MathFinance Academic Links(sorted alphabetically by cities) Universities
click here for Private Research Institutes and Banks
- Center for Analytical Finance, Department of Economics, University of Aarhus, Building 350, DK-8000 Aarhus C, Denmark. Email: caf@cls.dk, phone: +45 - 8942 - 1580, fax: +45 - 8613 - 6334. http://www.caf.dk. Main purpose: strenghten research in both theoretical and applied finance in Denmark.
- Center for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus, Department of Mathematical Sciences, Ny Munkegade, DK-8000 Aarhus C, Denmark. mailto:maphysto@mi.aau.dk, phone: +45 - 8942 - 3188, fax: +45 - 8613 - 1769. http://www.maphysto.dk
- Scientific Director : Ole E. Barndorff-Nielsen, phone: -3521, mailto:oebn@mi.aau.dk
- Department of Finance, The University of Texas at Austin, College and Graduate School of Business, Austin, TX 78712-1179, USA,
- Professor of Finance and Director of the Center for Energy Finance Education and Research: Ehud I. Ronn, phone +1(512) 471-5853, http://www.bus.utexas.edu/~finance/html/ronne.html, mailto: eronn@mail.utexas.edu.
- University of Bath, School of Mathematical Sciences, Bath BA2 7AY, UK, phone: +44 - 1225 -
- Professor of Probability: L.C.G. Rogers, phone -826224, fax -826492, mail :lcgr@maths.bath.ac.uk, http://www.bath.ac.uk/~maslcgr/home.html. Theory and applications of probability with particular emphasis on applications to mathematical finance. Chris Rogers is also the director of the Financial Studies Group. Projects are listed under http://www.maths.bath.ac.uk/STATISTICS/projects/lcgr/samf.html.
- Faisal Yousaf, http://www.bath.ac.uk/~mapfay, phone +44-1225 826978, fax +44-1225 826492
- University of Californa Berkeley, Haas School of Business, Haas MFE-Program, Berkeley , CA 94720-1900, phone: +1 - 510 - 642-4417, fax: +1 - 510 - 642-2397, mailto:mfe@haas.berkeley.edu
- Masters Program in Financial Engineering, see http://www.haas.berkeley.edu/MFE/index.html
- Institut für Mathematik/Stochastik, Humboldt Universität zu Berlin, Unter den Linden 6, 10099 Berlin phone: +49 - 30 - 2093 -
- Prof. Dr. Hans Föllmer, phone +49 (0)30-2093-5817, fax: +49 (0)30-2093-5848, http://wws.mathematik.hu-berlin.de/~foellmer/
- Prof. Dr. Peter Imkeller, phone -5850, fax -5848. Stochastic Analysis, Random Dynamical Systems, Climate Dynamics. http://wws.mathematik.hu-berlin.de/~imkeller/
- Dr. Stefan Jaschke, phone -5834, fax: -5848. Stochastic Processes and Applications to Finance. http://wws.mathematik.hu-berlin.de/~jaschke/
- Institut für Statistik und Ökonometrie, Humboldt-Universität zu Berlin, Spandauer Str. 1, 10178 Berlin
- Arbeitsgruppe Stochastik, Sekretariat MA 7-4, Technische Universität Berlin, Str. des 17. Juni 136, 10623 Berlin phone: +49 - 30 - 314 - 24602, fax: - 21695
- Jürgen Amendinger, phone -79394. http://www.math.tu-berlin.de/stoch/homepages/amendinger.html
- Dirk Becherer, phone - 79314. Pricing and Hedging in Incomplete Markets, Insider Trading, Utility Optimaization. http://www.math.tu-berlin.de/stoch/HOMEPAGES/becherer.html
- Felix Esche, phone - 22119. Financial Mathematics, Approximation of Continuous Models, Weak Convergence of Stochastic Processes, Convergence to Jump Processes. http://www.math.tu-berlin.de/stoch/HOMEPAGES/esche.html
- Fachhochschule Bielefeld, Fachbereich Mathematik und Technik, Mathematik (http://gauss.fh-bielefeld.de), Am Stadtholz 24, 33609 Bielefeld, , fax: +49 (0)521 106-7176, phone: +49 (0)521 106-
- Prof. Dr. Claudia Cottin - Investitions- und Kapitalanlage-Management - Innovative Finanz- und Versicherungsprodukte - Anwendungen der Approximationstheorie in der Finanz- und Versicherungsmathematik. phone: -7413/-7404
- Prof. Dr. H.-J. Kruse - Wirtschaftsmathematik, Phone: -7411
- Dipl.-Wirt.-math. R. Derdau (Mitarbeiter in Lehre und Forschung des Studiengangs Mathematik), Phone -7404
- Institut für Gesellschafts- und Wirtschaftswissenschaften der Universität Bonn, Statistische Abteilung, Universität Bonn, Adenauerallee 24-26, 53113 Bonn. Phone +49 (0)228 73 - 9263, fax - 5050
- Direktor: Prof. Dr. Dieter Sondermann
- Masters Degree in Mathematical Finance at Boston University, http://www.bu.edu/mathfn/
- School of Accounting and Finance, Deakin University, D6.06, Burwood, VIC 3125, Australia
- Cornelis A. Los, Ph.D., associate professor in Finance, phone +61-3-9244-6541, fax: +61-3-9244-6283, mailto:clos@deakin.edu.au, http://www.deakin.edu.au/fac_buslaw/acc_fin/STAFF/STAFINFO/clos.htm. Alternative Email: 76236.2767@compuserve.com.
