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Prof. Dr. Rudi Zagst
Mathematical Finance
Area Of Interest
  • Financial engineering
  • Risk management
  • Asset management
Awards
  • 2. Place SCOR-Price for Actuarial Sciences (Best Supervised Master Thesis)
  • GAUSS-Price 2021: Young Talent Award for supervised PhD thesis
  • Best Teaching Award „Golden Circle“: 2. Place (Best Masters Lecture), Summer Term 2021
  • Best Teaching Award „Golden Circle“: 2. Place (Best Masters Lecture), Winter Term 2020/21
  • 1. Place SCOR-Price for Actuarial Sciences (Best Supervised Master Thesis)
  • Best Teaching Award „Golden Circle“: 3. Place (Best Masters Lecture), Winter Term 2019/20
  • Best Teaching Award „Golden Circle“: 1. Place (Best Masters Lecture), Winter Term 2017/18
  • Best Teaching Award „Golden Circle“: 2. Place (Best Masters Lecture), Summer Term 2017
  • Best Teaching Award „Golden Circle“: 3. Place (Best Masters Lecture), Winter Term 2016/17
Editorship

2013 – 2019 Associate Editor: Journal of Banking and Finance (JBF)

Curriculum vitae

Rudi Zagst studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at HypoVereinsbank AG. There, he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of RiskLab GmbH – Private Research Institute for Financial Studies in 1997.

Since 1992, Prof. Zagst has held various teaching assignments at the Universities of Augsburg, St. Gallen, Munich, Toronto, Ulm and Singapore. After completing his habilitation in 2000 at the University of Ulm, Prof. Zagst accepted a call to the Technical University of Munich as Professor of Mathematical Finance in 2001, where he is Head of the Department of Mathematical Finance and Head of the ERGO Center of Excellence in Insurance. His research focuses on financial engineering, risk and asset management.

In 2003, Prof. Zagst was appointed a second member of the Faculty of Economics. Since 2004 he has been Deputy Chairman of the joint elite degree program “Finance & Information Management” of the Technical University of Munich and the University Bayreuth. Prof. Zagst works on a voluntary basis in the Munich Financial Center Initiative (FPMI) of the Bavarian State Ministry of Economic Affairs, Regional Development and Energy, in the Advisory Board of the Bavarian Research Foundation and as the Executive Board member of Ecuadorhilfe Stuttgart e.V.

In 2007, Prof. Zagst was honored by the magazine Unicum Profession with the award “Professor of the Year 2007” for his commitment to a practical education of his students.

Selected current research projects
  • Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation
  • Using general affine GARCH models in discrete-time dynamic optimization
  • Optimal dynamic investment-reinsurance for insurance products with partial guarantee
  • Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
  • Securitization of Solar Power Purchase Agreements
  • Tactical Asset Allocation using Machine Learning
Publications
  • Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi, Optimal consumption and investment in general affine GARCH models, OR Spectrum, 2024 [Full text ( DOI )]
  • Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi, Mean–variance optimization under affine GARCH: A utility-based solution, Finance Research Letters, 59, 104749, 2024 [Full text ( DOI )]
  • Escobar M.; Havrylenko Y.; Kschonnek M.; Zagst R., Decrease of capital guarantees in life insurance products: can reinsurance stop it?, Insurance: Mathematics and Economics, Vol. 105, 14-40, Insurance: Mathematics and Economics, 2022 [Full text ( DOI )]
  • Laeven R.J.A.; Milevsky M.A.; Scherer M.; Zagst R.; Zhou X.Y. , Editorial to the special issue on Behavioral Insurance: Mathematics and Economics, Insurance: Mathematics and Economics, 101, 2021, 1-5 [Full text ( DOI )]
  • Escobar-Anel, Marcos;Spies, Ben;Zagst, Rudi, Expected Utility Theory on General Affine GARCH Models, Applied Mathematical Finance, 28, 6, 2021, 477-507 [Full text ( DOI )]
  • Escobar M., Havrylenko Y. ; R. Zagst, Optimal Fees in Hedge Funds with First-Loss Compensation, Jounal of Banking and Finance, 118, 2020 [Full text ( DOI )]
  • Bertrand, P.; Kraus, J.; Zagst, R., Option-Based Performance Participation, Journal of Banking and Finance, 105, 2019, 44-61 [Full text ( DOI )]
  • Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R., Vulnerable Exotic Derivatives, Journal of Derivatives, 24, 3, 2017, 84-102 [Full text ( DOI )]
  • Escobar, M.; Neykova, D.; Zagst, R., Portfolio Optimization in Affine Models with Markov Switching, International Journal of Theoretical and Applied Finance, 18, 5, 2015, 1-46 [Full text ( DOI )]
  • Escobar, M.; Götz, B.; Zagst, R., Closed form pricing of two-asset barrier options with stochastic covariance, Applied Mathematical Finance, 21, 4, 2014, 363-397 [Full text ( DOI )]
  • Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R., Forecasting market turbulences using regime-switching models, Financial Markets and Portfolio Management, 28, 2, 2014, 139-164 [Full text ( DOI )]
  • Schlösser, A.; Zagst, R., The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis, European Actuarial Journal, 3, 2013, 407-438 [Full text ( DOI )]
  • Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R., Listed Private Equity in a Portfolio Context, 2010, 21-49 [Full text ( DOI )]
  • Kolbe, A.; Zagst, R., Valuation of Reverse Mortgages under (limited) Default Risk, European Journal of Finance, 16, 4, 2010, 305-327 [Full text ( DOI )]
  • Höcht, S.; Zagst, R., Pricing Distressed CDOs with Stochastic Recovery, Review of Derivatives Research, 13, 3, 2010, 219-244 [Full text ( DOI )]
  • Aigner, P.; Albrecht, S.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R., What Drives PE? Analyses of Success Factors for Private Equity Funds, Journal of Private Equity, 11, 4, 2008, 63-85 [Full text ( DOI )]
  • , 2002 [Full text ( DOI )]
  • , 1992 [Full text ( DOI )]
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