Biography

Research Interests

Research Grants

  Project Funding
Body 		Start Date End Date Award
SFI OIP 2011 Equipment Science Foundation of Ireland 01-JAN-11 31-DEC-11 €7,368.00
SFI-Financial Algebra:Developing High Performance Algorithms for Finance using Algbra Science Foundation of Ireland 01-AUG-07 30-NOV-11 €208,035.00
Edgeworth Centre for Financial Mathematics Science Foundation of Ireland 01-JAN-08 31-JUL-14 €513,994.00
IRCSET Postdoc "Infinite dimensional analysis of financial markets" Irish Research Council for Science, Engineering & Technology (IRCSET) 24-SEP-07 31-AUG-09 €96,300.00
IRCSET "Optimal approximation state space modelling in mathematical finance" Irish Research Council for Science, Engineering & Technology (IRCSET) 01-OCT-05 31-MAR-09 €80,915.00

Book Chapters

  Year Publication
(2012) 'Non-negativity Analysis for Exponential-Polynomial-Trigonometric Functions on [0,infinity)'
B. Hanzon and F. Holland (2012) 'Non-negativity Analysis for Exponential-Polynomial-Trigonometric Functions on [0,infinity)' In: W. Arendt, J.A. Ball,J. Behrndt, K-H Foerster, V. Mehrmann, C. Trunk (eds). Spectral Theory, Mathematical System Theory, Evolution Equations, Differential and Difference Equations. Basel: Birkhaeuser. [Details]

Edited Books

  Year Publication
(2006)
B. Hanzon and M. Hazewinkel (Ed.). (2006) Constructive Algebra and System Theory. Amsterdam: Royal Netherlands Academy of Arts and Sciences. [ Publisher's Version] [Details]

Peer Reviewed Journals

  Year Publication
(2010) 'The Long-Term Behaviour of Markov Sequences'
B. Hanzon, F. Holland; (2010) 'The Long-Term Behaviour of Markov Sequences'. Mathematical Proceedings of the Royal Irish Academy, 110A :163-185 [Details]
(2010) 'A finite-dimensional HJM model: How important is arbitrage-free evolution?'
S. Devin, B. Hanzon, Th. Ribarits; (2010) 'A finite-dimensional HJM model: How important is arbitrage-free evolution?'. International Journal of Theoretical and Applied Finance, 13 :1241-1263 [Details]
(2007) 'Canonical Lossless State-Space Systems: Staircase Forms and The Schur Algorithm'
Peeters, RLM, Hanzon, B, Olivi, M; (2007) 'Canonical Lossless State-Space Systems: Staircase Forms and The Schur Algorithm'. Linear Algebra and Its Applications, 425 (2-3):404-433 [DOI] [Details]
(2007) 'Efficiency Improvement In An Nd Systems Approach to Polynomial Optimization'
Bleylevens, I, Peeters, R, Hanzon, B; (2007) 'Efficiency Improvement In An Nd Systems Approach to Polynomial Optimization'. Journal of Symbolic Computation, 42 (1-2):30-53 [DOI] [Details]
(2007) 'Canonical lossless state-space systems: Staircase forms and the Schur algorithm'
Peeters, RLM,Hanzon, B,Olivi, M; (2007) 'Canonical lossless state-space systems: Staircase forms and the Schur algorithm'. Linear Algebra and Its Applications, 425 :404-433 [DOI] [Details]
(2006) 'Balanced Realizations of Discrete-Time Stable All-Pass Systems and The Tangential Schur Algorithm'
Hanzon, B, Olivi, M, Peeters, RLM; (2006) 'Balanced Realizations of Discrete-Time Stable All-Pass Systems and The Tangential Schur Algorithm'. Linear Algebra and Its Applications, 418 (2-3):793-820 [DOI] [Details]
(2006) 'Balanced realizations of discrete-time stable all-pass systems and the tangential Schur algorithm'
Hanzon, B,Olivi, M,Peeters, RLM; (2006) 'Balanced realizations of discrete-time stable all-pass systems and the tangential Schur algorithm'. Linear Algebra and Its Applications, 418 :793-820 [DOI] [Details]
(2005) 'Identifiability of homogeneous systems using the state isomorphism approach'
Peeters, RLM,Hanzon, B (2005) 'Identifiability of homogeneous systems using the state isomorphism approach'. Automatica, 41 :513-529 [DOI] [Details]
(2005) 'An analysis of separable least squares data driven local coordinates for maximum likelihood estimation of linear systems'
Ribarits, T,Deistler, M,Hanzon, B (2005) 'An analysis of separable least squares data driven local coordinates for maximum likelihood estimation of linear systems'. Automatica, 41 :531-544 [DOI] [Details]

