Dr. Marcus Wunsch

ZHAW School of Management and Law
Fachstelle für Asset Management
Gertrudstrasse 8
8400 Winterthur

Work at ZHAW

Position

Senior Lecturer

Focus

Liquidity provision in Decentralized Exchanges; quantitative 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

ORCID digital identifier

ORCID ID: 0000-0002-8127-9466

Awards

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

Projects

Publications

Articles in scientific journal, peer-reviewed

Fukasawa, M., Maire, B., & Wunsch, M. (2025). Model-free hedging of impermanent loss in geometric mean market makers with proportional transaction fees. Applied Mathematical Finance, 31(2), 108–129. https://doi.org/10.1080/1350486X.2024.2404058
Maire, B., & Wunsch, M. (2024). Market neutral liquidity provision. Ledger, 9, 73–88. https://doi.org/10.5195/ledger.2024.389
Krabichler, T., & Wunsch, M. (2023). Hedging goals. Financial Markets and Portfolio Management, 38(1), 93–122. https://doi.org/10.1007/s11408-023-00437-y
Fukasawa, M., Maire, B., & Wunsch, M. (2023). Weighted variance swaps hedge against impermanent loss. Quantitative Finance, 23(6), 901–911. https://doi.org/10.1080/14697688.2023.2202708
Hou, S., Krabichler, T., & Wunsch, M. (2022). Deep partial hedging. Journal of Risk and Financial Management, 15(5), 223. https://doi.org/10.3390/jrfm15050223
De Meer Pardo, F., Schwendner, P., & 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), 110–132. https://doi.org/10.3905/jfds.2022.1.109

Written conference contributions, peer-reviewed

Wunsch, M., & Hou, S. (2025, June 25). Staying afloat : optimizing utility and time under water. 12th General AMaMeF Conference, Verona, Italy, 23-27 June 2025.

Other publications

Meier, P., & Wunsch, M. (2024). Welche Prioritäten werden gesetzt? Schweizer Personalvorsorge, 2024(12), 61–63.
Fukasawa, M., Maire, B., & Wunsch, M. (2023). Model-free hedging of impermanent loss in geometric mean market makers. SSRN. https://doi.org/10.2139/ssrn.4397904
Fukasawa, M., Maire, B., & Wunsch, M. (2022). Weighted variance swaps hedge against impermanent loss. SSRN. https://doi.org/10.2139/ssrn.4095029
Krabichler, T., & Wunsch, M. (2021). Hedging goals. arXiv. https://arxiv.org/abs/2105.07915

Oral conference contributions and abstracts

Wunsch, M. (2025, November 20). Market neutral strategies in decentralized finance. QuantMinds, London, United Kingdom, 17-20 November 2025.
Wunsch, M. (2025, February 13). Leveraging constant function market makers for decentralized portfolio management. 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. 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.

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