Name: Petra

Surname: Posedel Šimović

Address: Faculty of Agriculture, University of Zagreb, Svetošimunska cesta 25, 10000 Zagreb, Croatia

e-mail: pposedel@agr.hr

Phone: +385 1 239 3987

Fax: +385 1 231 5300

Citizenship: Croatian

Education:

PhD degree

  • April 17, 2007: ‘Inference for a Class of Stochastic Volatility Models in Presence of Jumps: a Martingale Estimating Function Approach’
  • 2003-2007, PhD study in Statistics, University ‘Luigi Bocconi’, Institute of Quantitative Methods, Milan, Italy

Master degree

  • October 26, 2004: ‘Properties and Estimation of the GARCH model’
  • 2000-2004, Faculty of Natural and Mathematical Science, University of Zagreb

Bachelor degree

  • October 1, 1999: ‘Sequential test with likelihood ratio’
  • 1994-1999, Faculty of Natural and Mathematical Science, University of Zagreb, section of mathematics, statistics and computer science

Employment:

  • Assistant Professor, Department of Information Sciences and Mathematics, Faculty of Agriculture, University of Zagreb, October 2019-
  • Professor at Zagreb School of Economics and Management, Mathematics and Statistics Department, March 2014- September 2019
  • Professor at Zagreb School of Economics and Management, Finance Department, 2013 – 2014
  • Lecturer at Zagreb School of Economics and Management, Finance Department, 2011 – 2013
  • Assistant Professor in Financial Mathematics, Faculty of Electrical Engineering and Computing, University of Zagreb, 2013 –
  • Lecturer in Financial Mathematics, Faculty of Electrical Engineering and Computing, University of Zagreb, 2009 – 2013
  • Higher Assistant (i.e. TA with Ph.D. on tenure track licensed to lecture), Faculty of Economics and Business Zagreb, University of Zagreb, 2008 – 2011
  • Teaching and Research Assistant , Faculty of Economics and Business, University of Zagreb , 2000-2008

Visiting Scholar:

  • Institute for Quantitative Methods, Bocconi University, Milan, Italy, PhD study
  • Department of Mathematical Sciences, Aarhus University, Aarhus, Denmark, PhD research, August 2005 – July 2006
  • Technische Univesität Wien, Institute for Mathematical Methods in Economics, Financial and Actuarial Mathematics, Vienna, Austria, Postdoctoral research, March – June 2008

Short visits:

  • Technische Univesität Wien, Institute for Mathematical Methods in Economics, Financial and Actuarial Mathematics, Vienna, Austria, PhD research, August – September 2006;
  • School of Economics nd Management, Aarhus University, Aarhus, Denmark, December 7-11, 2008; May 17-21, 2009; August 16 – September 6, 2009; November 26 – December 3, 2009; February 8-27, 2010; April 21 – May 1, 2010; June 22 – July 2, 2010; August 25 – September 3, 2010; October 10-17, 2010; May 8-12, 2011; October 23-29, 2011
  • California Institute of Technology, Pasadena, California, September 15-18, 2009

Specializations:

  • June, 15-19, 2015, Aarhus Conference on Probability, Statistics and Their Applications, Celebrating the scientific achievements of Ole E. Barndorff-Nielsen, Aarhus Institute of Advanced Studies, Aarhus University, Aarhus, Denmark
  • March, 5-6, 2015, Executive Education Effective Decision-Making: Strategies and Methods, Luxembourg School of Business, Luxembourg
  • September, 11-12, 2009, NBER-NSF Time Series Conference, University of California, Davis, USA
  • June, 17-18, 2009, South European Center for Contemporary Finance (SECCF) Workshop ”Upravljanje deviznim rizikom”, Novi Sad, Serbia
  • September, 6-7, 2008, QPL Workshop on Mathematical Finance for Young Researchers, Berlin, Germany
  • September, 26-28, 2008, Dubrovnik Lectures in Banking and Finance- DBF, seminar ‘Best Practices in Risk and Asset Management’, Dubrovnik, Croatia
  • September, 12-13, 2008, NBER-NSF Time Series Conference, Aarhus, Denmark
  • March-June, 2006, Danish Doctoral School of Finance, course ‘Financial Econometrics’ , School of Economics and Management, Aarhus University, Aarhus, Denmark
  • March, 20-24, 2006, ‘50 Years Later-Conference on Stochastics in Science in Honor of Ole E. Barndorff-Nielsen’, CIMAT, Guanajuato, Mexico
  • December, 19-20, 2005, 3rd T. N. Thiele Symposium on Stochastic Volatility, Copenhagen, Denmark
  • October, 2-4, 2002, International Conference on Operational Research, KOI 2002, Trogir, Croatia
  • July, 1-21, 2002, ‘Summer School in Statistics and Probability’ organized by University ‘Luigi Bocconi’, Milan, Italy, course ‘Statistical Inference for Stochastic Processes’
  • August, 25-31, 2001, 9th International Conference on Stochastic Programming, Berlin, Germany
  • July, 1-21, 2001, Summer School in Statistics and Probability, organized by University ‘Luigi Bocconi’, Milan, Italy, course ‘Large Sample Theory’
  • July, 26 – August, 31, 2000, ‘Summer School in Mathematics’, Perugia, Italy, organized by Scuola Matematica Interuniversitaria, courses ‘Statistics’ and ‘Probability’

