ICAIR - Key Persons
Ben Spies began his studies in Mathematics and Economics at Friedrich-Alexander University in Erlangen in October 2014. After a semester abroad in Florence, Italy, he completed his bachelor's degree in 2018 with a thesis in the fields of Discrete Optimization. After a few months of practical experience in the risk management department at Deutsche Bank AG, Ben started a graduate program at the London School of Economics, where he received the degree MSc Applicable Mathematics in 2019. The same year, in October, Ben joined the TopMath program at TUM, where since late 2020, he conducts research in the area of discrete-time GARCH models under Prof. Rudi Zagst's supervision.
Bettina Haas joined as professors' seceretary the Chair of Mathematical Finance in December 2011.
Constantin started his studies in Bachelor Mathematics with minor in Computer Science at the Technical University of Munich in October 2015. After his Bachelor degree he started his Master in Mathematical Finance and Actuarial Science also at the Technical University of Munich. After a stay abroad at SJTU in Shanghai (China), he graduated in May 2021 with the master thesis "Bessel processes and their application in Asian option pricing". During his studies, Constantin worked continuously as a student trainee at Allianz, Munich Re and Forrs Partners, among others. Since November 2021, Constantin has been working on his PhD in the field of trade credit risk modeling in cooperation with Munich Re at the Chair of Financial Mathematics.
Mr. Horovitz has subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Erste Bank, Credit Suisse and Nagler & Company. At Erste Bank and Credit Suisse, Mr. Horovitz held the positions of Chief Risk Officer and was a member of the top management committees of the respective institutions.
He is a frequent speaker at various risk management conferences and a contributor to various industry journals.
He has held teaching assignments in financial risk management at the Technical Universities of Munich and Vienna. His areas of expertise cover all classes of financial risk management including the important link to overall institutional strategy.
Mr. Horovitz holds an Engineering Diploma in Hydraulics from The Technical University Bucharest and an MBA in Finance from New York University´s Stern Business School. He is a Registered Securities Representative in New York, a Licensed Professional Engineer (PE) in New Jersey & Michigan and a GARP (Global Association of Risk Professionals) certified Financial Risk Manager FRM®.
Andre Horovitz is the Founder of financial risk fitness. He has over 20 years experience in the Financial Services Industry.Mr. Horovitz started his banking career at Lehman Brothers as an Investment Banking Associate in 1988. He was responsible for pricing, developing hedging strategies and marketing exotic interest rate derivatives.
Arnd Pauwels studied business mathematics at the University Dortmund. Afterwards he worked at RiskLab GmbH Munich in the department "Credit Analytics" for three months. In October 2002 he started as scientific assistant at the HVB-Institute for Mathematical Finance at the Munich University of Technology. After finishing his dissertation with the title "Variance-optimal Hedging in Affine Volatility Models" he works in the Risk Controlling department of the MEAG Munich ERGO AssetManagement GmbH since September 2007. In the summer term 2011 he had an offer from the Munich University of Applied Sciences for the seminar "Applied Mathematics". Moreover, in the summer term 2012 he offered a lecture on "Lèvy-Processes in Finance" at the Munich University of Technology.
Dr. Bernd Schmid holds Master's degrees in Mathematics from the Universities of Ulm and Syracuse as well as a Ph.D. in Economics from the Europe University Viadrina. In 1997 he began his career as a Financial Engineer, later Head of Credit Analytics and CDO modelling, at Risklab GmbH, a subsidiary of Allianz Global Investors in Munich. In 2005 he joined Fitch Risk/Fitch Ratings as a Senior Vice President in London. Since 2006 he has been with UBS Investment Bank now: as a Managing Director he is heading UBS Delta - UBS's award winning platform for portfolio and risk management, portfolio construction and performance measurement - in Central and Eastern Europe.