Conference Publications

  Year Publication
(2013) 5th Symposium on System Structure and Control, Grenoble
Peeters, Ralf; Olivi, Martine; Hanzon, Bernard (2013) Continuous-Time Lossless Systems, Boundary Interpolation and Pivot Structures 5th Symposium on System Structure and Control, Grenoble [ Publisher's Version] [DOI] [Details]
(2012) 16th IFAC Symposium on System Identification, Brussels
Peeters, Ralf; Bleylevens, Ivo; Hanzon, Bernard (2012) On Algebraic and Linear Algebraic Aspects of Co-Order Three H2 Model Order Reduction 16th IFAC Symposium on System Identification, Brussels , pp.704-709 [ Publisher's Version] [Details]
(2012) 16th IFAC Symposium on System Identification, Brussels
Bernard Hanzon, Ralf Peeters, Ivo Bleylevens (2012) On a Finiteness Result for the Number of Critical Points of the H2 Approximation Criterion 16th IFAC Symposium on System Identification, Brussels , pp.728-733 [ Publisher's Version] [Details]
(2012) 16th IFAC Symposium on System Identification, Brussels
Sexton, Conor; Olivi, Martine; Hanzon, Bernard (2012) Rational Approximation of Transfer Functions for Non-Negative EPT Densities 16th IFAC Symposium on System Identification, Brussels , pp.716-721 [ Publisher's Version] [DOI] [Details]
(2009) 15th IFAC Symposium on System Identification Saint-Malo
Ralf Peeters, Martine Olivi, Bernard Hanzon (2009) Balanced realization of lossless systems: Schur parameters, canonical forms and applications 15th IFAC Symposium on System Identification Saint-Malo , pp.273-283 [ Publisher's Version] [Details]
(2009) 15th IFAC Symposium on System Identification, St Malo
Bernard Hanzon, Martine Olivi, Ralf Peeters (2009) Subdiagonal pivot structures and associated canonical forms under state isometries 15th IFAC Symposium on System Identification, St Malo , pp.1620-1625 [ Publisher's Version] [Details]

Published Reports

  Year Publication
(2014) The State-Space Error Correction Model: Simulations and Applications.
Thomas Ribarits and Bernard Hanzon (2014) The State-Space Error Correction Model: Simulations and Applications. Social Sciences Research Network, SSRN.com. [Details]
(2014) The State-Space Error Correction Model: Definition, Estimation and Model Selection.
Thomas Ribarits and Bernard Hanzon (2014) The State-Space Error Correction Model: Definition, Estimation and Model Selection. Social Sciences Research Network, SSRN.com. [Details]
(2010) Canonical lossless state-space systems: Staircase forms and the Schur algorithm.
Ralf L.M. Peeters, Bernard Hanzon, Martine Olivi (2010) Canonical lossless state-space systems: Staircase forms and the Schur algorithm. Cornell University Library, arXiv.org. [Details]
(2010) Balanced realizations of discrete-time stable all-pass systems and the tangential Schur algorithm.
Bernard Hanzon, Martine Olivi, Ralf L.M. Peeters (2010) Balanced realizations of discrete-time stable all-pass systems and the tangential Schur algorithm. Cornell University Library, arXiv.org. [Details]
(2010) On a Perron-Frobenius type result for non-negative impulse response functions.
Bernard Hanzon, Finbarr Holland (2010) On a Perron-Frobenius type result for non-negative impulse response functions. B. Hanzon personal website, Cork. [Details]
(2008) On three filtering problems arising in mathematical finance.
Damiano Brigo, Bernard Hanzon (2008) On three filtering problems arising in mathematical finance. Cornell University Library, arXiv.org. [Details]
(2007) Optimal H2 order-one reduction by solving eigenproblems for polynomial equations.
Bernard Hanzon, Jan M. Maciejowski, Chun Tung Chou (2007) Optimal H2 order-one reduction by solving eigenproblems for polynomial equations. Cornell University Library, arXiv.org. [Details]
(2007) Filtering and estimation in stochastic volatility models with rationally distributed disturbances.
Bernard Hanzon, Wolfgang Scherrer (2007) Filtering and estimation in stochastic volatility models with rationally distributed disturbances. Cornell University Library, arXiv.org. [Details]

Audiovisual material

  Year Publication
(2012) Mathematics from the Past, Mathematics for the Future.
Bernard Hanzon (2012) Mathematics from the Past, Mathematics for the Future. Cork: Audiovisual material [ Publisher's Version] [Details]
(2005) Money, Movement and Mathematics.
Bernard Hanzon (2005) Money, Movement and Mathematics. Audiovisual material [Details]

Presentation

  Year Publication
(2010) BFS Toronto Poster 429: Non-negativity of Exponential Polynomial Trigonometric Functions–a Budan-Fourier sequence approach.
Bernard Hanzon, Finbarr Holland (2010) BFS Toronto Poster 429: Non-negativity of Exponential Polynomial Trigonometric Functions–a Budan-Fourier sequence approach. Cork: Presentation [ Publisher's Version] [Details]

Recent Postgraduates

  Graduation Year Student Name Institution Degree Type Thesis Title
2013 Conor Sexton University College Cork PhD Financial Modelling with 2-EPT Probability Density Functions
2009 Robert Cronin University College Cork MSc Stochastic Volatility and Tail Behavior Modelling with Applications to VaR
2014 Luca Pettinari MSc Multidimensional discrete pricing and exploration of a new approach to the binomial tree
2014 Daniele Tovazzi MSc EPT and GPT: Weird types of Probability Distributions for Applications
2013 Dirk Sierag MSc Pricing Derivatives on Multiple Assets: Recombining Multinomial Trees Based on Pascal's Simplex

Current Postgraduate Students

  Student Degree Type
O Brien Denis Masters Degree by Research