Szymon Borak

Statistik | Szymon Borak

E-mail:
Telephone:	+49 30 2093-5721
Fax:	+49 30 2093-5649
Consultation hours:
	Thursday, 15.00 - 17.00.
Postal Address:	Humboldt-Universität zu Berlin Wirtschaftswissenschaftliche Fakultät Institut für Statistik und Ökonometrie Szymon Borak Spandauer Strasse 1 10099 Berlin, Germany

Semester	Lecture	Day/Time
WS 2007/2008	Numerical Introductory Course	Thu 12.00-14.00
SS 2007	Statistics of of Financial Markets II	Mo 16.00-18.00
WS 2006/2007	Statistical Tools for Finance and Insurance	Thu 14.00-16.00
WS 2006/2007	Statistics of of Financial Markets I	Mo 16.00-20.00/ Mo 9.00-16.00
SS 2006	Statistics of of Financial Markets II	Mo 16.00-18.00
WS 2005/2006	Statistics of of Financial Markets I	Mo 16.00-20.00/ Mo 9.00-16.00
SS 2005	Advanced Methods in Quantitative Finance	Mo 8.00-10.00
WS 2004/2005	Multivariate Statistical Analysis I	Fri 8.00-12.00
SS 2004	Applied Quantitative Methods	Tu 14.15-15.45
WS 2003/2004	Multivariate Statistical Analysis I	Fri 8.00-12.00

	DSFM with Applications
	Convenience Yields for CO2 Emission Allowances in the EEX Market
	Barrier Options (SFM I lecture WS 0506 WS 0607)
	Skew Hedging of Barrier Options
	IV Modelling (Socrates Wroclaw Oct. 2005 8MB)
	Levy processes (AQM lecture SS 04)
	Calibration of Implied Vola Surfaces (Privatissimum SS 04 )
	Stochastic Differencial Equations (NIC WS 03/04 )
	Levy processes and option pricing (Hejnice 2004)

Papers

Borak, S., Fengler, M. and Härdle, W. (2005) DSFM Fitting of Implied Volatility Surfaces. Proceedings 5th International Conference on Intelligent Systems Design and Applications. IEEE Computer Society Order Number P2286, ISBN 0-7695-2286-6, Library of Congress Number 2005930524.
Borak, S., Härdle, W. and Lehmann, H. (2005) Working with the XQC. Statistical Tools in Finance and Insurance, Cizek, Härdle, Weron Springer Verlag.
Borak, S., Detlefsen, K. and Härdle, W. (2005) FFT based Option Pricing. Statistical Tools in Finance and Insurance, Cizek, Härdle, Weron Springer Verlag.
Borak, S., Härdle, W. and Weron, R. (2005) Stable distributions. Statistical Tools in Finance and Insurance, Cizek, Härdle, Weron Springer Verlag.

Last update: 20070803, SB