Registration
Note that there are two parts of the event: Part I at the Mathematical Institut and Part II at the Italian General Consulate. Please register for each part you would like to attend separately. You may choose to sign up for Part I, Part II, or both.
Part I at LMU: Register here.
Part II at the Italian General Consulate: Register here.
Please find all abstracts for the workshop at the end of this page.
Overview
Date and Time:
July 17, 2025
Part I: 2:00 PM - 5:30 PM
Part II: 6:00 PM - 7:15 PM, afterwards Meet & Greet
Language:
English
Target:
Students, PhD candidates and from 6:00 PM onwards, practitioners from the banking and insurance sectors
Agenda:
- 1:45 - 2:00 PM: Arrival of participants at the Mathematical Institute of LMU, room B349
- 2:00 - 5:30 PM: Meet & Greet and Workshop / Prof. F. Biagini: Please find the speakers and abstracs here (PDF, 52 KB) or below
- 5:45 - 6:05 PM: Arrival of participants for Part II at the Italian General Consulate
- 5:45 - 6:05 PM: Opening and introduction / Console Sergio Maffettone
- 6:05 - 6:45 PM: Presentation “How to Maximize Profits Through Pricing Leverage” / Dr. D. Zatta
- 6:45 - 7:10 PM: Discussion
- 7:10 - 7:15 PM: Conclusions / Prof. F. Biagini
- 7:15 PM onwards: Meet & Greet with refreshments
Event
The event “Frontiers in Mathematical Finance: Between Theory and Applications” aims to present current results, research insights, and concrete applications in mathematical finance and insurance. The program features seminars by academics and professionals from the financial and insurance industry. Students will have the opportunity to engage with experts and explore potential career paths in both industry and academia.
The event is divided into two parts. During the first part, a workshop will take place at the Mathematical Institute of the LMU Munich featuring LMU alumni from different sectors. During the second part, Dr. Zatta will hold a seminar on how to maximize profits through pricing leverage, starting at 6:00 PM at the Italian General Consulate and concluded by discussions and networking.
Both parts of the event are open to the public.
Plenary Speaker
Danilo Zatta is one of the leading management consultants and thought leaders in the field of Pricing at a global level.
The Financial Times has defined him as ‘one of the world's leading pricing minds’. Danilo has also been recognized as one of the ‘Top 5 Pricing Thought Leaders’ on LinkedIn, as one of the most engaging and impactful pricing thought leaders globally. According to Il Sole 24 Ore, ‘Zatta is the most authoritative voice on pricing in Italy and one of the most recognized monetization authors in the world’. Recently, he has also been included in the list of the ‘50 leading marketing and sales experts globally’.
Danilo has written over 20 books, including The 10 Rules of Highly Effective Pricing (translated into 3 languages), the international bestseller Pricing Revolution translated into more than 10 languages.
Find more information at https://www.danilozatta.com
Workshop Agenda
Prof. Dr. Katharina Oberpriller
- Affiliation:
LMU, Workgroup Financial and Insurance Mathematics - Title:
When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization - Abstract:
We consider the pricing and hedging of counterparty credit risk and funding when there is no possibility to hedge the jump to default of either the bank or the counterparty. This represents the situation which is most often encountered in practice, due to the absence of quoted corporate bonds or CDS contracts written on the counterparty and the difficulty for the bank to buy/sell protection on her own default. We apply local risk-minimization to find the optimal strategy and compute it via a BSDE.
Dr. Yinglin Zhang
- Affiliation:
Hannover Re, Life & Health Data Analytics - Title:
The adventure of a mathematician through the (re)insurance jungle: challenge & fun - Abstract:
Back in 2015, my Ph.D. program at LMU Munich, specializing in financial mathematics applied to insurance, opened the door to the fascinating sector of (re)insurance for me. After working for nearly a decade in various companies, lines of business, and functions within this industry, I have been continually impressed by the diverse applications of mathematics and especially by the complex interplay of methodology, operation, technology, and business reality. It was not always easy, but it was definitely fulfilling.
