Innovations in Derivatives Markets

Kathrin Glau is a Junior Professor of Mathematical Finance at the Technical University of Munich. Her research focuses on the complex demands on numerical tools and modeling in today's market. Her approach merges recent advances from numerical analysis and financial modeling in order to develop pricing methods in advanced models with the help of thorough error analysis are developed. Her speciality is Galerkin methods for partial integro-differential equations for (pure) jump Levy driven models. Zorana Grbac is an Assistant Professor of Mathematical Finance at the Laboratoire de Probabilités et Modèles Aléatoires, University Paris Diderot. Her research interests include applications of Lévy processes and other stochastic processes with jumps in mathematical finance, with an emphasis on modeling of the term structure of interest rates and credit risk modeling. She also works on asymptotic methods for pricing of interest rate derivatives. She has published several research papers on multi-curve modeling, pricing and valuation adjustments and is co-author of the book Interest Rate Modeling: Post-Crisis Challenges and Approaches. Matthias Scherer is a Professor of Mathematical Finance at the Technical University of Munich. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning risk management, he has published research articles on portfolio-credit risk, dependence modeling, and model risk. He is an active member of the managerial boards of the DGVFM and the KPMG Center of Excellence in Risk Management. He is co-author of the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications. Rudi Zagst is a Professor of Mathematical Finance, Director of the Center of Mathematics and member of the managerial board of the KPMG Center of Excellence in Risk Management at the Technical University of Munich. He also serves as a professional trainer for a number of leading institutions. His current research interests are in financial engineering, risk and asset management.