Dr. Christian Bluhm wurde im Januar 2016 in die Konzernleitung der UBS Group AG und UBS AG berufen und zum Group Chief Risk Officer ernannt. Er stieß zu UBS von FMS Wertmanagement, wo er ab 2010 Chief Risk & Financial Officer und von 2012 bis 2015 Vorstandssprecher war. Von 2004 bis 2009 arbeitete er bei der Credit Suisse als Managing Director, verantwortlich für Credit Risk Management in der Schweiz und Private Banking weltweit. Christian Bluhm war bis 2008 Head Credit Portfolio Management und nach der Finanzkrise im Jahr 2008 Head Credit Risk Management Analytics & Instruments. Von 2001 bis 2004 arbeitete er bei der Hypovereinsbank in München im Group Credit Portfolio Management; er leitete ein Team, das auf Structured Finance Analytics spezialisiert war. Bevor er seine bankfachliche Karriere 1999 bei der Deutschen Bank im Credit Risk Management begann, arbeitete er als Post Doctorate Fellow an der Cornell University in Ithaca und wissenschaftlicher Assistent an der Universität Greifswald. Christian Bluhm besitzt einen Abschluss in Mathematik und Informatik der Universität Erlangen-Nürnberg und doktorierte 1996 in Mathematik an derselben Universität.
Corrado has obtained a Bachelor's degree in Economics and Finance from the University of Bologna and a Master's degree in Statistics and Actuarial Science from the University of Trieste, which he completed with the master's thesis "Operational Risk in the banking sector: models and empirical analysis". After his studies, he gained industry experience working as an actuarial intern for the Zurich Insurance Group. In June 2022, he completed a doctoral program at Vrije Universiteit Brussel, under the joint supervision of Prof. Carole Bernard and Prof. Steven Vanduffel. The title of the doctoral dissertation is "Essays on Optimal Portfolio Choice and Model Risk Assessment". Corrado is currently a postdoctoral researcher at the Chair of Financial Mathematics and part of the ERGO Center of Excellence in Insurance.
After a lectureship in mathematics and statistics at the Economic Academy Kiel, Gunter Meissner PhD joined Deutsche Bank in 1990, trading interest rate futures, swaps, and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products, which at the time were Index Amortizing Swaps, Yield curve swaps, Lookback Options, Quanto Options and Bermuda Swaptions. In 1995/1996 Gunter was Head of Options at Deutsche Bank Tokyo. From 1997 to 2007 he was Professor of Finance at Hawaii Pacific University and from 2008 to 2013 Director of the Financial Engineering Program at the University of Hawaii. Currently, Gunter is President of Derivatives Software (www.dersoft.com), and Adjunct Professor of Mathematical Finance at Columbia University and NYU.
Gunter Meissner has published numerous papers on derivatives and is a frequent speaker at conferences and seminars. He is author of 7 books, including his 2020 book "Economic and Financial Forecasting - 10 Methods". He can be reached at gunter@dersoft.com.
Jan-Frederik Mai studied Business Mathematics at the University of Ulm until October 2007. In June 2010, he received his doctorate from the Technical University of Munich on the valuation of portfolio credit derivatives using special multivariate exponential distributions. Since then, he has continued to research the mathematical foundations and extensions of this work and successfully completed his habilitation thesis on multivariate exponential distributions with a latent factor structure at the Technical University of Munich in January 2014. Since October 2010, he has been working in portfolio management at the Munich-based asset manager XAIA Investment.
Karsten Prause studied mathematics and history in Münster and Freiburg. In his dissertation, he dealt with heavy tail methods in mathematical finances focusing on option pricing theory, multivariate approaches for VaR assessment and stochastic volatility approaches. From 2000 through 2010 he worked with UniCredit Group (HVB), most recently as Head of Credit Risk Strategy. Thereupon he headed Credit Risk Models at Deutsche Pfandbriefbank AG. Since 2014 he heads Risk Controlling of Stadtwerke München GmbH.
Job Titles:
- Chairman of Mathematical Finance
- Professor of Economics at the University of Bavarian Business
After his time at university, Oliver Schlick entered the banking sector, where he was initially responsible for economic and interest rate forecasting in the research department of the then Bayerische Hypotheken- and Wechselbank. After being recruited to the asset management subsidiary within the group, he began to expand his analytical activities. He became head of the research department and applied his findings to the management of special funds as part of his role as fund manager.
