Marek Musiela

Marek Musiela gained a PhD from the Polish Academy of Sciences in 1976 and was awarded the degree of Docteur d’Etat by the University of Grenoble in 1984. He spent 15 years at the University of New South Wales, Sydney, Australia, before joining the BNP Paribas in 2000, where he acted as a global head for one of their large research teams, working on quantitative models for credit, foreign exchange and interest rates businesses. He was the first Deputy Director of the Oxford-Man Institute, appointed in September 2012.

He is an expert in the development of and the commercial exploitation of term structure models and a co-developer of the Libor market model, also known as ‘BGM’, which became the standard market model for the pricing of interest rate products. His paper ‘The market model of interest rate dynamics’, with Brace and Gatarek, is regarded as a classic.

Working Paper

Zariphopoulou, T., Musiela, M. and Sokolova, E. (2010). Indifference valuation under forward valuation criteria: The case study of the binomial model.

Published Research

Zariphopoulou, T. and Musiela, M. (2011). Initial investment choice and optimal future allocations under time-monotone performance criteria. International Journal of Theoretical and Applied Finance. 14 (1). 61-81.
Zariphopoulou, T., Sokolova, K. and Musiela, M. (2010). Indifference valuation in incomplete binomial models. Mathematics in Action. 3 (2). 1-36.
Zariphopoulou, T. and Musiela, M. (2010). Portfolio choice under space-time monotone performance criteria. SIAM Journal on Financial Mathematics. 1. 326-365.
Zariphopoulou, T. and Musiela, M. (2010). Stochastic partial differential equations and portfolio choice. In: Chiarella, C. and Novikov, A. Contemporary Quantitative Finance. tbc: Springer Berlin Heidelberg. 195-215.