Modern econometric tools and applications META2017 (Nizhnij Novgorod, June 2017) 2016 World congress in probability and statistics (Toronto, July 2016) Conference on fractality and fractionality (Leiden, May 2016) 12 th German probability and statistics days (Bochum, March 2016) 2015 New trends in stochastic analysis (Snegiri, Moscow Region, December 2015) Conference on stochastic processes and their applications (Oxford, July 2015) European meeting of statisticians (Amsterdam, July 2015) Non-parametric and high-dimensional statistics (Heidelberg, July 2015) Probability seminar Essen (Essen, June 2015) Frontiers of high-dimensional statistics, optimization and econometrics (Moscow February 2015) 2014 Statistics meets stochastics (Snegiri, Moscow Region, November 2014) Statistical inference for Lévy processes (Leiden, September 2014) 4

5 Advances in stochastic analysis (Moscow, September 2014) Probability seminar Essen (Essen, June 2014) 2013 Advanced finance and stochastics (Moscow, June 2013) Advances in predictive modeling and optimization (Berlin, May 2013) Other activity Member of the Bernoulli Society for mathematical statistics and probability. Principal organizer of the international conferences and workshops: - Modern problems of stochastic analysis and statistics (devoted to V.Konakov s 70 th anniversary) - Frontiers of high-dimensional statistics, optimization and econometrics, Higher School of Economics (Moscow), February Statistics meets stochastics, Higher School of Economics (Snegiri, Moscow region), November Advances in stochastic analysis, Higher School of Economics (Moscow), September Demographic risk, Humboldt University (Berlin), December Structure adapting methods (devoted to V.Spokoiny s 50 th anniversary), Weierstrass Institute (Berlin), November Editor of the book Modern problems of stochastic analysis and statistics. Festschrift in honor of Valentin Konakov. To appear in Springer, May Referee for - journals Stochatic processes and their applications, Insurance mathematics and economics, Theory of probability and its applications, journal of the German statistical society AStA Advances in statistical analysis - proceedings of the workshop Copulae in mathematical and quantative finance (Springer, lecture notes in statistics) - MathReviews. Skills and Qualifications Extensive knowledge in LaTex, Matlab, R-language, Statistica. Russian (mother tongue), English and German (fluent) 15 January