In 2002, he moved to BayernInvest, the asset management subsidiary of Bayerische Landesbank. Via various management functions, he was appointed to BayernInvest's Executive Board in 2008. In this function, he was most recently responsible as Chief Investment Officer for capital market analysis and fund management, as well as for product development and trading. In addition, he headed the "Marketing and Sales" division for several years.
In 2015, he moved into capital market research and consulting, deepening his analyses as an "Associate Researcher" at the Chair of Financial Mathematics at the Technical University of Munich. His research focus is, besides the application of macroeconomic, monetary and currency theoretical approaches to the analysis of the current economic situation, the utilization of scientific findings in concrete capital investment policy and product design.
Since January 2018, Oliver Schlick has been managing partner of Secaro GmbH in Munich, in which scientific findings are applied to the analysis and forecasting of capital markets and options for action that can be derived from them are developed.
Oliver Schlick is Professor of Economics at the University of Bavarian Business (HDBW) in Munich.
In August 2017, Thijs obtained a B.Sc. degree in Econometrics and Operations Research at Maastricht University, the Netherlands. During his undergraduate studies, he spent one semester at Universität Mannheim, Germany, as an exchange student. In August 2018, he obtained an M.Sc. degree in Econometrics and Operations Research with a specialization in Actuarial Science, with distinction (cum laude). His master thesis entitled "Investing for General Utility: Results for the Black-Scholes-Hull-White Model". After graduation, in September 2018, he joined the Department of Quantitative Economics of Maastricht University as a Ph.D. Candidate, under the supervision of Prof. Dr. Antoon Pelsser and Dr. Thomas Post. His dissertation, entitled "Duality Methods for Stochastic Optimal Control Problems in Finance", primarily focuses on convex duality and applications thereof in the domain of portfolio optimization. In October 2022, he joined the ERGO Center of Excellence in Insurance and the Chair of Mathematical Finance as a postdoctoral research fellow.
Wolfgang Kirschner studied Finance, Operations Research and Statistics at Augsburg University and graduated as a Diplom-Kaufmann. Following he received a doctor's degree from University of Konstanz for his thesis on "Valuation of Interest Rate Swaps". At the same time Wolfgang managed quantitative and fixed income research with Bayerische Hypotheken- und Wechselbank AG in Munich. Then he changed to Allfonds Management, a fund management company, where he was responsible for product development and managing Spezialfonds.
In October 2000 he became Managing Director with Activest, a large fund management company in Germany. At first he was in charge of fund management, product management and product controlling before he became responsible for institutional sales and client relationship management. During that period Activest merged with Pioneer Investments, an international fund management company. Since April 2011 Wolfgang is CEO of Hauck & Aufhäuser Asset Management GmbH, an asset management company based in Munich.
From inception until 2011 Wolfgang was member of the advisory council of HVB Stiftungslehrstuhl (now Chair of Mathematical Finance).
For many years Wolfgang is assistant professor at Augsburg University of Applied Sciences - his main subjects are Portfolio Theory, Security Analysis, Pensions Management.
Henrik Sloot begann sein Studium der Mathematik 2010 an der Technischen Universität München. Nach Abschluss seines Bachelorstudiums der Mathematik mit Nebenfach Wirtschaft im April 2014 setzte er sein Studium im Master "Mathematical Finance and Actuarial Sciences" fort. Seit Juni 2014 arbeitet er zudem als Referent im Risikomanagement der Allianz Deutschland AG. Das Masterstudium wurde im März 2017 mit der Masterarbeit zum Thema "Exogene Schock Modelle" abgeschlossen. Aktuell promoviert Henrik Sloot am Lehrstuhl für Finanzmathematik.
