Pronouns: he/him
Mathematical Finance Mathematical Economics FinTech Risk Management
Christoph is a professor of mathematical finance at the University of Alberta and currently serves as the Associate Chair Graduate of the Department of Mathematical and Statistical Sciences. He grew up in Switzerland and studied mathematics at ETH Zurich. During his PhD studies in mathematical finance at ETH Zurich, he worked in the financial industry. After receiving his PhD degree, Christoph was a researcher at Ă‰cole Polytechnique in Paris before joining the University of Alberta in 2010. In the first half of 2013, he was a visiting professor at ETH Zurich. In 2016, he was the main organizer of the PIMS Summer School in Mathematical Finance and the Sixth International IMS-FIPS Workshop. Christoph chaired the scholarships and fellowships selection committee for mathematical sciences of the Natural Sciences and Engineering Research Council of Canada. While on sabbatical from the University of Alberta in the academic year 2016/7, Christoph was working on research projects about the market of credit default swaps at the U.S. Federal Reserve Board and on an independent verification of risk models with UBS in the U.S. regulatory context. In 2020, Christoph was awarded a McCalla Professorship.
My current research is in mathematical finance (algorithmic trading and credit risk management) and mathematical economics (over-the-counter markets and the economics of digital currencies).
Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471, or E E 387 and consent of the Department.
Fall Term 2021Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471 or FIN 654 or ECON 598 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 408.
Fall Term 2021Credit for this course can be obtained twice.
Fall Term 2021 Winter Term 2022Open only to students taking the MSc non-thesis option in mathematics.
Fall Term 2021 Winter Term 2022Open only to students taking the MSc non-thesis option in mathematics.
Fall Term 2021 Winter Term 2022Open only to students taking the MSc non-thesis option in statistics.
Fall Term 2021 Winter Term 2022Open only to students taking the MSc non-thesis option in statistics.
Fall Term 2021 Winter Term 2022Open only to students taking the MSc non-thesis option in Statistics.
Fall Term 2021 Winter Term 2022Open only to students taking the MSc non-thesis option in Statistics.
Fall Term 2021