Carnegie Mellon University
November 30, 2023

Mathematical Finance Group Gains Johannes Wiesel

By Kirsten Heuring

Jocelyn Duffy
  • Associate Dean for Communications, MCS
  • 412-268-9982

Johannes Wiesel creates new ways to adjust mathematical finance models, and he said Carnegie Mellon University is one of the best places for that.

"The mathematical finance group has a great reputation," said Wiesel, assistant professor in the Department of Mathematical Sciences. "I think this is a great opportunity for me to join this team and profit from the dynamics here. There's a lot of positive energy, a lot of exciting things for me to learn and a great student community."

Wiesel earned his Ph.D. from the University of Oxford. In 2021, he received the prestigious 2021 Nicola Bruti Liberati Prize, which is given annually to the best doctoral thesis in the field of mathematical sciences. He was a postdoctoral fellow at Columbia University, and he joined Carnegie Mellon's Mellon College of Science in the fall of 2023.

Wiesel's work involves determining which mathematical models best describe how financial systems work and determining how close or far away each model is from actual financial behavior.

"In the past, banks and other actors postulated a specific model, made a lot of assumptions and then got out specific outputs," Wiesel said. "After the 2007-2008 global financial crisis, people realized some of the modeling assumptions didn't take extreme events into account. Since then, what we've tried to do is to get away from looking at one specific model."

Wiesel uses a probabilistic theory called optimal transport to compare which models best fit markets. Traditionally, optimal transport is used to determine what outcomes would be the most cost effective. In mathematical finance, it can be used to compare how far off different models are from a financial system and then determine which model would be best to use in a given mathematical problem.

"Optimal transports give you quite nice tools," Wiesel said. "It has connections to different fields, like data science and statistics, and it's versatile."

In the spring semester of 2024, Wiesel will teach students in the Master of Science in Computational Finance (MSCF) program. MCSF is a joint program between the Mellon College of Science, Dietrich College of Humanities and Social Sciences, Tepper School of Business and Heinz College of Information Systems and Public Policy that allows students to get both theoretical and hands-on experience with mathematical finance.

Besides teaching MSCF students, Wiesel plans to develop a course on optimal transport for graduate students in the Department of Mathematical Sciences and the Department of Statistics.

Prasad Tetali, Alexander M. Knaster professor and department head of mathematical sciences, said that Johannes' work will have a major effect on the college.

"Johannes helps provide the much-needed reinforcement to our small  but very strong and visible - math finance group," Tetali said. "He will contribute significantly to the instruction in our successful MSCF program, as well as to frontier research in probability and mathematical finance."

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