CURRICULUM VITAE

 

 

Name                                     Zsanett Orlovits

Date of birth                          14/05/1979

Place of birth                         Tatabánya, Hungary

Nationality                             Hungarian

Marital Status                       Single

Address                                  Murányi St. 41, 1078 Budapest, Hungary

Home telephone number       00-36-1/352-2178

Mobil telephone number       00-36-30/226-8717

E-mail address                       orlovits@sztaki.hu

 

Qualification                          Applied Mathematician

Eötvös Loránd University, Faculty of Science, Budapest

 

Education                               Candidate for doctor’s degree, 2003 – present

                                                Applied Mathematics Ph. D. School,

                                   Eötvös Loránd University, Faculty of Science, Budapest                                     

Place of Research: Computer and Automation Institute of the Hungarian Academy of Sciences, MTA SZTAKI,

Young Researcher

 

Applied Mathematician, 1997 – 2003

Eötvös Loránd University, Faculty of Science, Budapest

 

Language skills                     Intermediate level in English

                                               Beginner Level in German and Russian

 

Field of research                                                      Stochastic volatility processes and its applications

                                               Stochastic systems and its application in finance

 

Interested areas                    Probability theory, Financial mathematics, Time series analysis

 

Professional activity              Modeling stochastic volatility,

                                               2003 – present

 

                                               Long-memory processes and its applications to the Budapest Stock Exchange (in Hungarian)

                                               2002-2003 (diploma work)

                                              

Teaching experience             Mathematical analysis I-II. (seminars)

Department of Information Technology,

Péter Pázmány Catholic University, Budapest,

2004/05-2005/06 first and second semesters

 

PC Skills                                S-PLUS 2000, MatLab, Mathematica

 

Additional skills:                   Driver's licence for car

                                              

Hobbies:                                Sports (tennis, squash, skiing)

                                               Photography

                                               Literature, Theatre

 

References:                           László Gerencsér

                                               Head of the Stochastic Systems Research Group,

                                               MTA SZTAKI,

                                               13-17 Kende utca, Budapest 1111, Hungary

                                               gerencser@sztaki.hu

 

                                               László Márkus

                                   Eötvös Loránd University, Faculty of Science, Department of Probability Theory and Statistics

                                               ELTE TTK                             

                                               1/c Pázmány Péter sétány, Budapest 1117, Hungary

                                               markus@ludens.elte.hu

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Publication list

 

Articles:

 

[1] GERENCSÉR, L. – MOLNÁR-SÁSKA, G. – ORLOVITS, ZS.: Change Detection of Hidden Markov Models and GARCH processes. In proceedings of Stochastic Finance 2004 International Conference, Lisbon, September 26-30, 2004.

 

[2] GERENCSÉR, L. - MOLNÁR-SÁSKA, G. - ORLOVITS, ZS.: Recursive estimation of Hidden Markov Models. In proceedings of  44th IEEE Conference on Decision and Control and European Control Conference ECC 2005, Seville, Spain, December 12-15, 2005.

 

[3] GERENCSÉR, L. – MÁTYÁS, Z. – MOLNÁR-SÁSKA, G. – ORLOVITS, ZS.: Statistical theory of non-linear stochastic systems. Lecture Notes, 2004.

 

[4] GERENCSÉR, L. – MICHALETZKY, GY. - ORLOVITS, ZS.: On the exponential stability of stationary random matrix products. Working Paper, 2005.

 

[5] GERENCSÉR, L. - ORLOVITS, ZS.: Recursive estimation of GARCH processes. Working paper, 2005.

 

Talks:

 

[1*] GERENCSÉR, L. – MOLNÁR-SÁSKA, G. – ORLOVITS, ZS.: Change Detection of Hidden Markov Models and GARCH processes. Stochastic Finance 2004 International Conference, Lisbon, September 26-30, 2004.

 

[2*] GERENCSÉR, L. – ORLOVITS, ZS.: Modelling Stochastic Volatility. ERNSI Workshop System Identification, Dobogókő, October 4-6, 2004.

 

[3*]  GERENCSÉR, L. - MOLNÁR-SÁSKA, G. - ORLOVITS, ZS.: Recursive estimation of Hidden Markov Models. 44th IEEE Conference on Decision and Control and European Control Conference ECC 2005, Seville, Spain, December 12-15, 2005.