- Mathematical and Computational Finance Laboratory , University University of Calgary at Calgary, Alberta, T2N 1N4 Canada. Phone +1-403-220-3221, fax - 282-5150, finance@math.ucalgary.ca .Spezialization in Mathematical and Computational Finance and Risk Management, modeling and simulation in the energy industry
- Department of Finance, University of Illinois at Chicago, 601 South Morgan, Chicago, IL 60607-7124. Phone +1-312-996-2650, fax - 413-7948. Offers BS, MBA and PhD with spezialization in finance
- Professor of Finance: Stanley R. Pliska, phone, messages and fax: -996-7170, mail: srpliska@uic.edu, http://www.uic.edu/~srpliska/. Risk Sensitive Portfolio Management, Dynamic Asset Allocation with Imperfect Information, Portfolio Management with Taxes and Transaction Costs, Interest Rate Derivatives and Term Structure Models.
- Financial Mathematics Seminar, The University of Chicago, 1642 E. 56th St., #607, Chicago, IL 60637. Phone +1-773-251-1666. Offers M.S. in Financial Mathematics, lots of links to Math-Finance programs of other universities, a weekly Math-Finance seminar and a large bookshelf (that's a must!).
- Organizer: Alexander Adamchuk
- University at Cologne, Institute for Mathematics, Prof. Dr. Rüdiger Seydel Cologne http://www.mi.uni-koeln.de/~seydel http://www.mi.uni-koeln.de/numerik/compfin/
- Financial Mathematics MSc, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Riccarton, Edinburgh EH14 4AS, Scotland, mailto:financial.mathematics.msc@ma.hw.ac.uk, http://www.ma.hw.ac.uk/ams/msc_finmath/
- financial mathematics group: http://www.ma.hw.ac.uk/~andrewc/financialmaths/
- Andrew Cairns: andrewc@math.hw.ac.uk
- Terence Chan: terence@math.hw.ac.uk
- Mark Owen: mowen@math.hw.ac.uk
- Frank Oertel: oertel@ma.hw.ac.uk, http://www.ma.hw.ac.uk/~oertel/
- Anke Wiese: anke@math.hw.ac.uk
- Department of Mathematical Sciences, University of Alberta, Edmonton, Alberta, Canada, T6G 2G1. , phone: +1 - 780 - 492 -
- AF Collins Professor of Finance: Robert J. Elliott, phone - 0909 or -5811, fax: -6826. Stochastic processes and their applications in finance and engineering, American options, term structure, estimation of volatility, value-at-risk. http://vega.math.ualberta.ca/~relliott/
- Financial Engineering program at the University of Twente (The Netherlands), Enschede. A two-year program entirely taught in English and jointly offered by the Department of Applied Mathematics and the Department of Finance and Accounting with common courses and specialization courses. Students integrate the tools learned in class and apply them to a real-world financial engineering problem during the research-oriented internship, which is the final step before graduating. More information is available at http://www.felab.utwente.nl/.
- Department of Mathematics, University of Erlangen-Nürnberg, Bismarckstrasse 1½, 91054 Erlangen, Germany
- Professor of Mathematical Finance, Insurance and Stochastics: Prof. Dr. Wolfgang Stummer, phone +49-9131-85-22503, fax +49-9131-85-26214, http://www.mi.uni-erlangen.de/~stummer. Pricing of derivative securities, operational risk, financial decision and information theory, statistics of financial processes, term structure of interest rates, risk theory and risk management.
- Département de Mathématiques, Université d'Evry Val d'Essonne, Evry Cedex, Boulevard F. Mitterrand, F-91025 Evry Cedex, France
- Monique Jeanblanc, phone - (33) (0) 1 69 47 74 25, fax:(33) (0) 1 69 47 74 19. http://www.maths.univ-evry.fr/pages_perso/jeanblanc/index.html
- Goethe-University , 60054 Frankfurt am Main, Germany, phone: +49 - 69 - 798 -
- Frankfurt MathFinance Institute, http://www.math.uni-frankfurt.de/~fmfi/
- Uwe Wystup,
- Professor of Probability: Prof. Dr. Götz Kersting
- Professor of Probability: Prof. Dr. Anton Wakolbinger
- Professor of Finance: Prof. Dr. Christian Schlag, phone - 22674, fax: -22788. Empirical research in derivatives markets, implied volatilities, credit derivaties and default processes. http://www.wiwi.uni-frankfurt.de/professoren/schlag/
- HfB - Business School of Finance and Management, Sonnemannstra遝 9-11, 60314 Frankfurt am Main, Germany, phone: +49 - 69 - 154008 - 0
- Master/PhD in Quantitative Finance
- Prof. Dr. Heinz Cremers: Prof. Dr. Heinz Cremers
- Prof. Dr. Thomas Heidorn: Prof. Dr. Thomas Heidorn
- Prof. Dr. Wolfgang M. Schmidt: Prof. Dr. Wolfgang M. Schmidt
- Prof. Dr. Robert G. Tompkins: Prof. Dr. Robert G. Tompkins
- Prof. Dr. Uwe Wystup,
- Institut für mathematische Stochastik, Albert-Ludwigs-Universität, Eckerstrasse 1, 79104 Freiburg, Germany, phone: +49 - 761 - 203 - 5664
- Prof. Dr. Ernst Eberlein, phone - 5660, fax: -5661. Analyse und Modellierung von Finanzdaten. Überprüfung von klassischen Verteilungsannahmen, Konstruktion von realistischen Modellen, die das Sprungverhalten mitbeschreiben, Bewertung moderner Finanzinstrumente und deren Kombinationen, Financial Engineering. Check the section on Hyperbolic Distributions and Levy Processes of the Center for Data Analysis and Modelling.
