Ronald Hochreiter

Last update: July 19th, 2010

Assistant Professor
WU Vienna University of Economics and Business
Department of Finance, Accounting and Statistics
Institute for Statistics and Mathematics
Augasse 2-6, A-1090 Vienna, Austria
Email: ronald.hochreiter AT wu.ac.at

Teaching information

Publications

See also FIDES @ WU

Editorial

Edited volumes

Pre-Prints

Articles accepted for publication

Published articles

  1. R. Hochreiter and D. Wozabal. Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model. Natural Computing in Computational Finance, Volume 3. Volume 293 of Springer Studies in Computational Intelligence: 31-44. 2010.
  2. D. Wozabal, R. Hochreiter, and G. Ch. Pflug. A D.C. Formulation of Value-at-Risk constrained optimization. Optimization 59(3): 377-400. 2010.
  3. R. Hochreiter and G. Ch. Pflug. 11th International Conference on Stochastic Programming. Optimization 59(3): 321-322. 2010.
  4. R. Hochreiter. Evolutionary multi-stage financial scenario tree generation. EvoApplications 2010, Part II. Volume 6025 of Springer Lecture Notes in Computer Science: 182-191. 2010.
  5. R. Hochreiter. Algorithmic aspects of scenario-based multi-stage decision process optimization. Algorithmic Decision Theory 2009. Volume 5783 of Springer Lecture Notes in Computer Science: 365–376. 2009.
  6. R. Hochreiter and D. Wozabal. Evolutionary approaches for estimating a Coupled Markov Chain model for Credit Portfolio Risk Management. EvoWorkshops 2009. Volume 5484 of Springer Lecture Notes in Computer Science: 193-202. 2009.
  7. R. Hochreiter and G. Ch. Pflug. Introduction to the special issue on computational optimization under uncertainty. Computational Managament Science 6(2): 115-116. 2009.
  8. R. Hochreiter, C. Wiesinger, and D. Wozabal. Discussion of ‘The evolution of web-based optimisation: From ASP to e-Services’. Decision Support Systems 47(1): 72-73. 2009.
  9. H. Schabauer, R. Hochreiter, and G. Ch. Pflug. Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices. International Conference on Computational Science 2008. Volume 5102 of Springer Lecture Notes in Computer Science: 408-415. 2008.
  10. R. Hochreiter. Evolutionary stochastic portfolio optimization. In: A. Brabazon and M. O’Neill (Eds.): Natural Computing in Computational Finance. Volume 100 of Springer Studies in Computational Intelligence: 67-87. 2008.
  11. W. Wiesemann, R. Hochreiter, and D. Kuhn. A Stochastic Programming Approach for QoS-Aware Service Composition. Eighth IEEE International Symposium on Cluster Computing and the Grid: 226-233. IEEE Computer Society. 2008.
  12. R. Hochreiter, G. Ch. Pflug, and V. Paulsen. Design and management of unit-linked life-insurance contracts with guarantees. In: S.A. Zenios and W.T. Ziemba (Eds.): Handbook of Asset and Liability Management, Volume 2. Chapter 14: 627-662. Elsevier/North-Holland. 2007 (print). 2008 (electronic).
  13. R. Hochreiter. An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. EvoWorkshops 2007. Volume 4448 of Springer Lecture Notes in Computer Science: 199-207. 2007.
  14. R. Hochreiter and G. Ch. Pflug. Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Annals of Operations Research 152(1): 257-272. 2007.
  15. R. Hochreiter and G. Ch. Pflug. Polynomial algorithms for pricing path-dependent interest rate instruments. Computational Economics 28(3): 291-309. 2006.
  16. R. Hochreiter, G. Ch. Pflug, and D. Wozabal. Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. System Modeling and Optimization. Volume 199 of Springer IFIP International Federation for Information Processing Series: 219-226. 2006.
  17. R. Hochreiter. Audible convergence for optimal base melody extension with statistical genre-specific interval distance evaluation. EvoWorkshops 2006. Volume 3907 of Springer Lecture Notes in Computer Science: 712-716. 2006.
  18. S. Hochrainer, R. Hochreiter, and G. Ch. Pflug. An algorithm for calculating steady state probabilities of $M|E_r|c|K$ queueing systems. Central European Journal of Operations Research 13(1): 1-13. 2005.
  19. R. Hochreiter, C. Wiesinger, and D. Wozabal. Large-Scale Computational Finance Applications on the Open Grid Service Environment. European Grid Conference 2005. Volume 3470 of Springer Lecture Notes in Computer Science: 891-899. 2005.
  20. C. Wiesinger, D. Giczi, and R. Hochreiter. An open grid service environment for large-scale computational finance modeling systems. International Conference on Computational Science 2004. Volume 3036 of Springer Lecture Notes in Computer Science: 83-90. 2004.

