Uwe Wystup

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Uwe Wystup (* 1967 in Frankfurt am Main ) is a German business mathematician , university lecturer and professor of quantitative finance and financial engineering.

Life

After graduating in mathematics from the Johann Wolfgang Goethe University in Frankfurt am Main in 1993 in Mathematical Finance, Uwe Wystup did his doctorate at Carnegie Mellon University in the USA from 1993 to 1997.

After working as a financial mathematician (Desk Quant) for Deutsche Bank , Citibank , UBS and Sal. Oppenheim , he became a foreign exchange trading professor at Commerzbank and, in parallel, a lecturer in mathematical finance at the Johann Wolfgang Goethe University in Frankfurt am Main and at Carnegie Mellon University on the Frankfurt campus. From 2002 to 2004 Uwe Wystup took over Global Structured Risk Management at Commerzbank Securities. At the end of 2003 he founded MathFinance AG and has been its director ever since. MathFinance is a quantitative finance consultancy.

From 2003 to 2010 he was full-time professor of quantitative finance at the Frankfurt School of Finance & Management . Since 2013 Uwe Wystup has been Professor of Option Price Modeling in the Department of Mathematical & Computer Science at the University of Antwerp , Belgium. He is founding director of the "Frankfurt MathFinance Institute", initiator of the annual MathFinance conference in Frankfurt am Main, editor of the Springer journal "Annals of Finance". He is involved in various committees and is a. a. Senior advisor and member of the scientific advisory board of WEPEX Unternehmensberatung., Member of the asset advisory board of the federal foundation “Remembrance, Responsibility, Future” as well as advisory board at QuantZ Capital Management LLC (New York), Helvetic Investments (Singapore) and Platinum Analytics (Shanghai). He is also an honorary professor of financial engineering at the Frankfurt School of Finance & Management and a lecturer at the National University of Singapore until 2014 . He also acts as a liaison lecturer for the Friedrich Naumann Foundation.

His main focus and research interests are financial engineering, quantitative financial aspects and the design of structured capital market products and exotic options on the capital and foreign exchange markets.

Publications

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Articles in refereed journals

  • Veiga, Carlos, Wystup, Uwe Closed Formula for Options with Discrete Dividends and its Derivatives. in: Applied Mathematical Finance, (2009), Volume 16, Issue 6, p. 517-531
  • Becker, Christoph, Wystup, Uwe On the Cost of Delayed Currency Fixing Announcements. in: Annals of Finance, Vol. 5 (2009), Issue 2, pp. 161-174
  • Wallner, Christian, Wystup, Uwe Efficient Computation of Option Price Sensitivities for Options of American Style. in: Wilmott Magazine, (2004), No. 1
  • Schmock, Uwe, Shreve, Steven E., Wystup, Uwe Valuation of Exotic Options Under Short Selling Constraints. in: Finance and Stochastics, (2002), VI, 2, pp. 143-172
  • Reiss, Oliver, Wystup, Uwe Computing Option Price Sensitives Using Homongeneity and Other Tricks. in: The Journal of Derivatives, (2001), Vol. 9 No. 2, pp. 41-53

Monographs

  • Wystup, Uwe The Ultimate Quant Cheat Sheet. Waldems: MathFinance AG, 2009
  • Wystup, Uwe FX Options and Structured Products. UK: Wiley, 2006
  • Cremers, Heinz, Lünemann, Thilko, Wystup, Uwe Stochastik. Frankfurt: Bankakademie Verlag, 2004 (study letter for Bachelor of Finance & Management)
  • Cremers, Heinz, Lünemann, Thilko, Wystup, Uwe Wirtschaftsmathematik II. Frankfurt: Bankakademie Verlag, 2004 (study letter Bachelor of Finance & Management)
  • Wystup, Uwe Modeling Foreign Exchange Options. A quantitative approach. work in progress (Wiley Finance Series)

Editorships & Collective Works

  • Cekan, Markus, Wystup, Uwe (Eds.): Encyclopedia of Quantitative Finance. Wiley, 2010
  • Hakala, Jürgen, Wystup, Uwe (Eds.): Foreign Exchange Risk. London: Risk Publications, 2002