- Swiss Institute for Banking and Finance of the university of St. Gallen, Merkurstr. 1, CH-9000 St. Gallen. phone: +41-71-220-3066, fax: -223-6563.
- Department of Industrial and Systems Engineering, university of Florida, Gainesville, FL 32611-6595, USA.
- Stanislav (Stan) Uryasev, phone +1-352-392-3091, fax: -3537. Portfolio Optimization, Value-at-risk. http://www.ise.ufl.edu/uryasev/
- Department of Mathematics, university of Giessen. Ludwigstrasse 23, 35390 Giessen, Germany, phone +49 - 641-99-0.
- Thorsten Schmidt, phone +49 - 641-99-32126. Credit Risk. http://www.uni-giessen.de/~gcn2/research/
- Institute of Finance and Banking at the university of Göttingen.
- The University of Iowa, Department of Finance, College of Business Administration, Iowa City, IA 52242, USA. phone: +1-319-353-
- David Bates, phone -2288, fax -3690, http://www.biz.uiowa.edu/faculty/dbates/
- University of California at Irvine, Graduate School of Management, Irvine, CA 92697-3125, USA.
- Professor of Finance: Philippe Jorion, phone 011-949-824-5245, fax -8469, mailto:pjorion@uci.edu, http://www.gsm.uci.edu/~jorion/, international finance and risk management.
- Department of Mathematics of the university of Kaiserslautern, Erwin-Schrödinger-Strasse, 67653 Kaiserslautern. phone: +49-631-205- . Financial Mathematics International Master's Program.
- Stochastic Control and Mathematical Finance: Prof. Dr. Ralf Korn, phone - 2747. Mathematical Finance, Stochastic Control, Impuls Control, Quasi-variational Inequalitites and Viscisity Solutions. http://www.mathematik.uni-kl.de/ ~korn/
- Institute of Statistics and Mathematical Economics of the university of Karlsruhe, Kollegium am Schloß, Postfach 6980, 76128 Karlsruhe. phone: +49-721-608-
- Chair of Econometrics and Statistics: Prof. Dr. Svetlozar Rachev, phone - 7535, fax: -3811, secr: 2042, mobil: +49-177-6646561, mail: rachev@lsoe.uni-karlsruhe.de Stable non-Gaussian models in Finance, Econometrics of Financial Markets. http://lsoe.wiwi.uni-karlsruhe.de/mitarbeiter/rachev.html
- Department of mathematics, Stochastics group, Christian-Albrechts- University Kiel, Ludewig-Meyn-Strasse 4, 24098 Kiel, Germany
- Prof. Dr. Albrecht Irle, phone: +49 - 431 - 880 - 4650, fax: +49 - 431 - 880 - 4091, mailto:irle@math.uni-kiel.de
- Department of Mathematics and Computer Science of the university of Konstanz, Postfach, 78457 Konstanz. phone: +49-7531-
- Prof. Dr. Michael Kohlmann, phone - 88-2655, fax: -88-792655, mail: michael.kohlmann@uni-konstanz.de, http://www.mathe.uni-konstanz.de/ ~kohlmann/
- Prof. Erich Bohl, http://www.mathe.uni-konstanz.de/arbeitsgrp/bohl.html
- Center of Finance and Econometrics: Prof. Dr. Günter Franke and Prof. Dr. Winfried Pohlmeier.
