Magnus Wiese

Independent Researcher at Independent

Speaker

Dr. Magnus Wiese is a quantitative researcher working at the intersection of mathematical finance and generative modelling. He joined J.P. Morgan's Quantitative Research group in Hans Buehler's group in 2019, where he worked on deep hedging and data-driven market simulation.

His work focuses on generative models of financial markets that are consistent with no-arbitrage. His first paper, Quant GANs, was one of the first deep generative models for financial time series. At J.P. Morgan he co-developed simulators for spot and equity option markets used to train deep hedging agents. His current research with Hans Buehler and Blanka Horvath develops GROMM, a generative option market model with an explicit risk-neutral measure for the entire option surface.

Magnus is currently an independent researcher. He holds a PhD in Financial Mathematics from the University of Kaiserslautern.