Portrait

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

For our list of members, see here

Research

Current research projects within our group cover various areas of stochastic calculus and financial and insurance mathematics such as:

• Risk management with particular focus on systemic risk
• Stochastic volatility models
• Green finance
• Asset price bubbles modeling and detection
• Financial mathematics under model uncertainty
• Mathematical foundation of machine learning with applications in mathematical finance
• Convex stochastic optimization with applications in stochastic control, finance and risk management.
• Nonlinear partial differential equations of elliptic and parabolic type
• McKean-Vlasov stochastic differential equations with irregular coefficients
• 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 here

Teaching

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.

Additionally, within our study programs students have the possibility to sign up for certain classes that are accredited by the German Actuarial Association (DAV) as the mathematical part of the DAV actuarial program, an interesting option for students aiming to become actuaries in Germany. For more information, see DAV @ LMU Munich.

On the master level, students further have the option to participate in various international exchange programs including the possiblity to obtain a double degree with the University of Bologna, the University of Paris Saclay, or the University of Paris Dauphine.

• International Master in Business Mathematics
• International Master in Financial- and Insurance Mathematics and Green Finance

For our current teaching activities, see here. For an overview of all study programs, see here