In February, DTU Management Engineering welcomed Alex Weissensteiner as its first professor in Financial Engineering. The employment of Alex Weissensteiner marks an important step in establishing a leading research group in Financial Engineering - one of the new focus areas of DTU Management Engineering.
Financial Engineering is a multidisciplinary field relating to the creation of new financial instruments and strategies. It is the process of employing mathematical models, financial theory and computer programming skills to make pricing, hedging, trading and portfolio management decisions. Financial Engineering aims to precisely control the financial risk that a strategy or a financial product takes on.
Financial Engineering can be applied to many different asset classes including equity, fixed income (e.g. bonds), commodities such as oil or gold as well as derivatives, swaps, futures, forwards, options, and instruments with embedded options.
Who is Alex Weissensteiner?
Alex finished his PhD in 2003 and received his “Habilitation” from the Leopold-Franzens University Innsbruck (Austria) in 2010. From 2010-2013 he was employed at the Free University of Bozen (Italy), School of Economics and Management. His fields of research are in the intersection of finance, optimisation and mathematical modeling. The main topics covered by his scientific publications are asset allocation, asset-liability management, stochastic (linear-) programming (SLP), and neural networks.
Furthermore, in the years from 2004 to 2006 he was involved in the foundation of a new regional bank with focus on private banking and asset allocation in Italy. In terms of leadership, he was responsible for the finance department, i.e. the strategic choice of the models and products as well as the IT implementation and/or adaption of existing solutions available on the market.