Persönlicher Status und Werkzeuge

Prof. Dr. Rudi Zagst



Contact Details

Business card at TUMonline

Academic Career and Research Areas

Professor Zagst (b. 1961) conducts research in the field of applied financial mathematics with the goal of modeling financial markets, evaluating financial products and quantifying the risks of financial projects. His research activities focus on financial engineering, risk management and asset management.

After studying business mathematics at the University of Ulm he received a doctorate in 1991 from the same university for his work on stochastic dynamic optimization. He subsequently pursued a career in the financial industry. He was head of new product development in the Institutional Investment Management Division of HypoVereinsbank, head of consulting at Allfonds International Asset Management, and managing director of RiskLab – Private Research Institute for Financial Studies. He has lectured and acted as a visiting professor at the Universities of Augsburg, St. Gallen, Munich, Ulm and Singapore. He received his postdoctoral teaching qualification (habilitation) in 2000 from the University of Ulm for his work on applied mathematics and finance. Professor Zagst is honorary chairman of the supervisory board of Risklab and a member of the Academic Advisory Committee of the Professional Risk Managers’ International Association (PRMIA).


  • Professor des Jahres für sein Engagement um eine praxisnahe Ausbildung seiner Studenten, Zeitschrift Unicum Beruf  (2007)

Key Publications (all publications)

Hoecht S, Zagst R: “Pricing distressed CDOs under stochastic recovery”. Review of Derivatives Research. 2010; 13(3): 219-244.

Kolbe A, Zagst R: “Valuation of reverse mortgages under (limited) default risk”. The European Journal of Finance. 2010; 16(4): 305-327.

Escobar M, Goetz B, Seco L, Zagst R: “Pricing of spread options on stochastically correlated underlyings”. The Journal of Computational Finance. 2009; 12(3): 31-61.


Schmid B, Zagst R, Antes S, Ilg M: “Empirical evaluation of hybrid defaultable bond pricing models”. Applied Mathematical Finance. 2008; 15(3): 219-249.


Schmid B, Zagst R: “A three-factor defaultable term-structure model“. The Journal of Fixed Income. 2000; 10(2): 63-79.