The Workgroup Financial and Insurance Mathematics at the Ludwig-Maximilians-Universität (LMU) München is a research group within the LMU Mathematics Institute at the Faculty for Mathematics, Computer Sciences and Statistics.
Current research projects within our group cover various areas of Stochastic Calculus and Financial and Insurance Mathematics such as pricing and hedging in hybrid insurance markets, financial mathematics post crisis: systemic risk and speculation bubbles, energy and related markets, pricing and hedging under model uncertainty, convex risk measures, optimal allocations and equilibrium theory, Malliavin calculus and its financial applications, stochastic (partial) differential equations.
Our teaching activities mainly support the Bachelor in Business Mathematics and the Master in Financial and Insurance Mathematics offered by the Department of Mathematics. The two degree programs are mathematically challenging but still highly practice-relevant tracks that prepare our students for quantitative careers in the financial industry as well as for academic careers. Lectures and seminars on the theoretical foundations of financial and insurance mathematics, such as stochastic calculus, arbitrage theory in discrete and continuous time, fixed income markets, and risk management, are complemented by a praxis-oriented teaching component within the framework of the quantLab, a computer laboratory for computational finance with emphasis on industry best practices.
Our group actively maintains national and international collaborations with various institutes within academia and industry, in particular within LMU with the Munich Risk and Insurance Center (MRIC) and the Center for Empirical Studies (CEST).