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Curriculum Vitae of Miklós Rásonyi
Name: Miklós Rásonyi
Date and place of birth: 14th June 1975, Hatvan (Hungary)
Citizenship: Hungarian
Family: Married, two children.
Studies and degrees:
1989–1993: Török Ignác Secondary School, Gödöllő
1993–1998: Eötvös Loránd University, Budapest; MSc in Mathematics
MSc dissertation on functional analysis under the supervision of L. Czách.
1996–1997: 9 months TEMPUS scholarship at the University of Bristol, UK
Individual project on axiomatic set theory under the supervision of P. Welch.
1998–2002: PhD School of Eötvös Loránd University, Budapest
1999–2002: École Doctorale Louis Pasteur, Laboratoire de Mathématiques, Besançon, France
Joint PhD programme in Financial Mathematics under the supervision of László Gerencsér (in
Hungary) and Youri M. Kabanov (in France), funded by the French Government.
PhD thesis entitled “On certain problems of arbitrage theory in discrete time financial market
models” defended on 27th June, 2002 in Besançon, “très bien avec félicitation du jury”.
Dissertation “Optimal investment: expected utility and beyond” for the DSc degree is in preparation, expected to be submitted in June 2015.
Work history:
1998–2002: Junior research fellow at MTA SZTAKI, Institute for Computer Science and Control, Budapest, Stochastic Systems Research Group.
2002–2012: Senior research fellow at the same institute, same group (on leave: 2009–2012).
2003–: Associate professor (“dozent”) at the Faculty of Information Technology, Pázmány
Péter Catholic University, Budapest (on leave 2009–2013).
2006–2008: Research fellow (part-time), Research Group on Financial and Actuarial Mathematics, Vienna University of Technology.
2009–2013: Working full time at the School of Mathematics, University of Edinburgh, Scotland, Lecturer and then Reader (2012–2013), tenured.
2013– 2014: Part-time Reader, same institution.
2012– : Senior research fellow at Rényi Institute, Budapest (on leave 2012–2013).
Research interests:
Probability theory and its applications, financial mathematics: arbitrage theory, markets with
frictions, optimal investment. Hidden Markov chains.
Teaching and administrative experience:
“Probability theory and mathematical statistics” and “Stochastic processes” BSc courses, 8
times; Faculty of Information Technology at Pázmány Péter Catholic University, Budapest.
Co-organizer of the Financial Mathematics seminar of the Stochastic Systems Research Group
of MTA SZTAKI, Institute for Computer Science and Control for 4 semesters; this seminar was
part of the doctoral programme of Eötvös Loránd University, Budapest and that of University
of Technology and Economics, Budapest.
Two reading courses on mathematical finance at Central European University, Budapest, 2008–
2009. “Topics in Stochastic Analysis” at CEU, 2015.
“Probability, measure and finance” course for 4th year undergraduate students, 3 times; “Simulation” course on Monte-Carlo methods for MSc students (Financial Mathematics and Financial
Modelling and Optimisation), 3 times; “Asset pricing” course for Financial Modelling and Optimisation MSc students, 3 times; “Special topics/Research-linked topics” reading mini-courses
for MSc students (Financial Mathematics and Financial Modelling and Optimisation) at the
University of Edinburgh, 4 times.
Supervision of > 20 MSc dissertations and > 7 BSc projects.
Project coordinator of the Financial Mathematics and Financial Modelling and Optimisation
MSc programmes, 2010–2013.
PhD students:
Martin L. D. Mbele Bidima, Central European University, Budapest, 2007–2010 (currently
Lecturer at the University of Yaoundé I, Cameroon); András Horváth, Pázmány Péter Catholic
University, Budapest, 2009–2012 (currently postdoc at Pázmány Péter Catholic University);
Andrea Sofia Meireles Rodrigues, University of Edinburgh, 2010–2014 (currently postdoc at
Dublin City University), José Gregorio Rodrı́guez Villarreal, University of Edinburgh 2011–
2015; Zsolt Nika, 2015–; Kinga Tikosi 2016–.
Languages:
Native Hungarian, fluent English and French.
Refereeing:
Finance and Stochastics, Mathematical Finance, IEEE Transactions on Automatic Control,
SIAM Journal of Financial Mathematics, SIAM Journal on Control and Optimization, Stochastic Processes and their Applications, Stochastics, Annals of Probability, Annals of Applied
Probability, Decisions in Economics and Finance, Proceedings of the Royal Society, Applied
Mathematical Finance, Stochastic Analysis and its Applications, International Journal of Theoretical and Applied Finance, Electronic Communications in Probability, Electronic Journal of
Probability, Statistics and Probability Letters, International Journal of Adaptive Control and
Signal Processing, Mathematical Programming.
