Dr. Marcus Wunsch

Work at ZHAW

Position

Senior Lecturer

Focus

• Mathematical finance
• Decentralized Finance
• Portfolio management
• Stochastic optimization
• Quantitative risk management
• Partial differential equations

Teaching

• Quantitative Methods
• Asset 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

ORCID digital identifier

ORCID ID: 0000-0002-8127-9466

Awards

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

Projects

• Strategic Global Savings Solutions in Web3 / Team member / completed
• Blockchain-Based Verified Career Records for Enhanced Professional Credibility / Project leader / completed
• Enabling risk management with decentralized exchange-traded derivatives / Project leader / completed
• Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry / Team member / completed

Selected publications

• Fukasawa, M., Maire, B. and Wunsch, M. (2023) 'Weighted variance swaps hedge against impermanent loss', Quantitative Finance, 23(6), pp. 901–911. doi: 10.1080/14697688.2023.2202708.
• Fukasawa, M., Maire, B. and Wunsch, M. (2025) 'Model-free hedging of impermanent loss in geometric mean market makers with proportional transaction fees', Applied Mathematical Finance, 31(2), pp. 108–129. doi: 10.1080/1350486X.2024.2404058.
• Krabichler, T. and Wunsch, M. (2023) 'Hedging goals', Financial Markets and Portfolio Management, 38(1), pp. 93–122. doi: 10.1007/s11408-023-00437-y.
• Maire, B. and Wunsch, M. (2024) 'Market neutral liquidity provision', Ledger, 9, pp. 73–88. doi: 10.5195/ledger.2024.389.

Publications

Articles in scientific journal, peer-reviewed

• Fukasawa, M., Maire, B. and Wunsch, M. (2025) 'Liquidity provision of utility indifference type in decentralized exchanges', Digital Finance, 7(2), pp. 255–273. doi: 10.1007/s42521-025-00128-5.
• Fukasawa, M., Maire, B. and Wunsch, M. (2025) 'Model-free hedging of impermanent loss in geometric mean market makers with proportional transaction fees', Applied Mathematical Finance, 31(2), pp. 108–129. doi: 10.1080/1350486X.2024.2404058.
• Maire, B. and Wunsch, M. (2024) 'Market neutral liquidity provision', Ledger, 9, pp. 73–88. doi: 10.5195/ledger.2024.389.
• Krabichler, T. and Wunsch, M. (2023) 'Hedging goals', Financial Markets and Portfolio Management, 38(1), pp. 93–122. doi: 10.1007/s11408-023-00437-y.
• Fukasawa, M., Maire, B. and Wunsch, M. (2023) 'Weighted variance swaps hedge against impermanent loss', Quantitative Finance, 23(6), pp. 901–911. doi: 10.1080/14697688.2023.2202708.
• Hou, S., Krabichler, T. and Wunsch, M. (2022) 'Deep partial hedging', Journal of Risk and Financial Management, 15(5), p. 223. doi: 10.3390/jrfm15050223.
• De Meer Pardo, F., Schwendner, P. and Wunsch, M. (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. doi: 10.3905/jfds.2022.1.109.

Written conference contributions, peer-reviewed

• Sekine, J. and Wunsch, M. (2026) 'An occupation-time approach to relative drawdown', in 14th Austrian Stochastics Days (ASD), Klosterneuburg, Austria, 28-29 September 2026.
• Wunsch, M. and Hou, S. (2025) 'Staying afloat : optimizing utility and time under water', in 12th General AMaMeF Conference, Verona, Italy, 23-27 June 2025.

Other publications

Meier, P. and Wunsch, M. (2024) 'Welche Prioritäten werden gesetzt?', Schweizer Personalvorsorge, 2024(12), pp. 61–63.

Oral conference contributions and abstracts

• Wunsch, M., Fukasawa, M. and Maire, B. (2026) 'All you ever wanted to know about AMMs', in Workshop on Mathematical Finance and Related Issues, Osaka, Japan 16. March 2026.
• Wunsch, M. (2025) 'Market neutral strategies in decentralized finance', in QuantMinds, London, United Kingdom, 17-20 November 2025.
• Wunsch, M. (2025) 'Leveraging constant function market makers for decentralized portfolio management', in Mathematical Finance Seminar – Spring 2025, Columbia University in the City of New York, USA (online), 13 February 2025.
• Wunsch, M. (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 and preprints.

Other publications

J. Sekine, M. Wunsch: "Minimizing Benchmark-Relative Drawdown Duration via Occupation Time Penalization" (arXiv preprint)

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