Linus Wunderlich

About me

I am Lecturer in Financial Mathematics at the School of Mathematical Sciences of the Queen Mary University of London. In my work on computational finance, I combine my background in modern finite element methods with my interest in machine learning.

My research interest is unsupervised learning of PDE solutions, applying supervised learning and model order reduction as well as modern finite element methods. Also I am experienced in designing and teaching hands-on machine learning courses.

I enjoy climbing, hiking and photography and I am learning to play the guitar.

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My Publications

2023:

• Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk
  with Kathrin Glau, published open access in Annals of Operations Research,

2022:

• The deep parametric PDE method: application to option pricing
  with Kathrin Glau, published open access in Applied Mathematics and Computation,
  Sample implementation on GitHub;
• Efficient valuation of callable bonds: The dynamic Chebyshev method
  with Kathrin Glau and Mikhail Soloveitchik, Blog-post published by QuantMinds International.
• Forecasting the Olympic medal distribution – A socioeconomic machine learning model
  with Christoph Schlembach, Sascha Schmidt, Dominik Schreyer, published in Technological Forecasting and Social Change, arXiv:2012.04378;
• Hybrid Discretizations in Solid Mechanics for Non-linear and Non-smooth Problems
  with Hamid Reza Bayat, Julian Krämer, Stefanie Reese, Barbara Wohlmuth, Christian Wieners, chapter of Non-standard Discretisation Methods in Solid Mechanics (part of the Springer Lecture Notes in Applied and Computational Mechanics series).

2021:

• Machine Learning for Business Students: An Experiential Learning Approach
  with Allen Higgins, Yossi Lichtenstein, published open access in ITiCSE '21: Proceedings of the 26th ACM Conference on Innivation and Teaching in Computer Science Education;

2020:

• An approach to construct a three-dimensional isogeometric model from µ-CT scan data with an application to the bridge of a violin
  with Klaus Achterhold, Sandra Marschke, Franz Pfeiffer, Wolfgang Ring, published in in Computer Aided Geometric Design, hal-02360922v2;

2019:

• Biorthogonal splines for optimal weak patch-coupling in isogeometric analysis with applications to finite deformation elasticity
  with Alexander Seitz, Mert Deniz Alaydin, Barbara Wohlmuth, Alexander Popp, published in Computer Methods in Applied Mechanics and Engineering, arXiv:1806.11535;
• A hybrid isogeometric approach on multi-patches with applications to Kirchhoff plates and eigenvalue problems
  with Thomas Horger, Alessandro Reali, Barbara Wohlmuth, published in Computer Methods in Applied Mechanics and Engineering, arXiv:1701.06353;
• Isogeometric shape optimization for nonlinear ultrasound focusing
  with Markus Muhr, Vanja Nikolić, Barbara Wohlmuth, published in AIMS Evolution Equations and Control Theory, arXiv:1712.05228;

2018

• Numerical evaluation of discontinuous and nonconforming finite element methods in nonlinear solid mechanics
  with Hamid Reza Bayat, Julian Krämer, Stephan Wulfinghoff, Stefanie Reese, Barbara Wohlmuth, Christian Wieners, published in Computational Mechanics;

2017

• Hybrid Finite Element Methods for Non-linear and Non-smooth Problems in Solid Mechanics
  PhD Thesis, Technical University Munich;
• Reduced basis isogeometric mortar approximations for eigenvalue problems in vibroacoustics
  with Thomas Horger, Barbara Wohlmuth, published by Springer in Model Reduction of Parametrized Systems, arXiv:1606.01163;

2016

• A hybrid weakly nonconforming discretization for linear elasticity
  with Julian Krämer, Christian Wieners, Barbara Wohlmuth, published in Proceedings in Applied Mathematics and Mechanics;

2015

• Contact and mesh-tying using mortar methods
  extended abstract published in Oberwolfach Reports;
• The Influence of Quadrature Errors on Isogeometric Mortar Methods
  with Ericka Brivadis, Annalisa Buffa, Barbara Wohlmuth, published by Springer in Isogeometric Analysis and Applications 2014, arXiv:1504.05390;
• Trace and flux a priori error estimates in finite element approximations of Signorini-type problems
  with Olaf Steinbach, Barbara Wohlmuth, published in IMA Journal of Numerical Analysis, arXiv:1409.0563;
• Isogeometric mortar methods
  with Ericka Brivadis, Annalisa Buffa, Barbara Wohlmuth, published in Computer Methods in Applied Mechanics and Engineering, arXiv:1407.8313;

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My Activities

• January 2023: Start teaching Mathematical Tools for Asset Management at QMUL;

2022

• December 2022: Gave talks at the Joint Risk and Stochastics and Financial Mathematics Seminar at LSE and the Probablity and Applications Seminar at QMUL;
• September 2022: Start teaching the Masterclass in Business Analytics at QMUL;
• September 2022: Gave an invited talk at the 6th London-Paris Bachelier Workshop in Paris;
• July 2022: Taught Machine Learning for Business for the fourth time at the University College Dublin (online);

2021 and earlier

• October 2021: Presented at the Mathematical Sciences Seminar at Birkbeck University of London;
• September 2021: Starting my new position as Lecturer in Financial Mathematics at Queen Mary University of London;
• September 2021: Presenting at the German Probability and Statistic Days Mannheim;
• July 2021: Taught Machine Learning for Business for the third time at the University College Dublin. Due to the current pandemic, the course was held online;
• June 1-4, 2021: Presented the deep parametric PDE method at the SIAM Conference on Financial Mathematics and Engineering;
• March 2021: Gave an invited to talk at The Quantitative Finance Conference;
• November 2020: The fast computation of implied volatilities using Chebyshev interpolation is now available in the NAG library;
• July 2020: Teaching Machine Learning for Business for the second time at the University College Dublin. Due to the current pandemic, the course was held online;
• April 2020: Started work on the EPSRC-funded research project Deep Learning Reduced Basis Method for High-Dimensional Parametric Partial Differential Equations in Finance with PI Kathrin Glau;
• July 2019: Teaching a new block course Machine Learning for Business at the University College Dublin (joint with Yossi Lichtenstein and thankfully organised by Allen Higgins);
• July 8, 2019: Presented efficient numerical techniques for parametric problems in option pricing at the International Conference on Computational Finance;
• June 11-16, 2019: Presented Kathrin's interactive art project creating the universe at Tate Exchange, Tate Modern, London;
• November 2018: Kick-Off for our new industry funded project on the efficient computation of implied volatilities;
• September 2018: Started my work at the School of Mathematics at the Queen Mary University of London;
• November 2017: Successfully defended my PhD Thesis;
• September 2017: Visited Alessandro Reali at the University of Pavia;
• 2016: Presented Isogeometric mortar methods in vibroacoustics at the USACM Conference on Isogeometric Analysis and Meshfree Methods;
• 2015: Presented Contact and mesh-tying using mortar methods at the Oberwolfach-Workshop Computational Engineering;

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