Editing:
Co-editor (together with F. Delbaen and Ch. Stricker) of the volume “Optimality and Risk:
Modern Trends in Mathematical Finance. The Kabanov Festschrift”, Springer, 2009.
Associate editor of Applicationes Mathematicae (Warsaw), 2014–
Associate editor of Annals of Applied Probability, 2015–
Research visits of at least 2 weeks:
2002–2003: 2 × 2 months, postdoc in the Mathematical Institute of the Polish Academy of
Sciences, Warsaw, Poland; in the framework of the EU Centre of Excellence programme.
2002: 2 weeks at Nijmegen Catholic University (today Radboud University).
2004, 2005, 2010: 3 × 1 months at Université Paris VII.
2005–2006: 3 months at Université Paris VII and CREST, Paris; holder of the Eötvös Scholarship of the Hungarian Government.
2007: 1 month at Boston University.
2009: 2–2 weeks at the University of Texas in Austin and at Boston University.
2013: 3 weeks at Université Paris IX (Dauphine).
Grants:
Holder of OTKA (Hungarian National Science Foundation) grant F 049094, “Arbitrage and
pricing functionals in financial markets”. Duration: 4 years, 2005–2008.
Received a 3-year Bolyai Fellowship of the Hungarian Academy of Sciences in 2008. After 1
year moved to Scotland and hence renounced to the remaining 2 years of the fellowship.
A “Maximaths” grant of the University of Edinburgh, joint project of the Probability Research
Group with colleagues from Standard Life Investments about “Tracking financial indices based
on stochastic filtering”, 2012.
“Lendület” Grant LP2015-6 of the Hungarian Academy of Sciences, 2015–
Recent seminar presentations (since 2008)
Boston University; University of Texas in Austin; Séminaire Bachelier (joint seminar of École
Polytechnique, Université Paris Dauphine, CREST, Université de Paris VI-VII, Université d’Evry,
Université de Marne La Vallée; three times), Paris; Mathematical Institute of the Polish Academy
of Sciences; London School of Economics; University of Murcia; University of Vienna; Oxford
University; University of Warwick; King’s College, London; ETH, Zürich (twice); Technical
University of Vienna; University of Bristol; University of Szeged (twice); Durham University;
Hebrew University, Jerusalem; Technical University, Berlin.
Invited speaker at conferences
– Workshop on Analysis of random markets: products and prices, Warsaw, October 2003
– 2nd Bachelier Colloquium, Metabief, France, January 2005
– Workshop on Foundations, Developments in Quantitative Finance thematic programme, Isaac
Newton Institute, Cambridge, April 2005
– Advances in Mathematical Finance, 2nd general AMaMef conference, Bedlewo, Poland, May
2007
– Workshop on Further Developments in Quantitative Finance, Edinburgh, July 2007
– 3rd Bachelier Colloquium, Metabief, France, January 2008
– Advances in Mathematical Finance, 4th general AMaMef conference, Pitesti, Romania, May
2008
– Advanced Modelling in Finance and Insurance, Special semester on stochastics with emphasis
on finance, Linz, Austria, September 2008
– PRISMA Workshop on Portfolio Risk Management, Technical University of Vienna, September 2008
– Workshop on Foundations of Mathematical Finance, Thematic programme on Quantitative
Finance, Fields Institute, Toronto, January 2010
– Workshop on Robust Techniques in Quantitative Finance, Oxford-Man Institute, Oxford,
March 2010
– Conference on Analysis, Stochastics and Applications, Vienna, July 2010
– Conference on Stochastic Filtrations, IRMA, Strasbourg, September 2011
– UT Austin–Portugal Workshop in Mathematics: Mathematical Finance and Stochastic Control, July 2012
– UK Mathematical Finance Workshop, King’s College, London, June 2013
– 29th European Meeting of Statisticians, Budapest, July 2013
– Workshop on Modeling Market Dynamics and Equilibirum, Hausdorff Institute, Bonn, August 2013
– Stochastic Analysis in Finance and Insurance workshop, Oberwolfach, May 2014
– Stochastic analysis for risk modeling, CIRM, Luminy, France, September 2014
– 2nd Bar Ilan Conference on Mathematical Finance, Ramat Gan, Israel, June 2016
Prizes:
Gyires Béla Prize, 2014
Membership:
Bachelier Finance Society, Edinburgh Mathematical Society, Bolyai János Matematikai Társulat
Hobbies:
Making music (piano, organ).