international Centre for Asset Management, Insurance and Risk Management

Rudi Zagst

Professor Zagst conducts research in the field of applied financial mathematics with the goal of modeling financial markets, evaluating financial products and quantifying the risks of financial projects. His research activities focus on financial engineering, risk management and asset management.

After studying business mathematics at the University of Ulm he received a doctorate in 1991 from the same university for his work on stochastic dynamic optimization. He subsequently pursued a career in the financial industry. He was head of new product development in the Institutional Investment Mannk, head of consulting at Allfonds International Asset Management, and managing director of RiskLab – Private Research Institute for Financial Studies.agement Division of HypoVereinsba

Luis Seco

Luis Seco is the Director of the Mathematical Finance Program and Professor of Mathematics at the University of Toronto. He is also President and CEO of Sigma Analysis and Management, a portfolio management firm that specializes in absolute return products and research. He has authored numerous papers in financial risk management, investments and market models, and has won a number of research awards. Prof. Seco holds a Ph.D. from Princeton University, is the director of RiskLab, an international research partnership of Universities and companies in the financial risk management sector. He has been a Bateman Instructor at the California Institute of Technology.

David Saunders

While a graduate student at the University of Toronto, Professor Saunders was an associate member of the Quantitative Research group at Algorithmics Inc., a leading provider of software for financial risk management. He worked on numerous projects including mutual fund ratings, applications of optimization duality to pricing derivative securities, stochastic programming for risk management, and the development of software for a general system for solving financial stochastic optimization problems (a joint project with the University of Cambridge).

After graduation, Professor Saunders was CLR Chair in Corporate Finance and deputy director of RiskLab Cyprus (a financial risk management research laboratory) at the Cyprus International Institute of Management, as well as a research fellow at the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus. He then joined the faculty of the Department of Mathematics at the University of Pittsburgh, where he served as director of the department’s Professional Science Masters Program in Mathematical Finance, and supervised numerous collaborative projects between students and financial institutions including RiskMetrics (default boundaries and inverse problems in credit risk), Toronto Dominion Bank (calibration of credit risk models, optimal capital allocation, fast pricing of Bermudan swaptions), PNC Bank (default correlation and CDO pricing, statistical methods for operational risk), and Mellon Bank (mathematical models for operational risk).

Professor Saunders has served as a consultant for many financial institutions including the Bank of Nova Scotia (efficient computation of value at risk for Bermudan swaption portfolios), the Ontario Teachers’ Pension Plan (interest rate risk management), the Cyprus Development Bank (credit portfolio management, equity risk management), and the Central Bank of Cyprus (market risk management).

Matthias Scherer

Matthias Scherer studierte von Oktober 1999 bis Januar 2005 Diplom-Wirtschaftsmathematik an der Universität Ulm. Zusätzlich erwarb er im Rahmen eines Auslandsjahres an der Universität von Syracuse (USA) den Master of Science in Mathematik. Im Anschluss an sein Studium promovierte er an der Universität Ulm am Lehrstuhl von Prof. Kiesel über strukturelle Kreditrisikomodelle, die Promotion schloss er im Mai 2007 ab. Von Januar 2007 bis Dezember 2009 war er Koordinator des gemeinsamen Elitestudienganges FIM der TU München und der Universität Augsburg. 2010 wurde er als Professor für Finanzmathematik berufen. Seine Forschungsgebiete umfassen u.a. die Bewertung und das Risikomanagement komplexer Finanzprodukte, die multivariate Statistik und Stochastik sowie die numerische Finanzmathematik. Er ist im Vorstand der DGVFM sowie im Beirat von FIRM und RiskNet. TUM intern engagiert sich Matthias Scherer u.a. als ISAM Sprecher, im Fakultätsrat, als Stv. Vorsitzender im FIM Board sowie als Stlv. Leiter des KPMG Center of Excellence in Risk Management.

Marcos Escobar

Professor at the Department of Statistical and Actuarial Sciences at Western University. He has authored over 50 papers in Mathematical Finance, Applied Mathematics and Statistics having published, among others, in Journal of Banking and Finance, Journal of Economic Dynamics and Control and Quantitative Finance. He has supervised more than 40 HQP.

Matthew Davison

I am full professor of Applied Mathematics, Statistical & Actuarial Sciences, and Business at Western University Canada, where I hold the Canada Research Chair in Quantitative Finance.

Prior to working at Western I was a front office trading floor quant at Deutsche Bank (1997-1999) and a postdoctoral researcher in theoretical physiology at the University of Bern (1995-1999).

I received my PhD in Applied Mathematics from Western in 1995. In 1991 I graduated with my B.A.Sc. in Engineering Science at the University of Toronto, where I specialized in Engineering Geophysics. I graduated from Westdale Secondary School in Hamilton in 1987.

My research interests include energy finance, quantitative risk management, and applied operations research. At the bottom of this web page is a list of my recent papers in each of these areas In energy finance I work on the optimal control of energy assets, pricing options on carbon markets, and the economic analysis of green energy sources. My background in engineering and my expertise in operational research, together with my research in modern quantitative finance all come in handy in this area.

In quantitative risk management my main interests are in pricing and hedging options, particularly on a large number of underlying assets. I am also working on final revisions of my financial math textbook which will appear later in 2013.

In applied operations research/industrial mathematics, I have helped organizations in industry, government, and health care solve problems ranging from cancer treatment optimization to the detection of naval mines. I am very happy with my strong team of current graduate students in the department of Applied Mathematics at Western and in the Department of Statistical and Actuarial Sciences. I am also very proud of my many past students who go from professional success to professional success.