Articles in trade journals

  • Wystup, Uwe Arbitrage in the Perfect Volatility Surface, in: Wilmott Magazine, Volume 2018, Issue 97
  • Wystup, Uwe Structuring an Inverse Dual Currency Investment, in: Wilmott Magazine, Volume 2018, Issue 96
  • Wystup, Uwe Can Vega of a Double-No-Touch be Positive? in: Wilmott Magazine, Volume 2018, Issue 94, pp. 22-23
  • Wystup, Uwe What Happened to Currency Fixings? in: Wilmott Magazine, Volume 2018, Issue 93, pp. 44–45
  • Wystup, Uwe Derivatives Technology as a Matter of Survival, in: Wilmott Magazine, Volume 2017 Issue 91, pp. 14-15
  • Reiswich, Dimitri, Wystup, Uwe FX Volatility Smile Construction, in: Wilmott Magazine, Volume 2017 and Volume 2012
  • Wystup, Uwe With a cool head out of a tight spot, in: Zeitschrift für Kommunale Wirtschaft, 07.12.2017, p. 15
  • Wystup, Uwe Structured Products in Transition: in: Developments after the Financial Crisis, Journal for the Entire Credit System, 01.11.2017, p. 1090
  • Wystup, Uwe Why modern platforms are becoming a question of survival, in: Risk Manager 02.03.2017
  • Wystup, Uwe Model Governance: How to get the risk of the models under control, in: Risk Manager Sep 2016, pp. 12-14
  • Wystup, Uwe How banks get their risks under control, in: Börsenzeitung, 01.09.2016
  • Wystup, Uwe Quant-Modelle: Model Governance als Chefsache, in: Kreditwesen, 2016, pp. 588–590
  • Wystup, Uwe Brexit: Treasurers now have these hedging variants, in: Der Treasurer, 03.08.2016
  • Wystup, Uwe Mathematik macht Schule, in: Geld Magazin No. 05/2017, p. 7
  • Wystup, Uwe Limiting Risks, Using Opportunities, in: Der Neue Kämmerer, 01.03.2016
  • Wystup, Uwe Brexit risk requires hedging of pound income, in: BörsenZeitung, 01.03.2016
  • Wystup, Uwe, Zhou, Qixiang Volatility as Investment - Crash Protection with Calendar Spreads of Variance Swaps, in: Journal of Applied Operational Research, (2014) Vol. 6 No. 4, pp. 243-254
  • Kilin, Fiodar, Nalholm, Morten, Wystup, Uwe Numerical Experiments on Hedging Cliquet Options, in: The Journal of Risk, (2014), Vol. 17 No. 1, pp. 85-103
  • Detering, Nils, Weber, Andreas, Wystup, Uwe Return distributions of equity-linked retirement plans under jump and interest rate risk, in: European Actuarial Journal, (2013), Volume 3, Issue 1, pp. 203-228
  • Detering, Nils, Zhou, Qixiang, Volatility as Investment - Diversification and Crash Protection using Volatility Strategies, in: Research Report No. 30, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, January 2012
  • Beyna, Ingo, Wystup, Uwe Characteristic Functions in the Cheyette Interest Rate Model, in: CPQF working paper No. 28, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, January 2011,
  • Janek, Agnieszka, Kluge, Tino, Weron, Rafal, Wystup, Uwe FX Smile in the Heston Model, in: Statistical Tools for Finance and Insurance, Second Edition, eds. Pavel Cizek, Wolfgang Haerdle, Rafal Weron. Springer, 2011, pp. 133-162
  • Detering, Nils, Weber, Andreas, Wystup, Uwe Comparing Return Distributions of Equity Linked Retirement Provision Plans with Different Capital Guarantee Mechanisms and Fee Structures, in: Statistical Tools for Finance and Insurance, P. Cizek, W. Härdle and R. Weron ( Editors), Springer, 2011, pp. 393–413
  • Reiswich, Dimitri, Wystup, Uwe A Guide to FX Options Quoting Conventions, in: The Journal of Derivatives, Winter 2010, Vol. 18, No. 2, pp. 58-68
  • Beyna, Ingo, Wystup, Uwe On the Calibration of the Cheyette Interest Rate Model, in: CPQF working paper No. 25, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. June 2010
  • Esquível, Manuel L., Veiga, Carlos, Wystup, Uwe Unifying Exotic Option Closed Formulas, in: Review of Derivatives Research, (2012), Volume 15, Number 2, pp. 99–128
  • Griebsch, Susanne, Wystup, Uwe On the Valuation of Fader and Discrete Barrier Options in Heston's Stochastic Volatility Model, in: Quantitative Finance, Dec 2010, pp. 693–709
  • Detering, Nils, Weber, Andreas, Wystup, Uwe Riesterrente in comparison - a simulation study on the distribution of returns on behalf of Euro-Magazin, MathFinance AG, November 2009
  • Weber, Andreas, Wystup, Uwe Comparison of investment strategies for Riester pensions without taking fees into account: A simulation study on the distribution of returns, in: Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, August 2008
  • Weber, Andreas, Wystup, Uwe Riesterrente in comparison: A simulation study on the distribution of returns, in: Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, August 2008
  • Kilin, Fiodar, Nalholm, Morten, Wystup, Uwe On the Cost of Poor Volatility Modeling: The Case of Cliquets, in: Research Report, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, February 2008
  • Becker, Christoph, Wystup, Uwe What does the guarantee cost? A statistical comparison of the return on long-term investments, in: Research Report No 8, Center for Practical Quantitative Finance, Frankfurt School of Finance & Management. January 2008
  • Wystup, Uwe Not for lone fighters - about investment bankers and what they need to know today. in: Staufenbiel Finanzwelt und Beratung, (2005), p. 12
  • Wystup, Uwe The Market Price of One-Touch Options in Foreign Exchange Markets. in: Derivatives Week, (2003), Vol. XII, no. 13, pp. 8-9