Contributed talks:

  • Croatian Actuarial Conference 2020 ”New Challenges” (online), Zagreb, Croatia, September 17-18, 2020, How data science transforms the insurance industry
  • AGENDA 2030: ECONOMICS IN A CHANGING WORLD, Umag, Croatia, August 27-28, 2017, Some results on the risk-return tradeoff and leverage effect in the BNS-SV model
  • World Finance Conference, New York, USA, July 29-31, 2016, The Determinants of Country´s Risk Premium Volatility: Evidence from Panel VAR Model
  • 24th Symposium of the Society for Nonlinear Dynamics and Econometrics, Tuscaloosa, Alabama, USA, March 10-11, 2016, Time-varying Integration of the Sovereign Bond Markets In European Post-transition Economies
  • 3rd ZSEM Science Festival, Zagreb, Croatia, February, 22, 2016, Regime Switching Behaviour of Real Estate and Equity Markets in Emerging Countries
  • 8th International fund management conference and 24th Zagreb Stock Exchange conference “Challenge of Change, Discovering the future”, Rovinj, Croatia, October 15-18, 2014, Modeling preferences of investors in the Croatian capital market:market price of volatility risk
  • Inzenjerska sekcija Hrvtaskog matematičkog društva, PMF – Matematički odsjek, Sveučilište u Zagrebu, April 10, 2014, Modeliranje preferencija investitora na hrvatskom tržištu kapitala: tržišna cijena rizika volatilnosti
  • Junior female researchers in probability Workshop, Berlin and Potsdam, Germany, October 10-11, 2013, Asymptotic Analysis for Optimal Estimating Functions for a Class of Stochastic Volatility Models with Jumps
  • Dynstoch Conference 2013, Copenhagen, Denmark, April 17-19, 2013, Asymptotic Analysis for Optimal Estimating Functions for a Class of Stochastic Volatility Models with Jumps
  • 9th Annual Conference of the Croatian Association of Corporate Treasurers, Osijek, Croatia, September 23-25, 2012, Kvantitativne metode mjerenja rizika (In Croatian)
  • Quantitative Methods in Finance – 2011 Conference, Sydney, Australia, December 14-17, 2011, The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
  • 2nd Humboldt – Copenhagen Conference in Financial Econometrics, Copenhagen, Denmark, May 13-14, 2011, The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
  • XII International Academic Conference on Economic and Social Development, Moscow, Russia, April 5-7, 2011, The Nonlinear House Price Adjustment Process in Developed and Transition Countries
  • International Symposium on Business and Industrial Statistics, Portorose, Slovenia, July 5-9, 2010, The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model, The paper was honorary mentioned as a finalist in the NISS/ASA Best y-BIS Paper Award 2010
  • High-Dimensional Data Analysis in Economics Workshop, Zagreb, Croatia, March 18-19, 2010, Some results on inference for a class of stochastic volatility models with jumps using the martingale estimating function approach
  • Workshop on Statistical Inference for Lévy Processes with Applications to Finance, Eindhoven, The Netherlands, July 15-17, 2009, Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
  • NBER-NSF Time Series Conference, CREATES, University of Aarhus, Aarhus, Denmark, September 12-13, 2008, Joint Analysis and Estimation of Stock Prices and Trading Volume in Barndorff-Nielsen and Shephard Stochastic Volatility Models
  • Dynstoch Workshop 2008, Padova, Italy, June 26-28, 2008, Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
  • Croatian Quants Day – One Day Workshop on Theory and Methods for Quantitative Finance 2008, Zagreb, Croatia, February 22, 2008, Analysis of the EUR/HRK exchange rate and pricing foreign currency options on the Croatian market
  • Inzenjerska sekcija Hrvtaskog matematičkog društva, PMF – Matematički odjel, Sveučilište u Zagrebu, February 21, 2008, Analiza tečaja EUR/HRK na hrvatskom tržištu pomoću NGARCH modela
  • IX Workshop on Quantitative Finance, Rome, Italy, January 24-25, 2008, Asymptotic analysis for a simple explicit estimator in BNS stochastic volatility models
  • 15th European Young Statisticians Meeting, Castro Urdiales, Spain, September 10-14, 2007, Asymptotic analysis for a simple explicit estimator in BNS stochastic volatility models
  • 9th Y.S.M.-Young Statistician Meeting, Rimini, Italy, October 30-31, 2004, Properties and Estimation of the GARCH(1,1) Model

