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,
13-17 Kende utca, Budapest 1111, Hungary
László Márkus
Eötvös Loránd University, Faculty of Science, Department of Probability Theory and Statistics
ELTE
TTK
1/c Pázmány Péter sétány, Budapest 1117, Hungary
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.