D-MATH News

Philippe von Wurstemberger successfully passed his oral doctoral thesis examination entitled: "Overcoming the curse of dimensionality for PDEs: from conventional numerics and nonlinear Monte Carlo to deep learning". Congratulations!

Jakob Heiss successfully passed his oral doctoral thesis examination entitled: "Inductive bias of neural networks and selected applications". Congratulations!

Twenty years ago, the Master of Science UZH ETH in Quantitative Finance was launched. This international degree programme combines economic theory and finance with mathematical methods such as probability theory, statistics and econometrics as well as numerical analysis for finance and insurance.

The 2023 Walter Saxer Prize goes to Gabriele Visentin for his doctoral thesis and to Rebecca Morger for her Master's thesis. Congratulations!

Zhouyi Tan successfully passed his oral doctoral thesis examination entitled: "Dynamic programming approaches for the mean-variance portfolio selection problem". Congratulations!

We are delighted to announce that Professor Beatrice Acciaio has been awarded the 2022 Louis Bachelier Prize.

Simon Müller received the 2022 Walter Saxer Prize in recognition of his exceptional Master's thesis. Congratulations!

The 2021 Walter Saxer Prize goes to Andrea Gabrielli for his doctoral thesis and to Vito Gallo for his Master's thesis. Congratulations!

Calypso Herrera successfully passed her oral doctoral thesis examination entitled: "Machine learning in finance: applications of continuous depth and randomized neural networks". Congratulations!

Xi Kleisinger-Yu successfully passed her oral doctoral thesis examination entitled: "Risk management in energy markets: analytical and machine learning perspectives". Congratulations!

We warmly welcome our new faculty members: Professor Beatrice Acciaio and Professor Dylan Possamaï. Both were appointed by the ETH Board in July 2020.

Vincenzo Ignazio successfully passed his oral doctoral thesis examination entitled: "Mean field game partial differential equations and measure valued jump diffusions". Congratulations!

Daniel Balint successfully passed his oral doctoral thesis examination entitled: "Towards a discounting-​invariant no-​arbitrage theory". Congratulations!

Chong Liu successfully passed his oral doctoral thesis examination entitled: "A tale of two minimization problems: semimartingale transportation and rough path lifts". Congratulations!

We are very pleased to announce that Christa Cuchiero, a former doctoral student of the Department, has been awarded the highly prestigious START award of the Austrian Science Fund (FWF).

Matti Kiiski successfully passed his oral doctoral thesis examination entitled: "Convex duality in martingale optimal transport". Congratulations!

Matthias Gattiker received the 2019 Walter Saxer Prize in recognition of his exceptional Master's thesis entitled: "Quadratic risk minimization with terminal wealth constraints".

Max Reppen successfully passed his oral doctoral thesis examination entitled: "Singular control in financial economics". Congratulations!

Sara Svaluto-Ferro successfully passed her oral doctoral thesis examination entitled: "Probability-valued jump-diffusions in finance and related topics". Congratulations!

On 30 May, Professor Paul Embrechts gave his farewell lecture entitled: "January 31, 1953, and September 11, 2001: Living with Risk". He has been professor at the Department since November 1989.

The two junior scientists Philippe Deprez and Matthias Kirchner have received the 2018 Walter Saxer Prize in recognition of their exceptional doctoral theses.

Lukas Gonon successfully passed his oral doctoral thesis examination entitled: "Calibration, filtering and hedging: non-linear information processing in mathematical finance". Congratulations!

Josef Teichmann and Mario Wüthrich have been awarded the Bob Alting von Geusau Prize for their paper: "Consistent yield curve prediction".

Thomas Krabichler successfully defended his doctoral thesis entitled: "Term structure modelling beyond classical paradigms". Congratulations!

Danijel Zivoi successfully defended his doctoral thesis entitled: "Quadratic hedging problems under restricted information". Congratulations!

We are delighted to announce that Professor Paul Embrecht has been appointed as an honorary member of the Swiss Association of Actuaries.

Paul Embrechts, experto en números y analista de matrices de la industria aseguradora, examina los desafíos de la industria con las nuevas tecnologías y con problemas como el ciberataque.

We are delighted to announce that Professor Paul Embrechts has been appointed for the Hung Hing-Ying Distinguished Visiting Professorship in Science and Technology at Hong Kong University.