- Lancaster University, Accounting and Finance, LA1 4YX, England, phone: +44-1524-
- Professor Stephen Taylor, phone - 593624, fax: -847321, http://www.lancs.ac.uk/staff/afasjt, Time Series Analysis
- Imperial College London,
- Imperial College centre for quantitative finance: http://www.ic.ac.uk/templates/text_3.asp?P=282
- Mathematical Finance at Imperial College: http://www.imperial.ac.uk/mathfin
- http://geometry.ma.ic.ac.uk/~baxter/
- http://stats.ma.ic.ac.uk/~rcoleman/
- www.ma.ic.ac.uk/~mdavis
- t.lyons@ic.ac.uk (Terry Lyons)
- King's College, University of London, http://www.mth.kcl.ac.uk/ MSc in Financial Mathematics
- Prof Lane P. Hughston, http://www.mth.kcl.ac.uk/staff/l_hughston.html mailto:lane.hughston@kcl.ac.uk
- The Mathematical Trading and Finance MSc in City University Business School (London) is a course focusing on derivatives valuation, asset management and risk analysis within a high level mathematical framework. For information about this course visit the following links:
- http://www.business.city.ac.uk/postgrad/mscmtf.html
- http://www.business.city.ac.uk/irmi/msc_in_mathematical_trading___.html
- Homepages of the faculty can be found on:
http://www.business.city.ac.uk/irmi/faculty.html
- Master of Science in Mathematical Finance at the University of Southern California, Departmenf of Mathematics, 1042 West 36th place, DRB155, Los Angeles, CA 90089-1113, phone: +1-213-740-
- Professor of Mathematics: Jaksa Cvitanic, phone - 3794, fax: -2424
- Department of Economics, Gutenberg University, 55099 Mainz, phone: +49-6131-39-3761, fax: -39-3766
- Center of Finance and Risk Management (CoFaR)
- Professor of Finance: Prof. Dr. Siegfried Trautmann, phone - 3760, mailto:traut@finance.uni-mainz.de, http://www.finance.uni-mainz.de
- Department of Mathematics, Mannheim University, Seminargebäude A5, 68131 Mannheim, Germany, phone - 49 621 181-2490
- Dr. Michael Schröder, phone - - 49 621 181-2488, http://www.math.uni-mannheim.de/~w
- Zentrum Mathematik, TU München, 80290 München, phone: +49-89-289-28212, fax: -28464.
- Chair of Mathematical Statistics: Prof. Dr. Claudia Klüppelberg, phone - 28211. Time series analysis, statistics of stochastic processes, mathematical finance, insurance mathematics. http://www-m4.mathematik.tu-muenchen.de/m4/pers/cklu/
- New York University Leonard N. Stern School of Business and MS Program - Specialization in Financial Engineering, 44 W. 4th St., Suite 8-160, New York, NY, phone: 212-998-0440, fax: 212-995-4003, e-mail: sor@stern.nyu.edu - http://www.stern.nyu.edu/sor/programs/masters/ms/fin_engineering.html
- Department of Mathematics and Department of Statistics, Columbia University, 2990 Broadway, Mailcode 4483, New York, NY 10027, USA
- Eugene Higgins Professor of Applied Probability: Ioannis Karatzas, phone: +1(212) 854-3177, fax: +1(212)663-2454, mailto:ik@math.columbia.edu or mailto:ik@stat.columbia.edu, http://www.stat.columbia.edu/~ik/
- Associate Professor of Industrial Engineering and Operations Research: Steven Kou, phone: +1 (212) 854-4334. fax: +1 (212) 854-4676, mailto:kou@ieor.columbia.edu , http://www.ieor.columbia.edu/~kou/
- Mathematics in Finance Program at New York University's Courant Institute of Mathematical Sciences, New York, http://www.math.nyu.edu/financial_mathematics/, Director: Neil Chriss
- Department of Management, School of Business and Economics, Odense University, Campusvej 55, DK-5230 Odense, Denmark.
- Danske Bank Professor of Finance: Prof. Dr. Kristian Risgaard Miltersen, phone +45-6550-3175, secretary: -6550-3271, fax: -6593-0726, cellular: -2149-4433, home: -6593-2662, mailto:krm@sam.sdu.dk Termstructure of Interest Rates, Commodity Derivatives, Minimum Rate of Return Guarantees. http://www.sam.sdu.dk/~krm.
- Department of Finance, Ohio State university: several useful links
- Oxford University: Postgraduate Diploma and Masters (M Sc) in Mathematical Finance. For further information and a brochure contact: Roz Sainty, CPD Centre, 67 St Giles, Oxford OX1 3LU, UK, phone: +44-1865-288-164, fax: -136.
- Mathematical Finance Group, see http://www.maths.ox.ac.uk/mfg/
- Oxford Financial Research Centre, see http://www.finance.ox.ac.uk/
- Oxford Centre for Computational Finance , see http://www.occf.ox.ac.uk/
- Carnegie Mellon University: Department of Mathematics/Center of Nonlinear Analysis, Pittsburgh, PA 15213-3890, USA, phone: +1-412-268-2000, fax: -6380, department -2545.
- BS in Computational Finance
- Master of Science in Computational Finance
- The Ph.D. Program in Mathematical Finance
- Roy Nicolaides, http://www.math.cmu.edu/people/fac/nicolaides.html
- Steven E. Shreve, phone -8484, http://www.math.cmu.edu/users/shreve
- Department of Mathematics. Washington State University Pullman, WA 99164-3113, USA.
- Alan Genz, phone: 001-509-335-2131, fax: 001-509-335-1188, email: alangenz@wsu.edu. http://www.sci.wsu.edu/math/faculty/genz/homepage excellent homepage for multidimensional integration. postscript files and fortran source code.
- Simon School of Business. University of Rochester Rochester, NY 14627, USA.
- Christopher S. Jones, Assistant Professor of Finance, phone: 001-(716) 275-3491, fax: 001-(716) 273-1140, email: c_s_jones@simon.rochester.edu. http://www.simon.rochester.edu/fac/c_s_jones/ empirical work on options.