Brück, Florian: Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences. Journal of Multivariate Analysis, 2022 more…
Zeller, G.; Scherer, M.: A comprehensive model for cyber risk based on marked point processes and its application to insurance. European Actuarial Journal, 2021 more…
Marco Rauscher started his undergraduate studies in October 2015 and obtained his bachelor's degree from TUM in 2018. Afterwards he began his master's program in the field of mathematics with a strong focus on "finance" and "machine learning". During his master's program Marco spent one semester abroad at the University of Lund in Sweden. Moreover, he gathered practical experience as an intern at the Bayerische Landesbank. For his master's thesis on machine learning in the field of VIX related products he participated in the iCAIR research project and collaborated with the University of Toronto. Since he has finished his master's degree, he is a PhD candidate at the Chair of Financial Mathematics with Prof. Horvath as his mentor.
Job Titles:
- Adjunct Professor
- Associate Professorship of Risk and Insurance
Mr. Min was appointed as an adjunct professor by the TU Munich in February 2022.
Alexander Bohnert studied Mathematics and Economics at Ulm University and at the University of West Florida (USA). After his doctorate and postdoctoral qualification (Habilitation) at the Friedrich-Alexander University Erlangen-Nürnberg, he was appointed to Privatdozent at FAU in 2019, was Professor at TUM from 2020-21 and is now Professor of Finance and Risk Management at the Munich University of Applied Sciences (HM).
He was a Visiting Scholar at the Aarhus University (Denmark), Florida State University (USA), University of Georgia (USA), University of New South Wales (Australia), and the Waseda University (Japan). In 2019-2022, he was a member of the Board of Governors of the Asia-Pacific Risk and Insurance Association (APRIA). He has worked for several years in the financial services and insurance industry and is a professional actuary of the German Association of Actuaries (DAV). Since 2022, he further is the Chairman of the AFIR-ERM Section (Financial Risks and Enterprise Risk Management) of the International Actuarial Association (IAA).
In 2016, he was awarded a Schoeller Fellowship by the Dr. Theo and Friedl Schoeller Research Center for Business and Society, was Young Economist at the Lindau Nobel Laureate Meeting in 2017, and received twice (2013 and 2018) the Shin Research Excellence Award of the International Insurance Society and the International Association for the Study of Insurance Economics (Geneva Association).
Job Titles:
- Associate Professor in Finance at EMLYON Business School
- Chairman of Mathematical Finance ( Prof. Zagst )
Lorenz Schneider is Associate Professor in Finance at EMLYON Business School, Lyon, France. He worked for six years as a Quantitative Analyst for Commodity and Hybrid Derivatives at Dresdner Kleinwort in the City of London. His research interests include multi-factor models of commodity futures curves with stochastic volatility, asset distributions obtained via maximum entropy techniques, share pricing in emerging network markets, and fair value of executive compensation. He teaches courses on probability theory, commodity markets, credit markets, and numerical techniques in C++ and C#. He holds a Ph.D. in mathematics from the University Paris VI Pierre et Marie Curie.
Job Titles:
- Professor for Risk and Insurance at TUM
Matthias Scherer is professor for Risk and Insurance at TUM. His research interests comprise the pricing and risk management of insurance contracts and financial derivatives, probability theory, statistics, and efficient numerical tools. He is particularly interested in dependence concepts / copula models and multivariate financial problems. He holds a Diploma in "Wirtschaftsmathematik" from Ulm University (2005) and a Master's degree in "Mathematics" from Syracuse University (2004). In his dissertation, supervised by Prof. Rüdiger Kiesel, he constructed a multivariate default model. He joined TUM in 2007, where he coordinated the elite graduate program "Finance and Information Management" until 2009. Prof. Scherer is a member of the board of the DGVFM and member of the advisory councils of FIRM and RiskNet.