Matthias Kirchner successfully defended his doctoral thesis entitled: "Perspectives on Hawkes processes". Congratulations!

Thomas Cayé successfully defended his doctoral thesis entitled: "Trading with small nonlinear price impact, optimal execution and rebalancing of active investments". Congratulations! 

The 2017 SCOR Fellowship Prize was awarded to John Ery for a collaborative doctoral thesis in the area of actuarial pricing, stochastic claims reserving and capital modelling.

Cass Business School has awarded Professor Paul Embrechts with the Honorary Degree of Doctor of Science (Honoris Causa).

The two junior scientists Edgars Jakobsons and Patrick Zöchbauer have received the 2017 Walter Saxer Prize in recognition of their exceptional Master's and doctoral theses.

Philippe Deprez successfully defended his doctoral thesis entitled: "Random graph modeling and network analysis". Congratulations!

On 23 November, Professor Patrick Cheridito gave his inaugural lecture entitled: "Risk, uncertainty and insurance contracts". He has been professor at the Department since June 2016.

As every fall, the Risk Day successfully took place at the ETH Zurich on 16 September 2016 and was again attended by almost 400 participants from academia and the financial and insurance industry as well as regulators.

We warmly welcome our new faculty member, Professor Patrick Cheridito.

Edgars Jakobsons successfully defended his doctoral thesis entitled: "Dependence uncertainty bounds and optimization of aggregate risk". Congratulations!

Georg Grafendorfer successfully defended his doctoral thesis entitled: "Infinite-dimensional affine processes". Congratulations!

David Stefanovits successfully defended his doctoral thesis entitled: "Robust calibration in yield curve modelling". Congratulations!

Cosimo-Andrea Munari received the Walter Saxer Prize in recognition of his exceptional doctoral thesis entitled: "Measuring risk beyond the cash-additive paradigm".

Sebastian Herrmann successfully defended his doctoral thesis entitled: "Beyond Black and Scholes: uncertainty aversion, delta-vega hedging, and bubbles and crashes". Congratulations!

Ren Liu successfully defended his doctoral thesis entitled: "Portfolio selection with frictions". Congratulations!

Mario Sikic successfully defended his doctoral thesis entitled: "Market models beyond the standard setup". Congratulations!

Blanka Horvath successfully defended her doctoral thesis entitled: "Robust methods for the SABR model and related processes: analysis, asymptotics and numerics". Congratulations!

The conference held on 11 September 2015 was attended by around 400 participants. It was organized by Professor Erich Walter Farkas (University of Zurich and ETH Zurich) and RiskLab Switzerland.

Albert Altarovici successfully defended his doctoral thesis entitled: "Impact of friction on investment decisions". Congratulations!

The Institut des actuaires appointed Prof. Paul Embrechts as an honorary member. Read the interview in l'actuariel.

Ariel Neufeld successfully defended his doctoral thesis entitled: "Knightian uncertainty in mathematical finance". Congratulations!

The University of Zurich and ETH Zurich host a spring school on Lévy processes. The School started on 29 March and will last until 2 April 2015.

The three junior scientists Gaby Binder, Patrick Helbling and Annina Saluz receive a Walter Saxer Prize in recognition of their exceptional Master's and doctoral theses.

Cosimo-Andrea Munari successfully defended his doctoral thesis entitled: "Measuring risk beyond the cash-additive paradigm". Congratulations!

Annina Saluz successfully defended her doctoral thesis entitled: "Stochastic loss reserving with emphasis on the Bornhuetter-Ferguson method". Congratulations!

The Fondation Natixis pour la recherche quantitative et la Société de Mathématiques Appliquées et Industrielles (SMAI) award the Prix Bachelier 2014 to Josef Teichmann.

The 2014 conference celebrates 20 years from the establishment of the RiskLab at ETH Zurich around a team of scientists led by Prof. Paul Embrechts.

The D-MATH is delighted to welcome Prof. Peter Jossen and Prof. Martin Larsson as our new faculty members.

Mirjana Vukelja successfully defended her doctoral thesis entitled: "Utility maximization in an illiquid market". Congratulations!

Martin Herdegen successfully defended his doctoral thesis entitled: "Numéraire-independent modelling of financial markets". Congratulations!

The American Statistical Association Committee on Fellows selected Prof. Paul Embrechts as a 2014 Fellow for his outstanding contributions to the statistical profession.