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Module D - Quantitative Methods in Finance

Project D1 - Mathematical Methods in Financial Risk Management

The project "Mathematical Methods in Financial Risk Management" focuses on methodological problems in the modeling of risks. Members of the project research group examine issues arising in the presence of market imperfections as well as statistical issues.

Market imperfections include a lack of liquidity, transaction costs, jumps in the price process, etc. They typically preclude market participants from perfectly hedging derivatives. New criteria to value and handle the unhedgeable risk need to be developed. Researchers in this project develop pricing bounds and optimal hedging strategies that take such market imperfections into account.

Market imperfections also present formidable challenges to measuring risks. A new type of risk models, known as "coherent risk measures", were developed by members of this project and have become widely known. These measures are now being extended from the single period case to the multi-period case, and from fixed positions to dynamic portfolios.

The group also addresses statistical issues arising in risk management and pricing of derivatives. Extreme value theory, championed by members of this group, is being extended to model dependence in multivariate time series and to allow for higher dimensional distributions. Furthermore, dependence modeling is being included in derivatives pricing models.

The "Mathematical Methods in Financial Risk Management" group mainly comprises mathematicians specialized in probability theory and stochastic processes as well as statistical aspects.

Research Team

Leader
Prof. Martin Schweizer
+41 44 632 33 51
martin.schweizer@math.ethz.ch
ETH Zurich
Administration
Ms. Stephanie Neidhardt +41 44 632 35 80 stephanie.neidhardt@math.ethz.ch
Senior Researchers and Post Docs
Prof. Freddy Delbaen +41 44 632 63 57 freddy.delbaen@math.ethz.ch
Dr. Gabriel Drimus +41 44 634 29 42 gabriel.drimus@bf.uzh.ch
Dr. Kai Du +41 44 632 34 58 kai.du@math.ethz.ch
Prof. Paul Embrechts +41 44 632 34 19 paul.embrechts@math.ethz.ch
Prof. Johannes Muhle-Karbe +41 44 632 30 87 johannes.muhle-karbe@math.ethz.ch
Prof. Halil Mete Soner +41 44 632 27 55 mete.soner@math.ethz.ch
Dr. Winslow Strong +41 44 632 34 44 winslow.strong@math.ethz.ch
Doctoral Students
Martin Herdegen +41 44 632 22 76 martin.herdegen@math.ethz.ch
Sebastian Herrmann +41 44 632 23 11 sebastian.herrmann@math.ethz.ch
Blanka Horvath +41 44 632 34 44 blanka.horvath@math.ethz.ch
Ren Liu +41 44 633 93 56 ren.liu@math.ethz.ch
Cosimo-Andrea Munari +41 44 632 34 58 cosimo-andrea.munari@math.ethz.ch
Annina Saluz +41 44 632 68 30 annina.saluz@math.ethz.ch
Associated Participants
Dr. Delia Coculescu +41 44 635 58 64 delia.coculescu@math.uzh.ch
Prof. Erich Walter Farkas +41 44 634 39 53 walter.farkas@bf.uzh.ch
Prof. Christoph Frei +1 780 492 36 13 cfrei@ualberta.ca
University of Alberta
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Swiss National Science Foundation.