25th MathFinance Conference

Biography

Wojciech Mucha, President and founder of Enterprai has over 15 years of executive experience in fintech. At the age of 23 he joined Bloomberg Professional in London as a Senior Sales and Relationship Manager for emerging markets. Wojciech as a Chief Strategy Officer played an important role in helping to build and scale Conotoxia and Cinkciarz.pl, an award-winning financial services holding company with a portfolio of regulated entities in Europe and the US. Mucha was elected by the nominating and governance committee of the European Payments Council – a SEPA scheme manager – to sit on its General Assembly and lead on innovation in financial services. Wojciech is a current Executive MBA candidate at the University of Chicago Booth School of Business and completed a two-month on campus course in Capital Markets and Investments at Harvard University. He earned his Master of Science in International Financial Management at University of the West of Scotland.

Abstract

We present a new simulation-based American option pricing method, Delta least squares Monte Carlo (Delta LSM). Whereas the classical LSM method from Longstaff & Schwartz (2001) uses only the discounted payoff to learn the continuation value, Delta LSM uses both the discounted payoff and its derivative (Delta) to estimate regression coefficients. The Delta LSM is straightforward to implement and comes at little extra numerical cost; it is literally an add-on to the LSM method. Our numerical experiments show that irrespective of your speed/safety preference – and robustly across market scenarios – Delta LSM gives a marked improvement over classical LSM.

Biography

Over the last 25 years Rolf Poulsen has worked (researching and teaching) on a variety of topics in quantitative finance; for instance hedging of exotic options, exchange rate models and markets, and optimal mortgage choice. He will talk about these subjects to all who are interested – and some who aren’t.

Biography

Thorsten Schmidt is Professor for Mathematical Stochastics at University Freiburg and Senior Financial Engineer at MathFinance. From 2017-2019 he was fellow of the Freiburg institute of Advanced Studies (FRIAS). Prior to this he was professor for Mathematical Finance at Chemnitz University of Technology since 2008, held a replacement Professorship from Technical University Munich in 2008 and was Associate Professor at University of Leipzig from 2004 on. Besides many stays at leading universities, he was guest professor at ETH Zurich and at Université d’Evry.

His Ph.D. he obtained from University in Giessen in 2003 on credit risk. He is Editor of Statistics & Risk Modeling,

Associate Editor for Mathematical Finance, International Journal of Theoretical and Applied Finance and was Associate Editor for Journal of Banking and Finance and Statistical and Probability Letters. He is an elected member of the International Statistical Institute and is a member of the Board of the Bachelier Finance Society.

With numerous articles in the areas of Mathematical Finance and Probability in internationally leading journals and frequent presentations on conferences around the world, he is a well-known scientist in the area of affine models, interest rates, credit risk, incomplete information, risk management, filtering, and insurance mathematics. He has a strong background in statistics and information technology and teaches probability, mathematical finance and machine learning at the university of Freiburg.

Biography

Martin Simon is a Professor of Data Science at the Frankfurt University of Applied Sciences and serves as a Docent in Computational Finance at the Lappeenranta-Lahti University of Technology (LUT) in Finland. He holds a PhD in Numerical Mathematics from the University of Mainz and brings many years of industry experience to his academic roles. He is one of the founders of the Sustainable Finance Research Lab at the Frankfurt University of Applied Sciences, where he plays a pivotal role in advancing research on sustainable finance and climate risk. With a strong interdisciplinary background, his research interests span across data science, computational finance, and the application of advanced numerical methods in financial modeling.

Simon is involved in several international collaborations and research projects, particularly focusing on the integration of machine learning techniques into financial risk assessment and quantitative finance. In addition to his academic roles, he actively engages with the financial industry, providing expert insights on the challenges of implementing cutting-edge technologies like AI and machine learning in financial risk management.

His work is recognized both in academia and industry, where he actively bridges the gap between theoretical research and practical application. He is a regular speaker at international conferences, where he discusses topics like climate risk modeling and advances in computational finance.

Biography

Prof. Jan Vecer works at the Charles University in Prague since September 2015 where he teaches courses in mathematical finance and stochastic analysis. From 2010 to 2015 he was a Professor of Finance at the Frankfurt School of Finance and Management. Professor Jan Vecer received his PhD in Mathematical Finance from Carnegie Mellon University. He held academic jobs at the University of Michigan and Kyoto University and at Columbia University where he was promoted to the rank of the Associate Professor in 2006.

He works in various areas within the fields of Financial Statistics, Financial Engineering and Applied Probability. These areas include Option Pricing, Optimal Trading Strategies, Stochastic Optimal Control, and Stochastic Processes. The method he developed for pricing Asian Options is widely used both in academia and in the finance industry as a benchmark. He is an author of a monograph “Stochastic Finance: A Numeraire Approach” published by CRC Press. He has given about 100 invited talks in the conferences and in the world class universities, such as Harvard, Princeton, Stanford, University of Chicago, Cornell, Oxford, Cambridge, Humboldt, or Tsukuba.

Biography

Uwe Wystup is managing director of MathFinance AG, Professor of Financial Option Price Modeling and Foreign Exchange Derivatives at University of Antwerp and Honorary Professor of Quantitative Finance at Frankfurt School of Finance & Management, certified expert for interest rate and currency risk management at Frankfurt’s Chamber of Commerce, honorary judge at Frankfurt Commercial Court and the State Financial Court. Before, he has actively worked in FX derivatives trading as Financial Engineer, Global Structured Risk Manager and Advisor since 1992, including Citibank, UBS, Sal. Oppenheim and Commerzbank. He is one of the few hybrids in the world working in the intersection of the derivates market and academic research. Uwe earned his PhD in mathematical finance from Carnegie Mellon University, is currently He acts internationally as expert witness and mediator in financial disputes. In his consulting work he has advised many leading banks and companies in the world including DBS, OCBC, Deka, GPS, Moneycorp, ICY Software, Murex, SuperDerivatives, Refinitiv, Pictet, La Caixa, DWS, Union Investment, NordLB, LBBW, AXA, Natixis, Reserve Bank of India and many others.

His first book Foreign Exchange Risk was published in 2002, quickly became the market standard and has also been translated into Mandarin. His second book FX and Structured Products appeared in 2006, followed by a second edition in 2017. Many of his papers appeared in scientific journals. See https://www.mathfinance.com/publications/ for publications.