personal descriptions

• Prof Joachim K Anlauf, University of Bonn

Joachim K. Anlauf is professor at the Institut für Informatik II, Rheinische Friedrich-Wilhems-Universität in Bonn.

• Dr Andreas Binder, MathConsult Linz

Andreas Binder obtained his Ph.D. in applied mathematics (with a thesis on continuous casting of steel) in 1991 from the University of Linz, Austria, one of the world´s leading centres of inverse problems research. Since 1996, he has been managing director of MathConsult, a company developing software solutions for engineering applications and for the finance industry.

• Dr Oliver Brockhaus, Commerzbank

Dr Oliver Brockhaus is head of equity financial engineering at Commerzbank Corporates & Markets. Before Commerzbank, he was a quant at Deutsche Bank, JPMorgan, Hypovereinsbank and Calyon. His interests include smile and correlation modelling for equities and credit.

• Prof Peter Carr, Bloomberg

Dr. Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Banc of America Securities and at Morgan Stanley. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD. in Finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and a practitioner director for the Financial Management Association. Peter is also an associate editor for 6 academic journals related to mathematical finance and derivatives. He has given numerous talks at both practitioner and academic conferences. He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma model, inventing static and semi-static hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Peter has recently won awards from Wilmott Magazine for Cutting Edge Research and from Risk Magazine for Quant of the Year.

• Dr Matthias Fengler, Sal. Oppenheim

Dr. Matthias Fengler is a quantitative analyst at Sal. Oppenheim, Frankfurt. He obtained his PhD in Quantitative Finance from the Humboldt-Universität zu Berlin and is author of the book Semiparametric Modeling of Implied Volatility recently published in the Lecture Notes in Finance, Springer-Verlag.

• Dr Christian Fries, DZ Bank

Christian Fries is head of model development, rates & hybrids at DZ Bank’s risk control and a lecturer at University of Frankfurt. He obtained a Ph.D. in mathematics (PDEs) from RWTH Aachen. His current research interests are hybrid interest rate models and Monte Carlo methods.

• Alexander Giese, Hypovereinsbank

Alexander Giese is Co-Head of Quantitative Research for Equity, Indices and Portfolio Strategies in the Global Derivatives Team of HVB Corporates & Markets

• Dr Simon Johnson, Commerzbank

Dr Simon Johnson is co-head of credit and interest rate Financial Engineering at Commerzbank Corporates & Markets. Before Commerzbank, he was a senior quant at NumeriX and a quant at Reech Capital plc. He started his career as a technology consultant at The Technology Partnership plc. His interests include term structure models of interest rates and smile modelling.

• Prof Christoph Kühn, Frankfurt MathFinance Institute

Christoph Kühn is Juniorprofessor at the Frankfurt MathFinance Institute. He holds a diploma in mathematical economics from the University of Marburg and a PhD in mathematics from Munich University of Technology. His main research interests are pricing and hedging of derivatives in incomplete markets and the microstruture of financial markets.

• Jan Maruhn, University of Trier

Jan Maruhn works as a research associate at the University of Trier in the numerical analysis group lead by Prof. Dr. Sachs. His research interests include the application of robust optimization as well as nonlinear and stochastic programming techniques to optimization problems arising in finance. Currently, he is particularly interested in the development of numerical algorithms for the computation of static hedge portfolios for barrier options.

• Prof Gunter Meissner, Hawaii Pacific University

Gunter Meissner is Founder and President of Derivatives Software. After a lectureship in Mathematics and Statistics at the Economic Academy Kiel he joined Deutsche Bank in 1990, trading interest rate futures, swaps and options. Gunter Meissner became Head of Product Development in 1994, responsible for originating algorithms for new derivative products. In 1995/1996 he was Head of Options at Deutsche Bank Tokyo. Presently, he is also Professor for Finance at the Hawaii Pacific University (www.hpu.edu).

• Prof Thorsten Schmidt, University of Leizpig

Thorsten Schmidt is juniorprofessor in financial mathematics at the University of Leipzig. He has a strong background in statistics and probability theory and is currently working on pricing and hedging credit risk, infinite dimensional models and incomplete information issues.

• Prof Stephen Taylor, Lancaster University

Stephen Taylor is Professor of Finance at Lancaster University, England. He is the author of Asset Price Dynamics, Volatility and Prediction, published by Princeton University Press in 2005. His research into stochastic volatility models and option prices has been published in several influential papers, in Mathematical Finance, the Journal of Financial and Quantitative Analysis, the Journal of Econometrics and other premier journals.

• Prof Robert G Tompkins, HfB - Business School of Finance and Management

Dr. Robert G. Tompkins was born in Oklahoma, USA and he received his A.B. (1980), his A.M. (1980) and his MBA (honors) (1986) from the University of Chicago. He moved to England in 1986 and subsequently became a British citizen. He earned a Ph.D. (1998) from the University of Warwick and his Habilitation (2000) from the University of Technology, Vienna, where Dr. Tompkins lived from 1998 to 2003.

• Prof Jan Vecer, Columbia University

Prof Jan Vecer received his PhD in Mathematical Finance from Carnegie Mellon University. He held academic jobs at the University of Michigan and Kyoto University before joining the faculty of the Department of Statistics at Columbia University in 2001. He works in the areas of option pricing and stochastic optimal control.

• Dr Ralf Werner, Allianz

Dr. Ralf Werner currently holds a position as Senior Risk Analyst within the Risk Methodology team of Allianz, Group Risk Controlling.
His research is mainly focused on various applications of optimization in finance, with emphasis on non-linear and robust optimization methods.

www.mathfinance.de Last modified: October 2005