Dr. Marcus Wunsch

Work at ZHAW

Position

Senior Lecturer

Focus

Decentralized Exchanges: liquidity provision & volatility trading Risk management, portfolio management, financial engineering Quantitative investment strategies Partial differential equations, stochastic analysis

Teaching

• Active Investment Management (Module Coordinator)
• Financial Instruments and Portfolio Theory
• Investments (MSc Banking and Finance)

Experience

• Head of Risk Management, Portfolio Manager, Senior Researcher
  Quantica Capital
  06 / 2018 - 08 / 2020
• Investment Analyst
  UBS AG
  03 / 2017 - 04 / 2018
• Risk Specialist
  UBS AG
  09 / 2013 - 02 / 2017
• Senior Postdoctoral Fellow
  ETH Zurich
  05 / 2011 - 08 / 2013
• JSPS Postdoctoral Fellow
  Kyoto University
  04 / 2009 - 03 / 2011

Education and Continuing education

Education

PhD / Applied Mathematics
University of Vienna
10 / 2005 - 03 / 2009

Continuing Education

CAS Hochschuldidaktik (Higher Education Didactics)
PH Zurich
09 / 2023

Network

Awards

Award of Excellence
Federal Ministry of Education, Science and Research (Austria)
12 / 2009

Projects

• Enabling risk management with decentralized exchange-traded derivatives / Project leader / Project completed
• COST Action – Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry / Team member / Project completed

Publications

• Krabichler, Thomas; Wunsch, Marcus,

  2023.

  Hedging goals.

  Financial Markets and Portfolio Management.

  38(1), pp. 93-122.

  Available from: https://doi.org/10.1007/s11408-023-00437-y

• Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus,

  2023.

  Weighted variance swaps hedge against impermanent loss.

  Quantitative Finance.

  23(6), pp. 901-911.

  Available from: https://doi.org/10.1080/14697688.2023.2202708

• Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus,

  2022.

  Deep partial hedging.

  Journal of Risk and Financial Management.

  15(5).

  Available from: https://doi.org/10.3390/jrfm15050223

• De Meer Pardo, Fernando; Schwendner, Peter; Wunsch, Marcus,

  2022.

  Tackling the exponential scaling of signature-based generative adversarial networks for high-dimensional financial time-series generation.

  The Journal of Financial Data Science.

  4(4), pp. 110-132.

  Available from: https://doi.org/10.3905/jfds.2022.1.109

• Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus,

  2023.

  Model-free hedging of impermanent loss in geometric mean market makers.

  SSRN.

  Available from: https://doi.org/10.2139/ssrn.4397904

• Wunsch, Marcus,

  2021.

  Digital Assets : von Zahlungsmitteln zu dezentralen Finanzsystemen.

  In:

  Finance Circle, Winterthur, 22. November 2021.

Publications before appointment at the ZHAW

Please refer to my Google Scholar page for a complete list of my publications.

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