Grants

Talks and Presentations

Upcoming Conferences, Workshops, and Visits

International Scientific Conferences and Workshops

  1. Multi-stage Stochastic Interest Rate Management. 24th European Conference on Operational Research. Lisbon, Portugal. July 2010.
  2. An algorithm for evolutionary stochastic portfolio optimization with probabilistic constraints. Mendel Conference 2010 – 16th International Conference on Soft Computing. Brno, Czech Republic. June, 2010.
  3. Evolutionary multi-stage financial scenario tree generation. European Conference of Applications of Evolutionary Computing. Istanbul, Turkey. April 2010.
  4. Multi-stage Stochastic Programming and Pension Fund Management. 3rd International Conference on Computational and Financial Econometrics. Limassol, Cyprus. October 2009.
  5. Algorithmic Aspects of Scenario-Based Multi-stage Decision Process Optimization. 1st International Conference on Algorithmic Decision Theory. Venice, Italy. October 2009.
  6. Multi-stage Stochastic Programming and Pension Fund Management. Workshop on Modern models and methods of managing financial risks. Moscow, Russian Federation. September 2009.
  7. Multi-stage Stochastic Programming and Pension Fund Management. 20th International Symposium of Mathematical Programming. Chicago, USA. August 2009.
  8. A Coupled Markov Chain model for Credit Portfolio Risk Management. 23rd European Conference on Operational Research. Bonn, Germany. July 2009.
  9. Simplified stage-based modeling of multi-stage decision optimization problems. 6th International Conference on Computational Management Science. Geneva, Switzerland. May 2009.
  10. Evolutionary approaches for estimating a Coupled Markov Chain model for Credit Portfolio Risk Management. 3rd European Workshop on Evolutionary Computation in Finance and Economics 2009. Tuebingen, Germany. April 2009.
  11. Multi-stage stochastic decision modeling in electricity portfolio management. Veszprem Optimization Conference: Advanced Algorithms (VOCAL 2008). Veszprem, Hungary. December 2008.
  12. Market Risk Control of Structured Credit Products. Statistische Woche 2008. Koeln, Germany. September 2008.
  13. A Stochastic Programming Approach for QoS-Aware Service Composition. 12th Serbian Mathematical Congress. Novi Sad, Serbia. August 2008.
  14. Dynamic Stochastic Programming Models for Long-Term Pension Fund Management. 14th International Conference on Computing in Economics and Finance. Paris, France. June 2008.
  15. Evaluating and extending clustering techniques to generate financial scenarios for stochastic programming models. 2nd International Workshop on Computational and Financial Econometrics. Neuchatel, Switzerland. June 2008.
  16. A Stochastic Programming Approach for QoS-Aware Service Composition. Applied Mathematical Programming and Modelling (APMOD 2008). Bratislava, Slovak Republic. May 2008.
  17. A Stochastic Programming Approach for QoS-Aware Service Composition. 8th IEEE International Symposium on Cluster Computing and the Grid. Lyon, France. May 2008.
  18. Computation of Scenario Trees for Multi-stage Stochastic Programming Models. 5th International Conference on Computational Management Science. London, Great Britain. March 2008.
  19. Simplified stage-based modeling of multi-stage stochastic programming problems. 11th International Conference on Stochastic Programming. Vienna, Austria. August 2007.
