Mathematical Models
for the Finance Industry

simply closer to the market


The bridge between investment banking and academic research


 

MathFinance, founded by Uwe Wystup in 2003, is an independent consulting and software company specializing in all areas of derivatives, from mathematical modeling, implementation of pricing libraries, consulting in the area of exotic options and structured products up to the integration of our software into trading systems and model validation.

Our team of experts has a strong quantitative background and many years of practical experience in front-office environments as quants, structurers and traders.

Our Team

MathFinance acts on a global scale together with its business partners. We believe in delivering
the best solutions available in the market. Through our carefully chosen network of professionals
we are able to maintain this high standard.


 Core Team

Prof. Dr. Uwe Wystup

Prof. Dr. Uwe Wystup

Founder & Managing Director

Uwe specializes in expert reports, conflict resolution, especially in derivatives, training, structuring and independent valuation.

Expertise

Prof. Dr. Uwe Wystup

Founder & Managing Director

Uwe Wystup is managing director of MathFinance AG. He 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.

Prof. Wystup earned his PhD in mathematical finance from Carnegie Mellon University, is currently 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.

He specializes in independent FX structuring, valuation, expert witness and conflict resolution services.

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. 
Many of his papers appeared in scientific journals.

Andreas Weber

Andreas Weber

Senior Financial Engineer

Andreas develops and implements pricing tools for financial derivatives.

Expertise

Andreas Weber

Senior Financial Engineer

Andreas is a Senior Financial Engineer and Partner at MathFinance. He is responsible for developing pricing tools for financial derivatives. His main focus is on modeling and implementation of valuation methods in FX. He also offers consultancy on implementing quantitative methods.

Prior to this he worked as a Financial Engineer on the FX Options desk at Commerzbank. He was responsible for modeling and development of valuation and hedging tools for the FX Options desk (both OTC and listed products), the continuous maintenance and extension of the trading platform with exotic options as well as the coordination in this field of the bank-wide valuation platform with IT, Risk Controlling, and Risk Management groups.

Alexander Stromilo

Alexander Stromilo

Senior Financial Engineer

Alexander works on implementation and validation of financial models in the field of interest rate and foreign exchange derivatives.

Expertise

Alexander Stromilo

Senior Financial Engineer

Alexander is a senior financial engineer, experienced programmer and project manager. His skills lie in FX, IR and credit. IR. As a front office desk quant he was responsible for implementation and validation of pricing methods for Interest Rate Derivatives, multi yield curve calibration to vanilla swaps, modeling IR curve risk and general IR library support.

He studied Applied Mathematics and Informatics at Volgograd State University (Russia) and Financial Mathematics at Halmstad University (Sweden). He joined MathFinance in 2007.

David Belay

David Belay

Financial Engineer

Expertise

David Belay

Prior to joining MathFinance David held several positions at Commerzbank AG in Frankfurt. First in the Counterparty Methodology team where he was in charge of specifying the counterparty risk simulation engine, as well as answering front-office requests for pre-deal limit approvals. Then in the programming team maintaining that engine and implementing new features and updates.

Prof. Dr. Thorsten Schmidt

Prof. Dr. Thorsten Schmidt

Senior Financial Engineer

Thorsten develops new approaches for model risk, ambiguity, XVA and consistent recalibration schemes. He is currently Professor for Mathematical Stochastic at the University of Freiburg.

Expertise

Prof Dr Thorsten Schmidt

Senior Financial Engineer

Thorsten’s project experiences include development and implementation and calibration of various affine models, least squares, filtering methods for credit risk (CDOs),
developing hedging schemes for credit risk products, developing and implementing electricity models for pricing, risk management and hedging, developing and implementing high-dimensional interest rate models. He is also a Treuhänder for insurance companies in health insurance and non-life insurance, as well as a Sachverständiger and Gutachter in Foreign Exchange cases.

