Prof. Dr. Rudi Zagst


Mathematical Finance



Academic Career and Research Areas

Professor Zagst (b. 1961) conducts research in the field of applied financial mathematics with the goal of evaluating financial products and quantifying their risks as well as the development of optimal dynamic investment strategies. His research focuses on financial engineering, risk management and asset management.

After studying business mathematics at the University of Ulm he acquired a doctorate in 1991 at Ulm 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 lectured and acted as a visiting professor in Augsburg, Munich (TUM), Singapore (NUS), St. Gallen, Toronto (UofT), and Ulm. He received his postdoctoral teaching qualification (habilitation) in 2000 from the University of Ulm. Professor Zagst serves as a member of the investment committee of the Bavarian Research Foundation and of the Munich Financial Center Initiative (FPMI) of the Bavarian State Government.


  • Best Teaching Award „Golden Circle“, 1. Place, Mathematics Departmental Student Council at TUM (2018)
  • GAUSS Award, 1st Place, German Association of Actuards and the German Society for Insurance and Financial Mathematics (2012)
  • BAI Science Award, Category Best Supervised Master Thesis (2011)
  • GAUSS Award, 1st Place (2010)
  • Professor of the Year, Category Natural Sciences and Medicine, Unicum Beruf (2007)

Steinruecke L, Swishchuk A, Zagst R: “The Markov-switching Jump Diffusion LIBOR Market Model”. Quantitative Finance. 2015; 15 (3): 455-476.


Schloesser A, Zagst R: “The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis”. European Actuarial Journal. 2013; 3: 407-438.


Braun R, Engel N, Hieber P, Zagst R: “The Risk Appetite of Private Equity Sponsors”. Journal of Empirical Finance. 2011; 18(5): 815–832.


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.