  20. Tutorial talk on Stochastic Optimization and Pension Fund Modeling. 11th International Conference on Stochastic Programming. Vienna, Austria. August 2007.
  21. Multi-stage Stochastic Optimization and Pension Fund Management. 22nd European Conference on Operational Research. Prague, Czech Republic. July 2007.
  22. Multi-stage stochastic decision modeling in electricity portfolio management. Power Systems Modelling 2007. Athens, Greece. June 2007.
  23. Contemporary modeling of multi-stage stochastic programming problems. 4th International Conference on Computational Management Science. Geneva, Switzerland. April 2007.
  24. Evolutionary Stochastic Portfolio Optimization. EvoStar 2007. Valencia, Spain. April 2007.
  25. Tutorial talk on Approximation of stochastic processes in stochastic programming applications. Stochastic Programming School 2007. Bergamo, Italy. April 2007.
  26. Multi-stage Stochastic Pension Fund Management Modeling. Operations Research 2006. Karlsruhe, Germany. September 2006.
  27. Simplified stage-based multi-stage stochastic optimization problem modeling. 21st European Conference on Operational Research. Reykjavik, Iceland. July 2006.
  28. Optimal portfolios under a Value-at-Risk constraint. 3th International Conference on Computational Management Science. Amsterdam, The Netherlands. May 2006.
  29. Audible convergence of optimal base melody extensions. 4th European Workshop on Evolutionary Music and Art. Budapest, Hungary. April 2006.
  30. Integrative multi-stage stochastic modeling and optimization in liberalized energy markets. 22nd IFIP TC 7 Conference on System Modeling and Optimization. Torino, Italy. July 2005.
  31. Designing and managing unit-linked life insurance contracts with guarantees. SIAM Conference on Optimization. Stockholm, Sweden. May 2005.
  32. Scenario Optimization for Multi-Stage Stochastic Programming Problems. Algorithms for Optimization with Incomplete Information. Dagstuhl, Germany. January 2005.
  33. From reality to realistics scenarios. IFIP/IIASA/GAMM Workshop on Coping with Uncertainty. Vienna, Austria. December 2004.
  34. Optimal investment management for unit-linked life-insurance contracts with guarantees using scenario-based stochastic programming techniques. 10th International Conference on Stochastic Programming (SPX 2004). Tuscon, Arizona. USA. October 2004.
  35. New technologies for distributed modelling and optimization. Applied Mathematical Programming and Modelling (APMOD 2004). Uxbridge, London. Great Britain. June 2004.
  36. Implementational issues in the development of a service-based decision support environment. Computational Management Science Conference and Workshop on Computational Econometrics and Statistics. Neuchatel, Switzerland. April 2004.
  37. Approximation and coupling of probability distributions for Asset Liability Management scenario generation. International Symposium on Mathematical Programming (ISMP 2003). Copenhagen, Denmark. August 2003.
  38. The AURORA Financial Management System: Implementation and Grid Technology. EURO/INFORMS joint international meeting 2003. Istanbul, Turkey. July 2003.
  39. Generating Scenarios for Multiperiod Stochastic Optimization Problems using Transportation Metrics. Applied Mathematical Programming and Modelling (APMOD 2002). Varenna, Italy. June 2002.