Articles in compilations

  • Wystup, Uwe Foreign Exchange Basket Options, in: Wystup, Uwe, Hakala, Jürgen (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, pp. 717–721
  • Wystup, Uwe Foreign Exchange Options - A Trader's View, in: Wystup, Uwe, Cekan, Markus, Wendel, Armin (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, p. 727-731
  • Wystup, Uwe Foreign Exchange Smile Interpolation, in: Wystup, Uwe (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, pp. 742-745
  • Wystup, Uwe Foreign Exchange Symmetries, in: Wystup, Uwe (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, pp. 752-759
  • Wystup, Uwe Pricing Formulas for Foreign Exchange Options, in: Wystup, Uwe, Weber, Andreas (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, pp. 1408-1418
  • Wystup, Uwe Quanto Options, in: Wystup, Uwe (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, pp. 1455-1460
  • Wystup, Uwe Vanna-Volga Pricing, in: Wystup, Uwe (Ed.): Encyclopedia of Quantitative Finance, Chichester: John Wiley & Sons Ltd., 2010, pp. 1867–1874
  • Veiga, Carlos, Wystup, Uwe Issuers' commitments would add more value than any rating scheme could ever do, in: Chiarella, Carl, Alexander Novikov (Eds.): Contemporary Quantitative Finance, Springer, forthcoming
  • Wystup, Uwe Presentation of the research focus on quantitative finance, in: Müller, Klaus-Peter, Udo Steffens (eds.): The future of the financial services industry in Germany, Frankfurt am Main: Frankfurt School-Verlag, 2008, pp. 205–208
  • Griebsch, Susanne, Kühn, Christoph, Wystup, Uwe Installation Options: A Closed−, Form Solution and the Limiting Case, in: Sarychev, A., et al. (Ed.): Mathematical Control Theory and Finance, Heidelberg: Springer, 2008, pp. 211–229
  • Wystup, Uwe Significant Recent Developments in Quantitative Finance, in: Müller, Klaus-Peter, Udo Steffens (eds.): The future of the financial services industry in Germany, Frankfurt am Main: Frankfurt School-Verlag, 2008, pp. 209–212
  • Wystup, Uwe The Heston Model and the Smile, in: Cizek, Pavel, Wolfgang Haerdle, Rafael Weron (eds.): Statistical Tools for Finance and Insurance, Wiesbaden: Springer, pp. 161-183
  • Davveta, Anna, Felice, Gian Marco, Hakala, Jürgen, Wystup, Uwe A Model for Long Term Foreign Exchange Options, in: Wystup, Uwe, Jürgen Hakala (eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 317 -325
  • Hakala, Jürgen, Wystup, Uwe Barrier Options. An Overview, in: Wystup, Uwe, Jürgen Hakala (Eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 29–36
  • Wystup, Uwe Binomial Trees in One and Two Dimensions, in: Wystup, Uwe, Jürgen Hakala (Ed.): Foreign Exchange Risk, London: Risk Publications, 2002, 227–233
  • Schmock, Uwe, Shreve, Steven E., Wystup, Uwe Dealing With Dangerous Digitals, in: Wystup, Uwe, Jürgen Hakala (Eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 327-348
  • Reiss, Oliver, Wystup, Uwe Efficient Computation of Option Price Sensitivities Using Homogeneity and Other Tricks, in: Wystup, Uwe, Jürgen Hakala (eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 127–142