- Econometric Institute, Faculty of Economics, Erasmus University Rotterdam P.O. Box 1738, 3000 DR Rotterdam, The Netherlands
- Prof. Dr. Antoon Pelsser, phone: (+31) 10 - 408 1259, fax: (+31) 10 - 408 9162, email: pelsser@few.eur.nl. http://www.eur.nl/few/people/pelsser/ pricing models for interest rate derivatives and the application of interest rate derivatives to the hedging of (interest rate) risk of insurance contracts.
- Graduate School of Business, Stanford University, Stanford, CA 94305-5015, USA
- Darrell Duffie, phone +1-415-723-1976, fax: -725-7979, mail: duffie@stanford.edu, http://www.stanford.edu/~duffie. Incomplete security markets, financial risk management, capital asset pricing theory, the dynamic spanning role of security markets, preference theory under uncertainty, security design, term structures of interest rates, credit risk modeling, including valuation of corporate and sovereign debt and credit derivatives.
- University Louis Pasteur, 7 rue René Descartes, F-67084 Strasbourg.
- Professeur de Mathématique: Philippe Artzner, phone +33 - 3 88 416-333, Secr. -303, fax: -3 88 61 90 69.
- FH Stuttgart
- Professur Versicherungs- und Finanzmathematik: Prof. Dr. Stefan Reitz: risk modelling and term structure models
- Quantitative Finance Research Centre University of Technology, Sydney
- Master of Quantitative Finance: http://www.business.uts.edu.au/qfrc/courses/mqf.html
- Florida State University Department of Statistics Tallahassee, FL 32306-4330 * Phone: ( 850) 644-3218 * FAX: ( 850) 644-5271.
- George Marsaglia: Professional random number generation
- Department of Statistics and Mathematics, University of Turin, Piazza Arbarello, 8, 10122 Torino, Italy
- Professor of Mathematical Methods for Finance: Dr. Prof. Elisa Luciano, phone +31-11-670-6235, fax +39-11-670-6238, mailto:luciano@econ.unito.it, http://web.econ.unito.it/gma/elisa.htm. Value at Risk, Risk Measurement, Correlation measurement in financial markets, Transaction Cost Models, Copula Functions
- University of Westminster, 35 Marylebone Road, London NW1 5LS. +44(171)911-5020, fax: -5703. mailto:mrdmark@wmin.ac.uk, http://www.wmin.ac.uk. Contact the admission and marketing office for for the MSc Quantitative Finance.
- Institute for Mathematical Methods in Economics, Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Haupstr. 8-10/105-1, A-1040 Vienna, Austria, voice: +43-1 58801 - 10511, fax: +43-1 58801 - 10599, fam@fam.tuwien.ac.at, http://www.fam.tuwien.ac.at/
- The Hugo Steinhaus Center for Stochastic Models in Science and Technology, Wroclaw University of Technology, Wybrzeze Wyspianskiego 27, 50-370 Wroclaw, Poland. Tel +48 (71) 320-3183, -3530, Fax: -2654. Current research activities include: Alternative option pricing formulas, scaling properties of financial time series, insurance risk models, limiting distributions of random walks, self-similar processes, alpha-stable distributions and processes, elliptically contoured measures and processes, quantum probability, dependence structure for stable ARMA processes, approximation of stochastic differential equations, computer simulations of highly volatile phenomena.
- Director Prof. Aleksander Weron - Mathematics and Stochastic Models.
- Research Group
- ETH Zürich Finanzmathematik (D-MATH), ETH-Zentrum, CH-8092 Zürich, phone +41-1-632-3410, fax: -1085
- Prof. Dr. Paul Embrechts, phone -3419, http://www.math.ethz.ch/~embrechts
- Prof. Dr. Freddy Delbaen (chair of Mathematical Finance), phone -6357, http://www.math.ethz.ch/~delbaen
- Prof. Dr. Hans-Jakob Lüthi (head of Operations Research), phone - 4015, fax - 1025.
- Risklab, Institute for research in the area of integrated risk management on a precompetitive level, funded by UBS, Credit Swiss, Swiss Re and ETH Zürich.
- University of Zürich Swiss Banking Institute, Plattenstrasse 14, CH-8032 Zürich, phone +41-1-634-
- NCCR FINRISK: http://www.nccr-finrisk.unizh.ch/. National Centre of Competence in Research "Financial Valuation and Risk Management"; Swiss Research Network on a wide variety of Finance related topics, financed by the Swiss National Science Foundation (link: http://www.snf.ch/default_en.asp) contact: Eckart Jäger
NCCR FINRISK Administration
Plattenstr.14
CH-8032 Zürich
phone: ++41-1-634 39 55
fax: ++41-1-634 43 45
email: jaeger@nccr-finrisk.ch
Private Research Insitutes and Banks
- Weierstrass-Institute for applied analysis and stochastics, Mohrenstrasse 39, 10117 Berlin
- Center for Financial Studies, Taunusanlage 6, 60329 Frankfurt am Main
- risklab germany: RiskLab GmbH (München)- Private Research Institute for Financial Studies is a research and consulting institute which was formed in 1997 as a subsidiary of Allfonds International Asset Management GmbH. On the basis of our primary research in the areas of risk management, portfolio management and financial engineering they are able to offer consulting, solutions, implementation and training from one central point. Within the framework of a strategic partnership with Algorithmics Inc., Toronto, risklab germany is part of a worldwide research federation of well-known universities.