Thorsten Schmidt is currently Professor for Mathematical Stochastic at Albert-Ludwigs-Universität Freiburg. Prior to this, he had been Professor for Mathematical Finance at Chemnitz University of Technology and Juniorprofessor for Mathematical Finance at University of Leipzig. He has published numerous papers in the area of credit risk, interest rates, affine processes, energy, pricing and hedging of derivatives, model calibration, estimation of risk measures and further topics.

Besides his work in mathematical finance, he studies current problems in the area of stochastic processes, insurance mathematics, numerical mathematics and statistics. In his articles, he developed new models for term structure models, CDO markets, equity markets as well as electricity markets. Moreover, he designed improved calibration methodologies of affine models via non-linear filtering techniques and numerical schemes for Galerkin approximations of filtering problems.

Wahid Khosrawi

Wahid Khosrawi

Financial Engineer

Wahid focuses on pricing methods for financial derivatives.

Expertise

Wahid Khosrawi-Sardroudi

Financial Engineer

Wahid holds a MSc in Financial Mathematics from TU Munich. He gained academic experience at EPFL (Switzerland) in the Financial Engineering program where he began his work on affine and polynomial processes. He continues his research activities as a PhD student at the University of Freiburg where his areas of interest are affine and polynomial models, filtering theory, fractional models and general stochastic calculus.
At Mathfinance AG, Wahid works on calibration methodologies for stochastic local volatility models and their efficient implementation.

.

Dr. Maarten Wyns

Dr. Maarten Wyns

Financial Engineer

Expertise

Charles Brown

Charles Brown

Managing Director of MathFinance Asia

Charles focuses on risk advisory and business development practises. He is responsible for MathFinance Singapore office.

Expertise

Charles Brown

Managing Director of MathFinance Asia

Charles Brown is Managing Director of MathFinance (Asia) and is based in Singapore. Having obtained his MA from Cambridge University, he worked in front office Structuring and Quantitative Development roles at HSBC, Deutsche Bank, UBS and Standard Chartered, in Europe and Asia since 1992 to global management level.

Charles lectures on derivatives at the Risk Management Institute of the National University of Singapore.

Charles holds a Masters Degree in Natural Sciences, University of Cambridge, UK (1992)

Tanja Aldenhoff

Tanja Aldenhoff

Executive Assistant

Tanja is Executive Assistant as well as Office Manager at MathFinance.

Expertise

Tanja Aldenhoff

Executive Assistant

She is also in charge of MathFinance events and trainings, in particular, the annual MathFinance Conference.

Preferred Associated Consulting Experts

Dr. Reinhard Baltin

Dr. Reinhard Baltin

Managing Director at Quantiko

Reinhard’s focus is on derivatives’ pricing, model development and implementation.

Expertise

Dr. Reinhard Baltin

Mananging Director of Quantiko

Reinhard has more than 15 years hands-on experience in the financial services industry. He is founder of and managing director at Quantiko GmbH, a company providing consulting services on quantitative finance.

Prior to that he worked for several years for investment banks in risk management and derivatives trading as a quant. Being responsible for model validation, model development and implementation, as well as for the approval process for new financial products, he gained in-depth knowledge over a broad range of products and asset classes, pricing models and risk modelling.

He started his career in finance as a consultant and manager for d-fine GmbH on various capital markets related projects.

Reinhard holds a PhD (Dr. rer. nat.) in Theoretical Physics of Heidelberg University and a MSc in Mathematical Finance of Oxford University.

 Prof. Dr. Christoph Becker

Prof. Dr. Christoph Becker

Professor for Financial Mathematics and Stochastics at the University of Applied Sciences Darmstadt

Christoph specializes in financial econometrics, systemic risk measurement, early warning systems and training.

Expertise

Prof. Dr. Christoph Becker

Professor for Financial Mathematics and Stochastics at the University of Applied Sciences Darmstadt

Christoph Becker is Professor for financial mathematics and stochastics at the University of Applied Sciences Darmstadt. He worked as a risk manager, financial engineer and trainer since 2006, including Commerzbank, Tachycon Ltd. and MathFinance AG.

