Research, Teaching, and Members


The Workgroup Financial and Insurance Mathematics at the Ludwig-Maximilians-Universität (LMU) München is a research group within the LMU Mathematics Institute at the Faculty for Mathematics, Computer Sciences and Statistics.

Current research projects within our group cover various areas of Stochastic Calculus and Financial and Insurance Mathematics such as:

  • systemic risk
  • stochastic volatility models
  • risk management
  • asset price bubbles modeling and detection
  • financial mathematics under model uncertainty, with applications to credit risk, interest rates derivative valuation and climate risk
  • convex stochastic optimization with applications to duality and approximate dynamic programming in stochastic control, finance and risk management.
  • mathematical foundation of machine learning with application to mathematical finance
  • viscosity solutions to nonlinear partial differential equations of elliptic and parabolic type
  • McKean-Vlasov stochastic differential equations with drift and diffusion coefficients that may fail to be Lipschitz continuous
  • mean-field stochastic differential equations under model uncertainty and related nonlinear partial differential equations
  • general branching processes and McKean-Vlasov stochastic differential equations with applications to epidemic modeling

For our publications, see: Publications


Our teaching activities mainly support the Bachelor in Business Mathematics and the Master in Financial and Insurance Mathematics study programs offered by the Department of Mathematics. The two degree programs are mathematically challenging but still highly practice-relevant tracks that prepare our students for quantitative careers in the financial industry as well as for academic careers. Lectures and seminars on the theoretical foundations of financial and insurance mathematics, such as stochastic calculus, arbitrage theory in discrete and continuous time, fixed income markets, and risk management, are complemented by a praxis-oriented teaching component within the framework of the quantLab, a computer laboratory for computational finance with emphasis on industry best practices.

For our current teaching activities, see: Teaching


For our list of members, see: Members

Furthermore, our group actively maintains national and international collaborations with various institutes within academia and industry, in particular within LMU with the Munich Risk and Insurance Center (MRIC).