After a lectureship in mathematics and statistics at the Economic Academy Kiel, Gunter Meissner PhD joined Deutsche Bank in 1990, trading interest rate futures, swaps, and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products, which at the time were Index Amortizing Swaps, Lookback Options, and Quanto Options and Bermuda Swaptions.  In 1995/1996 Gunter was Head of Options at Deutsche Bank Tokyo. From 1997 to 2007 he was Professor of Finance at Hawaii Pacific University and from 2008 to 2013 Director of the financial engineering program at the University of Hawaii. Currently, Gunter is President of Derivatives Software (, and Adjunct Professor of Mathematical Finance at Columbia University and NYU.

Gunter Meissner has published numerous papers on derivatives and is a frequent speaker at conferences and seminars. He has authored 5 books, including his 2014 book on “Correlation Risk Modeling and Management – An Applied Guide including the Basel III Correlation Framework”. The second edition is forthcoming in 2018. He can be reached at Dr. Meissner.



  • “Correlation Risk Modeling and Management – An Applied Guide including the Basel III Correlation Framework. With Interactive Correlation Models in VBA/Excel.” John Wiley; March 2014 [Four chapters of the book are on the official study guide for the FRM (Financial Risk Manager) exam of GARP (Global Association of Risk Professionals)]; Second edition forthcoming
  • “The Definitive Guide to CDOs – Market, Application, Valuation, and Hedging”, Editor and Co-author, RISK books; September 2008
  • “Credit Derivatives – Application, Pricing, and Risk Management” John Wiley, January 2005 [Book is an official study guide for the FRM (Financial Risk Manager) exam of GARP (Global Association of Risk Professionals)]
  • “Outperform the Dow: Using Futures, Options, and Portfolio Strategies to Beat the Market”, with Randy Folsom, John Wiley, September 2000; also published in Chinese and German
  • “Trading Financial Derivatives – Futures, Swaps and Options in Theory and Application”, Simon and Schuster, January 1998



  • “Portfolio Management – Why Correlation Matters” Canadian  Pension Fund, June 2018
  • “Why so Negative on Negative Volatilities?” with Mark Burgin, Journal of Statistics and Applied Mathematics, October 2017
  • “1+1=3 Synergy Arithmetic in Economics”, with Mark Burgin, Applied Mathematics, January 2017
  • “Correlation Trading Strategies – Opportunities and Limitations” Journal of Trading, Fall 2016
  • “Extended Correlations” with Mark Burgin, Journal of Mathematical Finance, February 2016
  • “It’s all about Correlation” Wilmott Journal, October 2015
  • “A Comparative Analysis of Correlation Models in Finance”, with Claudio Albanese and David Li, Journal of Derivatives, January 2014
  • “The Valuation of Credit Default Swaps (CDSs) including Investor -Counterparty – Reference Entity Default Correlation” with Dallyn Mesarch and Alexey Olkov, Journal of Risk, December 2013
  • “The Impact of different Correlation Approaches on Valuing CDSs with Counterparty Risk” with Seth Rooder and Kristofor Fan, Quantitative Finance, March 2013
  • “Larger than One Probabilities in Financial Modeling” with Mark Burgin, Review of Economics and Finance, 2012, No.4
  • “Negative Probabilities in Financial Modeling” with Mark Burgin,  Wilmott Journal, March 2012, Issue 58
  • “Can we use the Black-Scholes-Merton Model to value Temperature Options?” with Jim Burke, International Journal of Financial Markets and Derivatives, V4, N2, December 2011
  • “CVA (Credit Value Adjustment) modeling and management – Can it prevent the next global financial crisis?” Conference Proceeding of the Asia Derivatives Conference, Beijing September 2011
  • “Negative Probabilities in Modeling Random Phenomena”, with Mark Burgin, Integration: Mathematical Theory and Application, Vol 2 Nr.3, 2012, earlier version presented at Mathematics Workshop UCLA, October 2010
  • “Modeling and Managing Liquidity Risk – Lessons from the 2008 Liquidity Crisis”, Conference Proceeding of the 8th Annual International Conference on Mathematics, Statistics, and Related Fields, Honolulu, January 2009
  • “Hedging Liquidity Risk” with Ranjan Bhaduri, Journal of Alternative Investments, January 2008
  • “Valuing Credit Default Swaps with Counterparty Risk – A combined Copula-LMM approach” with Mike Hamp and Janne Kettunen Conference Proceedings of FEA (Financial Engineering and Applications), UC Berkeley, September 2007
  • “N(-d2) and N(d2) demystified” Risk Review, August 2007
  • “Valuing Default Swaps on Correlated LMM processes,” with Janne Kettunen, Journal of Alternative Investments, Summer 2006; earlier version published in Conference Proceedings of IASTED, MIT, Cambridge
  • “Consecutive Covered Call writing – An above market strategy?” with Sandra Wu, “Technical Analysis of Stocks and Commodities”  May 2006
  • “Are Defaults Correlated? – An Empirical Study”, with Li, Li, Investment Management and Financial Innovations, January 2006
  • “A Model for a Fair Exchange Rate,” with Morgan Aries and Gianfranco Giromini, Review of Pacific Basin Financial Markets and Policies (RPBFMP), March 2005
  • “Trading Trends and Correlations”, with Sarp Cercioglu, Futures Magazine, January 2003
  • “Recent Advances in Credit Risk Management – A Comparison of five Models”, with Kristian Nielsen, Derivatives Use, Trading and Regulation, August 2002; also published as chapter 12 in Credit Derivatives and Synthetic Securitisation – A guide to commoditisation of credit risk, Vinot Kothari, editor
  • “Capturing the Volatility Smile of Options on High-tech Stocks – A combined GARCH-Neural Network Approach”, with Noriko Kawano, Journal of Economics and Finance, Fall 2001; also published in German in “Handbuch des Portfolio Managements” April 2002
  • “Understanding Options,” Honolulu Star Bulletin, March 2002
  • “The Relative Strength Index Revisited”, Futures Magazine, August 2001
  • “A Refined MACD Indicator – Evidence against the Random Walk Hypothesis?” with Kai Nolte and Albin Alex, published in ABAC Journal, August 2001, reprinted in Futures Magazine, July 2002; also published in German in  Handbuch des Risk Managements, August 2003
  • “Volatility Arbitrage in Fixed Income Markets”, Derivatives Quarterly, April 1999; also published in German in Modernes Bondmanagement, January 2001
  • “Caps, Floors, Collars”, Modernes Bondmanagement, May 1994
  • In submission: “Does International Stock-Index Arbitrage exist?” with Olivia Ng and Pedro Villarreal
  • In Submission: “A Correlation Based Portfolio Performance Measure”
  • In Submission: “Asset modeling, stochastic volatility and stochastic correlation,” with Xiang Lu
  • Work in progress: “Joint Modeling of Liquidity risk and Market Risk – A New Approach” with Robert Engle