Workshops and Visits

  1. A Coupled Markov Chain model for Credit Portfolio Risk Management. Imperial College London. London, Great Britain. April 2010.
  2. Evolutionary Stochastic Portfolio Optimization. Brno University of Technology. Brno, Czech Republic. March 2010.
  3. Modeling and solution strategies for multi-stage stochastic pension fund management problems. Univerzita Karlova. Prague, Czech Republic. March 2010.
  4. Decision Optimization under Uncertainty: Stochastic Programming – An Overview. WU Vienna University of Economics and Business. Vienna, Austria. December 2009.
  5. Probability theory and the calculation of risk-optimal financial portfolios. The Irish Mathematics Summer School for Undergraduates. UCD School of Business. Dublin, Ireland. June 2009.
  6. Multi-stage stochastic optimization – modeling techniques and solution approaches. UCD Natural Computing Research and Applications Group. Dublin, Ireland. June 2009.
  7. A Coupled Markov Chain Approach to CDX Pricing and Hedging (with D. Wozabal). Brown Bag Seminar, Vienna University of Economics and Business Administration. April 2009.
  8. Clustering Hedge Funds (with W. Kappel). Brown Bag Seminar, Vienna University of Economics and Business Administration. January 2009.
  9. The impact of choosing different scenario generation techniques for multi-stage stochastic programming models. Department of Computing, Imperial College London. London, Great Britain. November 2008.
  10. A Stochastic Programming Approach for QoS-Aware Service Composition. Institute of Mathematics and Informatics. Vilnius, Lithuania. November 2008.
  11. Contemporary ALM for an Austrian Pension Fund. (In German). 3rd OePAG Press-Tour. Utrecht, The Netherlands. October 2008.
  12. The impact of choosing different scenario generation techniques for multi-stage stochastic programming models. Department of Mathematics, University of Venice. Venice, Italy. April 2008.
  13. Dynamic Stochastic Optimization: Issues in Multi-Stage Scenario Modeling. Department of Computing, Imperial College. London, United Kingdom. September 2007.
  14. Stochastic programming! Scenario generation? Stochastic Programming and Optimization: Modeling and Applications (STOPTIMA 2007). Brno, Czech Republic. September 2007.
  15. The AURORA Financial Management System. Financial Engineering and Risk Management Workshop. Vienna, Austria. September 2006.
  16. Multi-stage stochastic programming and the mathematical art of optimal decision making. Department of Mathematics, University of Novi Sad. Novi Sad, Serbia. July 2006.
  17. The AURORA Financial Management System. New Directions in Financial Modeling Workshop. London, Great Britain. May 2006.
  18. Application-oriented Multi-stage Stochastic Programming for Electricity Markets. Energy Workshop 06. Vienna, Austria. March 2006.
  19. Design, Implementation and Communication of Complex Financial Decision Processes. Helsinki School of Economics. Helsinki, Finland. February 2005.
  20. Polynomial Algorithms for Pricing of Path-Dependent Interest Rate Instruments. 9th AURORA Plenary Meeting. Strobl, Austria. June 2004.
  21. Large computational financial modelling and optimization systems as the driver of performance for managing market risk. EU-Workshop on Mathematical Optimization Models for Financial Institutions, Part Three: The drivers of performance of large financial institutions. Bergamo, Italy. May 2004.
  22. Stochastic Optimization and Asset-Liability Management: Issues in (multi-stage) Scenario Modeling. EU-Workshop on Mathematical Optimization Models for Financial Institutions, Part Two: Asset and liability modeling for financial institutions. Ayia Napa, Cyprus. November 2003.
  23. Semantics in Optimization: Application to distributed (financial) decision support systems. 8th AURORA Plenary Meeting. Poellauberg, Austria. November 2003.
  24. Kombinatorische Probleme im AURORA Financial Management System. (In German). 7th Workshop on Future Research in Combinatorial Optimization (FRICO 2003). Klagenfurt, Austria. September 2003.
  25. Component-based financial management – Financial market scenario generation. EU-Workshop on Mathematical Optimization Models for Financial Institutions, Part One: The technology of asset and liability modelling. Semmering, Austria. January 2003.
  26. The Finance Grid – Collaboration and Cooperation of Computational Finance Groups. HERMES European Center of Excellence on Computational Finance and Economics. Nikosia, Cyprus. June 2002.

Research Visits

Other Conferences and Workshops

Software

Other Publications

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Theses

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