Currently working in the banking sector in model validation.

Theory and applications of Markov processes, Lévy processes, applied probability, mathematical finance, and actuarial science.

Published papers and papers accepted for publication:
Furman, E., Hackmann, D. and Kuznetsov, A. (2019) On Log-Normal Convolutions: An Analytical-Numerical Method With Applications to Economic Capital Determination. To appear in Insurance Mathematics and Economics.

Hackmann, D. (2018) Analytic techniques for option pricing under a hyperexponential Lévy model. Journal of Computational and Applied Mathematics. 342: 225--248
Accompanying Mathematica software

Hackmann, D. (2018) Karhunen-Loève expansions of Lévy processes. Communications in Statistics - Theory and Methods. 47(23): 5675--5687

Hackmann, D. and Kuznetsov, A. (2016) Approximating Lévy processes with completely monotone jumps. The Annals of Applied Probability , 26 (1), 328--359

Hackmann, D. and Kuznetsov, A. (2014) Asian options and meromorphic Lévy processes. Finance and Stochastics. 18(4): 825--844

Hackmann, D. and Kuznetsov, A. (2013) A note on the series representation for the density of the supremum of a stable process. Electronic Communications in Probability. 18(42): 1--5

Preprints, Submitted, or under Revision:
Hackmann, D. (2019) Wiener-Hopf factorization for the Normal Inverse Gaussian process. Preprint

Theses:
Analytical methods for Lévy processes with applications to finance (Ph.D. 2015)

The Optimal Dividend Problem for two Families of Meromorphic Lévy Processes (M.A. 2011)

Solving the Black-Scholes Equation using a Finite Difference Method (B.Sc. 2010)

Invited Talks:
Hackmann, D. (2015) Analytical Methods for Lévy processes with applications to finance: Part 1 & Part 2. At: Institute of financial mathematics and applied number theory, Johannes Kepler University, Linz, Austria, March 2 & 3. Seminar

Hackmann, D. (2015) Analytical Methods for Lévy processes with applications to finance. At: Vienna Seminar in Mathematical Finance and Probability, University of Vienna, Vienna, Austria, January 22. Seminar

Contributed Talks:
Hackmann, D. (2016) Karhunen-Loève expansions of Lévy processes. At: 3rd Barcelona summer school on stochastic analysis, UAB, Barcelona, Spain, June 27--July 1. International summer school

Hackmann, D. (2015) The density of the supremum of a stable process. At: Joint Austrian-Hungarian mathematical conference, Széchenyi István University, Gyõr, Hungary, August 25--27. International conference

Hackmann, D. (2014) Approximating Lévy processes with completely monotone jumps. At: Workshop on statistical inference for Lévy processes, Lorentz Center, Leiden, The Netherlands, September 22--25. International conference

Hackmann, D. (2014) Approximating Lévy processes with completely monotone jumps. At: 2nd Barcelona summer school on stochastic analysis, UAB, Barcelona, Spain, July 7--11. International summer school

Hackmann, D. (2013) Asian options and meromorphic Lévy processes. At: The satellite summer school of the 7th international conference on Lévy processes, Bedlewo, Poland, July 8--13. International summer school

Hackmann, D. (2012) The optimal dividend problem for two families of meromorphic Lévy processes. At: CAIMS Meeting, Toronto, Canada, June 24--28. National conference