  • Engelmann, Bernd Hans, Schwendner, Peter, Wystup, Uwe Fast Fourier Method for the Valuation of Options on Several Correlated Currencies, in: Wystup, Uwe, Jürgen Hakala (Eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 235 -248
  • Hakala, Jürgen, Wystup, Uwe Heston's Stochastic Volatility Model Applied to Foreign Exchange Options, in: Wystup, Uwe, Jürgen Hakala (Eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 267–282
  • Wystup, Uwe How the Greeks Would Have Hedged Correlation Risk of Foreign Exchange Options, in: Wystup, Uwe, Jürgen Hakala (Ed.): Foreign Exchange Risk, London: Risk Publications, 2002, 143-146
  • Hakala, Jürgen, Wystup, Uwe Making the Most Out of Multiple Currency Exposure: Protection With Basket Options, in: Hornbrook, Adrian (Ed.): The Euromoney Foreign Exchange and Treasury Management Handbook 2002, Euromoney, 2002
  • Hakala, Jürgen, Nonas, Bereshad, Senge, Tino, Wystup, Uwe Monte Carlo Simulations and Variance Reduction Techniques, in: Wystup, Uwe, Jürgen Hakala (eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 175–186
  • Hakala, Jürgen, Senge, Tino, Weber, Andreas, Wystup, Uwe Quasi Random Numbers and Their Application to Pricing Basket and Lookback Options, in: Wystup, Uwe, Jürgen Hakala (Eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 187-208
  • Hakala, Jürgen, Perissé, Ghislain, Wystup, Uwe The Pricing of First Generation Exotics, in: Wystup, Uwe, Jürgen Hakala (eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 37–56
  • Apel, Thomas, Winkler, Gunter, Wystup, Uwe Valuation of Options in Heston's Stochastic Volatility Model Using Finite Element Methods, in: Wystup, Uwe, Jürgen Hakala (Eds.): Foreign Exchange Risk, London: Risk Publications, 2002, 283– 303
  • Wystup, Uwe Vanilla Options, in: Wystup, Uwe, Jürgen Hakala (Ed.): Foreign Exchange Risk, London: Risk Publications, 2002, 3–14
  • Wystup, Uwe Volatility Management, in: Wystup, Uwe, Jürgen Hakala (Ed.): Foreign Exchange Risk, London: Risk Publications, 2002, 15–24
  • Hakala, Jürgen, Wystup, Uwe Foreign Exchange Derivatives, in: Hornbrook, Adrian (Eds.): The Euromoney Foreign Exchange and Treasury Management Handbook 2001, Euromoney, 2001

Web links

Individual evidence

  1. ↑ University of Antwerp Uwe Wystup. Retrieved February 4, 2018 .
  2. ↑ Uwe Wystup. Retrieved February 4, 2018 .
  3. ^ Committees of the Foundation EVZ. Retrieved July 16, 2018 .
  4. ↑ University of Antwerp Uwe Wystup. Retrieved April 2, 2018 .
  5. ↑ Frankfurt School of Management & Finance Uwe Wystup. Retrieved February 4, 2018 .
  6. ↑ WiWi Online Prof. Dr. Uwe Wystup Publications. Retrieved April 2, 2018 .
  7. ↑ MathFinance publications Uwe Wystup. Retrieved April 2, 2018 .
  8. ↑ Goodreads Uwe Wystup. Retrieved February 4, 2018 .
personal data
SURNAME Wystup, Uwe
BRIEF DESCRIPTION German business mathematician
DATE OF BIRTH 1967
PLACE OF BIRTH Frankfurt am Main