- The Bank of New York, Market Risk Management
- Frank Juan. 32 Old Slip, 16th floor, New York, NY 10286, USA. Phone: +1-212-804-4841, fax: -495-1282, mail: Frank_Juan@LNOTES5.bankofny.com, http://cmtw.harvard.edu/~juan/. Risk management, Monte Carlo Simulation, term structure modelling
- Institute of Information Processing,
- Scientific Director : Ole E. Barndorff-Nielsen, phone: -3521, mailto:oebn@mi.aau.dk
- Professor of Finance and Director of the Center for Energy Finance Education and Research: Ehud I. Ronn, phone +1(512) 471-5853, http://www.bus.utexas.edu/~finance/html/ronne.html, mailto: eronn@mail.utexas.edu.
- Professor of Probability: L.C.G. Rogers, phone -826224, fax -826492, mail :lcgr@maths.bath.ac.uk, http://www.bath.ac.uk/~maslcgr/home.html. Theory and applications of probability with particular emphasis on applications to mathematical finance. Chris Rogers is also the director of the Financial Studies Group. Projects are listed under http://www.maths.bath.ac.uk/STATISTICS/projects/lcgr/samf.html.
- Faisal Yousaf, http://www.bath.ac.uk/~mapfay, phone +44-1225 826978, fax +44-1225 826492
- Masters Program in Financial Engineering, see http://www.haas.berkeley.edu/MFE/index.html
- Prof. Dr. Hans Föllmer, phone +49 (0)30-2093-5817, fax: +49 (0)30-2093-5848, http://wws.mathematik.hu-berlin.de/~foellmer/
- Prof. Dr. Peter Imkeller, phone -5850, fax -5848. Stochastic Analysis, Random Dynamical Systems, Climate Dynamics. http://wws.mathematik.hu-berlin.de/~imkeller/
- Dr. Stefan Jaschke, phone -5834, fax: -5848. Stochastic Processes and Applications to Finance. http://wws.mathematik.hu-berlin.de/~jaschke/
- Jürgen Amendinger, phone -79394. http://www.math.tu-berlin.de/stoch/homepages/amendinger.html
- Dirk Becherer, phone - 79314. Pricing and Hedging in Incomplete Markets, Insider Trading, Utility Optimaization. http://www.math.tu-berlin.de/stoch/HOMEPAGES/becherer.html
- Felix Esche, phone - 22119. Financial Mathematics, Approximation of Continuous Models, Weak Convergence of Stochastic Processes, Convergence to Jump Processes. http://www.math.tu-berlin.de/stoch/HOMEPAGES/esche.html
- Prof. Dr. Claudia Cottin - Investitions- und Kapitalanlage-Management - Innovative Finanz- und Versicherungsprodukte - Anwendungen der Approximationstheorie in der Finanz- und Versicherungsmathematik. phone: -7413/-7404
- Prof. Dr. H.-J. Kruse - Wirtschaftsmathematik, Phone: -7411
- Dipl.-Wirt.-math. R. Derdau (Mitarbeiter in Lehre und Forschung des Studiengangs Mathematik), Phone -7404
- Direktor: Prof. Dr. Dieter Sondermann
- Cornelis A. Los, Ph.D., associate professor in Finance, phone +61-3-9244-6541, fax: +61-3-9244-6283, mailto:clos@deakin.edu.au, http://www.deakin.edu.au/fac_buslaw/acc_fin/STAFF/STAFINFO/clos.htm. Alternative Email: 76236.2767@compuserve.com.
- Professor of Finance: Stanley R. Pliska, phone, messages and fax: -996-7170, mail: srpliska@uic.edu, http://www.uic.edu/~srpliska/. Risk Sensitive Portfolio Management, Dynamic Asset Allocation with Imperfect Information, Portfolio Management with Taxes and Transaction Costs, Interest Rate Derivatives and Term Structure Models.
- Organizer: Alexander Adamchuk
- financial mathematics group: http://www.ma.hw.ac.uk/~andrewc/financialmaths/
- Andrew Cairns: andrewc@math.hw.ac.uk
- Terence Chan: terence@math.hw.ac.uk
- Mark Owen: mowen@math.hw.ac.uk
- Frank Oertel: oertel@ma.hw.ac.uk, http://www.ma.hw.ac.uk/~oertel/
- Anke Wiese: anke@math.hw.ac.uk
- AF Collins Professor of Finance: Robert J. Elliott, phone - 0909 or -5811, fax: -6826. Stochastic processes and their applications in finance and engineering, American options, term structure, estimation of volatility, value-at-risk. http://vega.math.ualberta.ca/~relliott/
- Professor of Mathematical Finance, Insurance and Stochastics: Prof. Dr. Wolfgang Stummer, phone +49-9131-85-22503, fax +49-9131-85-26214, http://www.mi.uni-erlangen.de/~stummer. Pricing of derivative securities, operational risk, financial decision and information theory, statistics of financial processes, term structure of interest rates, risk theory and risk management.
