Dr. Marcus Wunsch
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
Awards
Award of Excellence
Federal Ministry of Education, Science and Research (Austria)
12 / 2009
Projects
- 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
Publications
Articles in scientific journal, peer-reviewed
- 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.
- 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.
- 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.
Written conference contributions, peer-reviewed
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.
- Fukasawa, M., Maire, B. and Wunsch, M. (2023) Model-free hedging of impermanent loss in geometric mean market makers. SSRN. doi: 10.2139/ssrn.4397904.
- Fukasawa, M., Maire, B. and Wunsch, M. (2022) Weighted variance swaps hedge against impermanent loss. SSRN. doi: 10.2139/ssrn.4095029.
- Krabichler, T. and Wunsch, M. (2021) Hedging goals. arXiv. Available at: https://arxiv.org/abs/2105.07915.
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.