Prof. Becker earned his PhD in mathematical finance from Frankfurt School of Finance & Management, where he continued his research as a lecturer. He specializes in large scale correlation models for stock returns, systemic risk measurement, shadow banking and early warning systems for financial crises.

Dr. Zareer Dadachanji

Dr. Zareer Dadachanji

Model Quant Solutions

Zareer is founder and director of Model Quant Solutions. He offers extensive experience in financial quantitative modelling across a range of asset classes especially FX and Equity derivatives.

Expertise

Dr. Zareer Dadachanji

Model Quant Solutions

Dr Zareer Dadachanji is the founder and director of Model Quant Solutions. He offers extensive experience in financial quantitative modelling across a range of asset classes.
Zareer gained his corporate experience over nearly 20 years, at Standard Chartered Bank, Credit Suisse, NatWest, RBS, Sabre Fund Management and Logica. He spent 13 years working as a front-office quant at banks and hedge funds. His last corporate role, at Standard Chartered Bank, was as Global Head of FX Quants and European Head of Quants.
Zareer’s specialist areas of expertise are the modelling of FX and Equity derivatives. He combines these specialist areas with a wide knowledge of general quantitative modelling, gained through years of senior-level engagement in the activities of global cross-asset quant teams.
More recently, Zareer has become active in the field of Anti-Fraud, developing analytics for the detection of Unauthorised Trading and advising on the use of quantitative techniques for Trader Surveillance.
Zareer has an excellent track record of personally developing and delivering a wide variety of sophisticated modelling projects.
Zareer’s academic background is in Physics and Mathematics. He holds a triple first in Natural Sciences and a PhD in Computational and Theoretical Physics, both from the University of Cambridge.

Dr. Mario Dell’Era

Dr. Mario Dell’Era

Head of Quant front Office at ENOI

He is Quantitative Analyst on Energy Commodities markets (Gas, Power, Oil) and software developer: expert of Time Series Analysis, Forecasting algorithms, Numerical methods for Option Pricing, Gas Storage Optimization Algorithms, Portfolio Optimization by Machine Learning techniques

Expertise

Dr. Mario Dell’ Era

ENOI

Mario Dell’Era holds an M.Sc. in Theoretical Physics and a PhD in Applied Mathematics from the University of Pisa, visiting PhD at Finance Institute of Lugano. He taught International Corporate Finance at Pisa University, for whom is yet External Professor, and Quantitative Finance and Stochastic Processes at Scuola Superiore Sant’Anna, for PhD students. His research spans PDEs methods in Finance and Stochastic Calculus. He also has experience as Quant Developer at Investment Banks. He is Quantitative Analyst and software developer for Option Pricing, and Collaborates in Analysis on Stock-Exchange data, with INFN at Pisa, on Liquidity Risk due to the High Frequency Trader activities on Italian markets. He was Quantitative Risk Analyst at IntesaSanPaolo Bank, as consultant. He is co-founder of E-QuanT post University training society of Quantitative Finance, focused on Electricity market. Consultant for ScientificaHiring company at London. Author of books on Quantitative Finance, reviewer and Editorial Board Member for international reviews of Finance. Currently he is head of Quant front Office at ENOI in Milan and he is also Associate Consultant in Financial Projects for MathFinance Group at Frankfurt.  

Dr. Fiodar Kilin

Dr. Fiodar Kilin

Kilin & Kilina GmbH

Fiodar is an expert in exotic equity derivatives and volatility derivatives. He has more than 12 years of experience in front office and risk management projects.

Expertise

Dr. Fiodar Kilin

Kilin & Kilina GmbH

Fiodar is founder and Managing Director of Kilin & Kilina GmbH. He has more than 12 years’ consulting-, research-, and implementation experience for Equity-, Volatility-, FX- and Interest-rate-derivatives, exotic and hybrid products. He is a specialist in pricing and risk controlling tools, in optimizing and validating models.  

