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
Membership of networks
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.
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.
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.
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 and preprints.