- Monique Jeanblanc, phone - (33) (0) 1 69 47 74 25, fax:(33) (0) 1 69 47 74 19. http://www.maths.univ-evry.fr/pages_perso/jeanblanc/index.html
- Frankfurt MathFinance Institute, http://www.math.uni-frankfurt.de/~fmfi/
- Uwe Wystup,
- Professor of Probability: Prof. Dr. Götz Kersting
- Professor of Probability: Prof. Dr. Anton Wakolbinger
- Professor of Finance: Prof. Dr. Christian Schlag, phone - 22674, fax: -22788. Empirical research in derivatives markets, implied volatilities, credit derivaties and default processes. http://www.wiwi.uni-frankfurt.de/professoren/schlag/
- Master/PhD in Quantitative Finance
- Prof. Dr. Heinz Cremers: Prof. Dr. Heinz Cremers
- Prof. Dr. Thomas Heidorn: Prof. Dr. Thomas Heidorn
- Prof. Dr. Wolfgang M. Schmidt: Prof. Dr. Wolfgang M. Schmidt
- Prof. Dr. Robert G. Tompkins: Prof. Dr. Robert G. Tompkins
- Prof. Dr. Uwe Wystup,
- Prof. Dr. Ernst Eberlein, phone - 5660, fax: -5661. Analyse und Modellierung von Finanzdaten. Überprüfung von klassischen Verteilungsannahmen, Konstruktion von realistischen Modellen, die das Sprungverhalten mitbeschreiben, Bewertung moderner Finanzinstrumente und deren Kombinationen, Financial Engineering. Check the section on Hyperbolic Distributions and Levy Processes of the Center for Data Analysis and Modelling.
- Stanislav (Stan) Uryasev, phone +1-352-392-3091, fax: -3537. Portfolio Optimization, Value-at-risk. http://www.ise.ufl.edu/uryasev/
- Thorsten Schmidt, phone +49 - 641-99-32126. Credit Risk. http://www.uni-giessen.de/~gcn2/research/
- David Bates, phone -2288, fax -3690, http://www.biz.uiowa.edu/faculty/dbates/
- Professor of Finance: Philippe Jorion, phone 011-949-824-5245, fax -8469, mailto:pjorion@uci.edu, http://www.gsm.uci.edu/~jorion/, international finance and risk management.
- Stochastic Control and Mathematical Finance: Prof. Dr. Ralf Korn, phone - 2747. Mathematical Finance, Stochastic Control, Impuls Control, Quasi-variational Inequalitites and Viscisity Solutions. http://www.mathematik.uni-kl.de/ ~korn/
- Chair of Econometrics and Statistics: Prof. Dr. Svetlozar Rachev, phone - 7535, fax: -3811, secr: 2042, mobil: +49-177-6646561, mail: rachev@lsoe.uni-karlsruhe.de Stable non-Gaussian models in Finance, Econometrics of Financial Markets. http://lsoe.wiwi.uni-karlsruhe.de/mitarbeiter/rachev.html
- Prof. Dr. Albrecht Irle, phone: +49 - 431 - 880 - 4650, fax: +49 - 431 - 880 - 4091, mailto:irle@math.uni-kiel.de
- Prof. Dr. Michael Kohlmann, phone - 88-2655, fax: -88-792655, mail: michael.kohlmann@uni-konstanz.de, http://www.mathe.uni-konstanz.de/ ~kohlmann/
- Prof. Erich Bohl, http://www.mathe.uni-konstanz.de/arbeitsgrp/bohl.html
- Center of Finance and Econometrics: Prof. Dr. Günter Franke and Prof. Dr. Winfried Pohlmeier.
- Professor Stephen Taylor, phone - 593624, fax: -847321, http://www.lancs.ac.uk/staff/afasjt, Time Series Analysis
- Imperial College centre for quantitative finance: http://www.ic.ac.uk/templates/text_3.asp?P=282
- Mathematical Finance at Imperial College: http://www.imperial.ac.uk/mathfin
- http://geometry.ma.ic.ac.uk/~baxter/
- http://stats.ma.ic.ac.uk/~rcoleman/
- www.ma.ic.ac.uk/~mdavis
- t.lyons@ic.ac.uk (Terry Lyons)
- Prof Lane P. Hughston, http://www.mth.kcl.ac.uk/staff/l_hughston.html mailto:lane.hughston@kcl.ac.uk
- http://www.business.city.ac.uk/postgrad/mscmtf.html
- http://www.business.city.ac.uk/irmi/msc_in_mathematical_trading___.html
- Homepages of the faculty can be found on:
http://www.business.city.ac.uk/irmi/faculty.html
- Professor of Mathematics: Jaksa Cvitanic, phone - 3794, fax: -2424
- Center of Finance and Risk Management (CoFaR)
- Professor of Finance: Prof. Dr. Siegfried Trautmann, phone - 3760, mailto:traut@finance.uni-mainz.de, http://www.finance.uni-mainz.de
- Dr. Michael Schröder, phone - - 49 621 181-2488, http://www.math.uni-mannheim.de/~w
- Chair of Mathematical Statistics: Prof. Dr. Claudia Klüppelberg, phone - 28211. Time series analysis, statistics of stochastic processes, mathematical finance, insurance mathematics. http://www-m4.mathematik.tu-muenchen.de/m4/pers/cklu/
- Eugene Higgins Professor of Applied Probability: Ioannis Karatzas, phone: +1(212) 854-3177, fax: +1(212)663-2454, mailto:ik@math.columbia.edu or mailto:ik@stat.columbia.edu, http://www.stat.columbia.edu/~ik/
- Associate Professor of Industrial Engineering and Operations Research: Steven Kou, phone: +1 (212) 854-4334. fax: +1 (212) 854-4676, mailto:kou@ieor.columbia.edu , http://www.ieor.columbia.edu/~kou/
- Danske Bank Professor of Finance: Prof. Dr. Kristian Risgaard Miltersen, phone +45-6550-3175, secretary: -6550-3271, fax: -6593-0726, cellular: -2149-4433, home: -6593-2662, mailto:krm@sam.sdu.dk Termstructure of Interest Rates, Commodity Derivatives, Minimum Rate of Return Guarantees. http://www.sam.sdu.dk/~krm.