Fernández, L.; Scherer; M.: Emil J. Gumbel's last course on the "Statistical theory of extreme values'': a conversation with Tuncel M. Yegulalp. Extremes 21 (1), 2018, 97-113 more…
Puccetti, G. and Scherer, M: Copulas, credit portfolios, and the broken heart syndrome. Dependence Modeling , 2018 more…
Brigo, D.; Mai, J.-F.; Scherer, M.: Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law. Statistics and Probability Letters, 2016, 60-66 more…
Hüttner, A.; Scherer, M.: A note on the valuation of CDS options and extension risk in a structural model with jumps. Journal of Financial Engineering 03 (02), 2016 more…
Bernhart, G.; Mai, J.-F.; Scherer, M.: On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Dependence Modeling (3), 2015, 29-46 more…
Hieber, P.; Korn, R.; Scherer, M.: Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. European Actuarial Journal 5 (1), 2015, 11-28 more…
Mai, J.-F.; Scherer, M.: Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Extremes 17 (1), 2014, 77-95 more…
Fernández, L.; Hieber, P.; Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications 19 (2), 2013, 107-141 more…
Hieber, P.; Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics 235 (3), 2010, 679-685 more…
Mai, J.; Scherer, M.: Pricing k-th to default swaps in a Lévy-time framework. Journal of Credit Risk 5 (3), 2009, 55-70 more…
Mai, J.-F.; Scherer, M.: Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals. In: Topics in Statistical Simulation.
Job Titles:
- Second Member of the Faculty of Economics
Lichtenstern, A.; Shevchenko, P.; Zagst, R.: Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics 15, 2021, 275-313 more…
Engel, J.; Wahl, M.; Zagst, R.: Forecasting turbulence in the Asian and European stock market using regime-switching models. Quantitative Finance and Economics 2 (2), 2018, 388-406 more…
Wahl, M.; Schlick, O.; Zagst, R.: To see or not to see - Können finanzmathematische Modelle in die Zukunft sehen? BAI Newsletter (2), 2018, 17-23 more…
Leonhardt, D.; Ware, A.; Zagst, R.: A cointegrated regime-switching model approach with jumps for commodity futures prices. Risks 5 (3), 2017, 1-19 more…
Zagst, R; Zou, B.: Optimal investment with transaction costs under cumulative prospect theory in discrete time. Mathematics and Financial Economics 11 (4), 2017, 393-421 more…
Escobar, M.; Götz, B.; Zagst, R.: Closed form pricing of two-asset barrier options with stochastic covariance. Applied Mathematical Finance 21 (4), 2014, 363-397 more…
Job Titles:
- Professor in Statistics since 1998 at the Institute of Mathematics
Nikolai Kolev is professor in Statistics since 1998 at the Institute of Mathematics and Statistics, Sao Paulo University, Brazil. His research interests are in Applied Probability and Statistics, focusing on multivariate lifetime models, copulas, extended Marshall-Olkin models, random sums and recently - on multivariate models generated via line integral. He holds a PhD diploma in Probability and Statistics from Faculty of Mathematics, Sofia University (1994). He was the supervisor of 10 PhD and 4 post-doctoral students.
Bahraoui, T. and Kolev, N. (2020). New measure of the bivariate asymmetry. Sankhya A 82, 1-28.
Sabina Meder studied business administration in Muenster and Aachen, as well as Applied Economics with Keith Redhead in Coventry, UK. She played an active role in the development of the computerized Exchange for Deutsche Terminboerse (DTB). She contributed to international committees for DIN, ISO and S.W.I.F.T., creating international standards for banking and securities on behalf of Deutsche Boerse AG. She developed and edited training manuals covering trading, clearing, and security co-ordination. She facilitated respective trainings for Eurex and the CBOT worldwide. During an extended stay abroad (3 years in the U.S.) she completed training for Business Coaching endorsed by the International Coach Federation and acquired considerable experience in coaching in the U.S.. Back in Germany she provided consulting services through resolution of problems, explanation of bank services and policies. Since 2011 she is assisting the mathematical finance Department in developing a course and lecture for the Eurex Exchange Trader Qualification.
Job Titles:
- Pricing Timer Options. Master Thesis, 2013
Schmidt, Tim: Pricing Timer Options. Master thesis, 2013 more…