Prof. Dr. Frank Lehrbass

Prof. Dr. Frank Lehrbass

FOM

Frank focuses on the risk management of commodities and related risks in the non-financial industry.

Expertise

Prof. Dr. Frank Lehrbass

FOM

Frank’s experiences include econometric work to specify adequate commodity price dynamics, implementations of a bankwide portfolio model for two banks, handling of challenging credit situations in commodity trading and investment banking especially during the Global Financial Crisis, development of risk measurement models for liquidity- and value-at-risk for many markets including the application of modern backtesting. He also teaches at the University of the Bundesbank (B.A. in Central Banking).

Frank Lehrbass is currently Professor for Risk Management at the FOM University of Applied Sciences, Dusseldorf. Prior to this, he worked at RWE Supply & Trading since 2009. Frank started his professional career in 1994 at WestLB as Financial Engineer for intraday trading systems (AI), followed by an appointment as Head of Analytics & Systems in the central credit risk management in 1998. In 2001 he moved on to DG HYP (DZ BANK group) in Hamburg, initially as Head of Credit Risk Controlling, since 2002 equipped with credit competence as Head of “Credit Portfolio Management and Structured Investments” in Credit Treasury. In parallel, Frank built up the special servicer “Immofori GmbH” where he was Managing Director from 2004 to 2006. In 2007 he moved to IKB Credit Asset Management GmbH and was appointed as Managing Director in March 2007. He was involved in crisis management concerning the balance sheet of IKB AG, the conduit “Rhineland” and the structured investment vehicle “Rhinebridge”.

Since 1994 he has published numerous papers in the area of Market Risk (eg coal trading, optimal hedging, structured products), Credit Risk (eg CreditRisk+, right-way-risk, defaultable bonds) and OpRisk (knowledge management) and contributed as well to further topics (eg Russian Risk Taking).

 Prof. Dr. Natalie Packham

Prof. Dr. Natalie Packham

Professor of Mathematics and Statistics at Berlin School Economics and Law

Natalie’s experience includes the development and implementation of pricing models in the fixed income and credit derivatives area.

Expertise

Prof. Dr. Natalie Packham

Professor of Mathematics and Statistics at Berlin School Economics and Law

Natalie’s experience include the development and implementation of pricing models in the fixed income and credit derivatives area as well as model validation, the development of stress testing methodologies, the measurement of model risk, and the development of computational methods in the area of quantitative finance.

Natalie Packham is currently Professor of Mathematics and Statistics at Berlin School of Economics and Law. Prior to that, she was appointed Assistant Professor of Quantitative Finance at Frankfurt School of Finance & Management. Natalie spent several years in the finance industry, where she developed in-house trading software for an investment bank. She is also involved in research cooperations with practice partners from the finance industry. Natalie has published numerous papers in the areas of mathematical finance, computational finance, probability theory and economics, and she is a regular speaker at international conferences.

Her current research focusses on developing tail-risk protection trading strategies, measuring concentration risk and measuring model risk. She teaches in all areas of quantitative finance as well as statistics, probability theory and mathematics.

Since 1994 he has published numerous papers in the area of Market Risk (eg coal trading, optimal hedging, structured products), Credit Risk (eg CreditRisk+, right-way-risk, defaultable bonds) and OpRisk (knowledge management) and contributed as well to further topics (eg Russian Risk Taking).

Dr. Christian Schäffler

Dr. Christian Schäffler

S2C GmbH

Christian is business partner of MathFinance AG and Director of S2C GmbH. His focus is on Treasury, Risk Management and Regulatory Reporting with focus to Basel III/Basel IV.

Expertise

Dr. Christian Schäffler

S2C GmbH

Christian is Partner of S2C GmbH and business partner of MathFinance AG with more than 10 years’ consulting-, research-, and teaching experience for Treasury, Risk Management and Regulatory Law issues. In these topics he has a long term consulting, trainer and author focus.

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