Dr Sorin Nedelcu
- Affiliation:
Deutsche Bank AG, Corporate & Investment Bank, Strategic Corporate Lending - Title:
From Academia to Investment Banking: A Quantitative Analyst’s Journey - Abstract:
In this short presentation, I draw on almost a decade of experience of working as Quantitative Analyst
at Deutsche Bank and J.P. Morgan in London, Frankfurt and Berlin. My career has included positions in model
development, model validation and front office quant teams, in both investment and corporate banking — offering a
well-rounded perspective on how quantitative skills are applied throughout the financial sector.
Dr. Jan Widenmann
- Affiliation:
BMW AG, Financial Services, Region Europe - Title:
From Stochastic Models to Smart Mobility: A Financial Mathematician’s Journey into Automotive Risk and Digitalization - Abstract:
What happens when a background in financial and actuarial mathematics meets the dynamic challenges of the automotive industry? The presentation explores a career path that bridges rigorous quantitative training with real-world applications in automotive risk management and digital innovation. It reflects on key skillsets learnt during the academic career and how they pay off in the day to day tasks of an industry full of opportunities.
Dr. Thomas Reitsam
- Affiliation:
The Mobility House - Title:
My career anything but linear - Abstract:
My career path has been anything but linear, shaped by both setbacks and persistence. It began with my German Abitur, where I initially failed in mathematics—ironically, the subject that would later define my academic journey. I pursued a Bachelor's degree in Mathematics at LMU. The fear after my first university exam was so intense that I barely moved until the second one, but I pushed through.
During my PhD, the path was filled with highs and lows. Completing projects was a challenge, and I often questioned whether I should continue. Yet, I stayed the course. After academia, I transitioned into industry with a 1.5-year stint at Deloitte, focusing on insurance topics—my first step into applied analytics.
Today, I’ve found an exciting intersection of my interests and skills as a Data Scientist and Energy Trader. This role allows me to blend quantitative analysis with strategic thinking in a dynamic and future-oriented field. Looking back, every setback helped shape a more resilient, adaptable version of myself—and each chapter, even the difficult ones, brought me closer to work that truly motivates me.
Niklas Walter
- Affiliation:
QuantCo - Title:
Neural Networks and Randomised Signature in Mathematical Finance - Abstract:
A brief overview about how ReLU neural networks and randomized signature can be utilized to solve classical problems in mathematical finance such as model calibration, data generation and optimal trading.
Dr. Irene Schreiber
- Affiliation:
Deloitte Germany, Actuarial and Insurance Services - Title:
Actuaries in the insurance industry - insights into current trends and practical questions - Abstract:
In this talk I provide an overview on the different fields of activities for mathematicians in insurance and how they have evolved in the past years. I present a selection of current actuarial topics and practical questions in the insurance industry including some concrete examples from current project work with clients from the German and Austrian market.
Dr. Jacopo Mancin
- Affiliation:
Qytrees - Title:
From Academia to Startup: Building a Platform for Crypto Derivatives Risk Management - Abstract:
I will briefly share my path following the PhD, focusing on my role in the founding team of a startup developing a platform for pricing and risk management of crypto derivatives. I will touch on the technical challenges we encountered, and how our academic background helped shape our approach to innovation in this space.
Prof. Dr. Andrea Mazzon
- Affiliation:
University of Verona, Department of Economics - Title:
Optimal stopping and divestment timing under scenario ambiguity and learning - Abstract:
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a scenario from a given set of possible futures. Since the future scenario is unknown and the probabilities of individual prospective scenarios are ambiguous, we adopt the smooth model of decision making under ambiguity aversion of Klibanoff et al (2005), framing the optimal divestment decision as an optimal stopping problem with learning under ambiguity aversion. We then prove a minimax result reducing this problem to a series of standard optimal stopping problems with learning. The theory is illustrated with two examples: the problem of optimally selling a stock with ambigous drift, and the problem of optimal divestment from a coal-fired power plant under transition scenario ambiguity.