Colloquium and seminar talks:

  • Vienna, January 2014, Asymptotic analysis for optimal estimating functions for a class of stochastic volatility models with jumps,FAM-Seminars on mathematical finance and actuarial mathematics
  • Department of Mathematics, University of Osijek, Osijek, Croatia, January 14, 2010, Volatility estimation in a class of stochastic volatility models with jumps, Mathematical Colloquium
  • University of Southern California, Los Angeles, USA, September 14, 2009, Joint Analysis of Stock Prices and Volatility in a Class of Stochastic Volatility Models with Jumps, Mathematical Finance Colloquium
  • Technische Univesität Wien, Institute for Mathematical Methods in Economics, Vienna, Austria September 19, 2006, Asymptotic analysis for a simple explicit estimator in BNS stochastic volatility models, Financial and Actuarial Mathematics Seminar
  • Department of Mathematical Sciences University of Aarhus, Aarhus, Denmark, June 1, 2006, Joint Analysis of Stock and Option Prices in a Stochastic Volatility Model with Jumps, Statistics Seminar
  • Department of Mathematical Sciences, University of Copenhagen, Denmark, October 26, 2005, Properties and Estimation of the GARCH(1,1) Model, Seminar in Mathematical Statistics and Probability
  • Department of Mathematical Sciences University of Aarhus, Aarhus, Denmark, May 12-15, 2005, Properties and Estimation of the GARCH(1,1) Model, CAF Finance Seminar
  • University ‘Luigi Bocconi’, Milan, Italy, October 21, 2004, Properties and Estimation of the GARCH(1,1) Model, Seminar of the Institute of Quantitative Methods

Fields of Interest:

Data science, Inference for stochastic processes, stochastic volatility models; Business Analytics; Quantitative Economics; Econometrics; Applications of mathematical statistics and probability in finance; (G)ARCH models in finance, Financial Econometrics; Financial Risk Management,

Teaching:

Faculty of Agriculture, University of Zagreb, Undergraduate: Business Statistics 1

Zagreb School of Economics and Management (up to 2019):  DBA: Research Methodology: Module Introduction; Graduate: Applied Econometrics, Quantitative Methods for Managers, Introduction to Financial Econometrics, Undergraduate: Introduction to Probability and Statistics Elementary mathematics, Statistics 1, 2

Faculty of Electrical Engineering and Computing, University of Zagreb. Graduate: Financial Mathematics

Faculty of Economics, University of Zagreb (up to 2011): PhD: Econometics, Graduate: Mathematical Methods for Managing Financial Assets, Undergraduate: Mathematics, Econometrics

Awards:

2006 – ‘Mijo Mirković’ for a scientific contribution, Faculty of Economics and Business, Zagreb

Other Activities:

  • February 2020 –  , team member of the Croatian Science Foundation’s Research Project ‘Deep Reinforcement Learning Algorithms for Risk Management (DREAM)’
  • September 2014 – August 2017, team member of the Croatian Science Foundation’s Installation Research Projects Programme ‘Economic, statistical and political aspects of sovereign bond markets (SOBOM)’
  • member of the Organizing Committee of the Croatian Quants Day (CQD) Workshop
  • collaborator at the scientific project sponsored by Ministry of Science and Technology of Republic of Croatia, ‘Methods and Models of Operational Research’, 0067010, 2000-2003
  • collaborator at the scientific project sponsored by Ministry of Science and Technology of Republic of Croatia, ‘Methods and Models of Operational Research in Economics and Decision Making’, 067-0000000-1076
  • researcher at the project GDN RRC9 / CERGE-EI sponsored by the World Bank, 2009-2010
  • referee for Studies in Nonlinear Dynamics & Econometrics, International Journal of Theoretical and Applied Finance, Comptes rendus Mathematique, Quantitative Finance, Emerging Market Finance and Trade, Financial Theory and Practice
  • Holding Executive Education ‘Managing financial assets with Excel’, in Zagreb, Belgrade, Serbia, and Sarajevo, Bosnia and Hercegovina

Languages:

  • English, Italian (active)
  • Danish (passive)