MASTER OF MATHEMATICAL FINANCE PROGRAM

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Professor Zagst conducts research in the field of applied financial mathematics with the goal of modeling financial markets, evaluating financial products and quantifying the risks of financial projects. His research activities focus on financial engineering, risk management and asset management.

After studying business mathematics at the University of Ulm he received a doctorate in 1991 from the same university for his work on stochastic dynamic optimization. He subsequently pursued a career in the financial industry. He was head of new product development in the Institutional Investment Management Division of HypoVereinsbank, head of consulting at Allfonds International Asset Management, and managing director of RiskLab – Private Research Institute for Financial Studies.



Dr. Santiago Carrillo Menéndez has been the CEO of Quantitative Risk Research, S.L. (QRR) since June 2006. Santiago has been a professor in the Math Department of the Universidad Autónoma de Madrid (UAM), a position he has held since October 1st 1976. He is Board Member and Chairman of the Risk Committee of BME Clearing (CCP), since September 2013. Santiago received his PhD in Mathematics from the Université Pierre et Marie Curie (Paris), and his 2nd PhD in Science from the Universidad Complutense de Madrid. In 1990 he became Director of the Department of Mathematics at UAM and held this position for 3 years. He then became the Dean of the Science Faculty at UAM (two mandates) for the next 6 years. Since 1998, Santiago has been the Director of RiskLab-Madrid at UAM. He is an instructor with the MMF Program and has authored many prestigious articles and papers.

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Santiago Carrillo

Rudi Zagst

Matthew Davison

David Saunders

While a graduate student at the University of Toronto, David was an associate member of the Quantitative Research group at Algorithmics Inc., a leading provider of software for financial risk management. He worked on numerous projects including mutual fund ratings, applications of optimization duality to pricing derivative securities, stochastic programming for risk management, and the development of software for a general system for solving financial stochastic optimization problems (a joint project with the University of Cambridge).


After graduation, Professor Saunders was CLR Chair in Corporate Finance and deputy director of RiskLab Cyprus (a financial risk management research laboratory) at the Cyprus International Institute of Management, as well as a research fellow at the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus. He then joined the faculty of the Department of Mathematics at the University of Pittsburgh, where he served as director of the department’s Professional Science Masters Program in Mathematical Finance, and supervised numerous collaborative projects between students and financial institutions including RiskMetrics (default boundaries and inverse problems in credit risk), Toronto Dominion Bank (calibration of credit risk models, optimal capital allocation, fast pricing of Bermudan swaptions), PNC Bank (default correlation and CDO pricing, statistical methods for operational risk), and Mellon Bank (mathematical models for operational risk).


Professor Saunders has served as a consultant for many financial institutions including the Bank of Nova Scotia (efficient computation of value at risk for Bermudan swaption portfolios), the Ontario Teachers’ Pension Plan (interest rate risk management), the Cyprus Development Bank (credit portfolio management, equity risk management), and the Central Bank of Cyprus (market risk management). He is also a Senior Research Consultant at S&P Capital IQ.


Professor Saunders is the author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing.


I am full professor of Applied Mathematics, Statistical & Actuarial Sciences, and Business at Western University Canada, where I hold the Canada Research Chair in Quantitative Finance.


Prior to working at Western I was a front office trading floor quant at Deutsche Bank (1997-1999) and a postdoctoral researcher in theoretical physiology at the University of Bern (1995-1999).


I received my PhD in Applied Mathematics from Western in 1995. In 1991 I graduated with my B.A.Sc. in Engineering Science at the University of Toronto, where I specialized in Engineering Geophysics. I graduated from Westdale Secondary School in Hamilton in 1987.


My research interests include energy finance, quantitative risk management, and applied operations research. At the bottom of this web page is a list of my recent papers in each of these areas.


In energy finance I work on the optimal control of energy assets, pricing options on carbon markets, and the economic analysis of green energy sources. My background in engineering and my expertise in operational research, together with my research in modern quantitative finance all come in handy in this area.


In quantitative risk management my main interests are in pricing and hedging options, particularly on a large number of underlying assets. I am also working on final revisions of my financial math textbook which will appear later in 2013.


In applied operations research/industrial mathematics, I have helped organizations in industry, government, and health care solve problems ranging from cancer treatment optimization to the detection of naval mines. I am very happy with my strong team of current graduate students in the department of Applied Mathematics at Western and in the Department of Statistical and Actuarial Sciences. I am also very proud of my many past students who go from professional success to professional success.


I am married to Christine, a speech therapist at the Thames Valley District School board and am the proud dad of two boys, Liam (11 years old) and Shawn (9 years old). My personal interests include the outdoors, swimming and boating, literature, and history.

I help businesses solve challenges better by mapping future scenarios collaboratively more clearly for their industry. I do this by combining complex adaptive systems think- ing and scenario planning. I was formerly an executive for a $60 billion investment  rm, a tenured academic in applied math- ematics, adjunct professor at a business school and consulting  rm founder and owner. I have collated all the lessons learned and developed a tangible, teachable process for monitoring and harnessing complex adaptive system.

I have a PhD in Applied Mathematics and modeled ecosystems, biological systems and aspects of  nancial markets for the past 20 years. My work at the Santa Fe Institute, where I was a Fellow, exposed me to under- standing commonalities across systems. My  rst degree was in applied mathematics and molecular biology, followed by an honors degree in biomedical engineering, masters coursework in pure mathematics and a PhD in applied mathematics.

Brian is currently working as a strategic advisor to the Toronto based Fintech company IISAAC (Information Is An Asset Class), who works to help individuals and businesses protect and monetize their data. Previously Brian spent two years as an Executive in Residence at the Global Risk Institute, where he focused on Big Data, Arti cial Intelligence, Cybersecurity and the evolving regulatory environment.

Prior to the GRI Brian was CIBC’s Execu- tive Vice President and Chief Data O cer, where he developed their data strategy and governance framework. Prior to the CDO position Brian lead the Bank’s Enterprise Risk Management group, including balance sheet and capital management. Over the years, he held a number of positions in

the  nance and risk management group, including Chief Financial O cer of the Treasury Division. Prior to joining CIBC Brian started his career with Xerox Canada, working in their Finance, Tax and Treasury groups.

Brian earned a Masters of Business Admin- istration at McMaster’s DeGroote School of Business, and also holds a Certi ed Public Accountant designation.

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Brian O'Donnell

Gareth Witten