- Mathematical Finance Group, see http://www.maths.ox.ac.uk/mfg/
- Oxford Financial Research Centre, see http://www.finance.ox.ac.uk/
- Oxford Centre for Computational Finance , see http://www.occf.ox.ac.uk/
- BS in Computational Finance
- Master of Science in Computational Finance
- The Ph.D. Program in Mathematical Finance
- Roy Nicolaides, http://www.math.cmu.edu/people/fac/nicolaides.html
- Steven E. Shreve, phone -8484, http://www.math.cmu.edu/users/shreve
- Alan Genz, phone: 001-509-335-2131, fax: 001-509-335-1188, email: alangenz@wsu.edu. http://www.sci.wsu.edu/math/faculty/genz/homepage excellent homepage for multidimensional integration. postscript files and fortran source code.
- Christopher S. Jones, Assistant Professor of Finance, phone: 001-(716) 275-3491, fax: 001-(716) 273-1140, email: c_s_jones@simon.rochester.edu. http://www.simon.rochester.edu/fac/c_s_jones/ empirical work on options.
- Prof. Dr. Antoon Pelsser, phone: (+31) 10 - 408 1259, fax: (+31) 10 - 408 9162, email: pelsser@few.eur.nl. http://www.eur.nl/few/people/pelsser/ pricing models for interest rate derivatives and the application of interest rate derivatives to the hedging of (interest rate) risk of insurance contracts.
- Darrell Duffie, phone +1-415-723-1976, fax: -725-7979, mail: duffie@stanford.edu, http://www.stanford.edu/~duffie. Incomplete security markets, financial risk management, capital asset pricing theory, the dynamic spanning role of security markets, preference theory under uncertainty, security design, term structures of interest rates, credit risk modeling, including valuation of corporate and sovereign debt and credit derivatives.
- Professeur de Mathématique: Philippe Artzner, phone +33 - 3 88 416-333, Secr. -303, fax: -3 88 61 90 69.
- Professur Versicherungs- und Finanzmathematik: Prof. Dr. Stefan Reitz: risk modelling and term structure models
- Master of Quantitative Finance: http://www.business.uts.edu.au/qfrc/courses/mqf.html
- George Marsaglia: Professional random number generation
- Professor of Mathematical Methods for Finance: Dr. Prof. Elisa Luciano, phone +31-11-670-6235, fax +39-11-670-6238, mailto:luciano@econ.unito.it, http://web.econ.unito.it/gma/elisa.htm. Value at Risk, Risk Measurement, Correlation measurement in financial markets, Transaction Cost Models, Copula Functions
- Director Prof. Aleksander Weron - Mathematics and Stochastic Models.
- Research Group
- Prof. Dr. Paul Embrechts, phone -3419, http://www.math.ethz.ch/~embrechts
- Prof. Dr. Freddy Delbaen (chair of Mathematical Finance), phone -6357, http://www.math.ethz.ch/~delbaen
- Prof. Dr. Hans-Jakob Lüthi (head of Operations Research), phone - 4015, fax - 1025.
- Risklab, Institute for research in the area of integrated risk management on a precompetitive level, funded by UBS, Credit Swiss, Swiss Re and ETH Zürich.
- NCCR FINRISK: http://www.nccr-finrisk.unizh.ch/. National Centre of Competence in Research "Financial Valuation and Risk Management"; Swiss Research Network on a wide variety of Finance related topics, financed by the Swiss National Science Foundation (link: http://www.snf.ch/default_en.asp) contact: Eckart Jäger
NCCR FINRISK Administration
Plattenstr.14
CH-8032 Zürich
phone: ++41-1-634 39 55
fax: ++41-1-634 43 45
email: jaeger@nccr-finrisk.ch
- Frank Juan. 32 Old Slip, 16th floor, New York, NY 10286, USA. Phone: +1-212-804-4841, fax: -495-1282, mail: Frank_Juan@LNOTES5.bankofny.com, http://cmtw.harvard.edu/~juan/. Risk management, Monte Carlo Simulation, term structure modelling