Sie sind hier: FRIAS Fellows Fellows 2017/2018 Prof. Dr. Thorsten Schmidt

Prof. Dr. Thorsten Schmidt

Albert-Ludwigs-Universität Freiburg
Internal Senior Fellow
Oktober 2017 - September 2018


Thorsten Schmidt became professor for mathematical stochastics at University of Freiburg in the summer 2015. He is the successor of Ernst Eberlein.

His research combines financial mathematics with the area of stochastic processes and statistics and he has published papers in the area of credit risk, interest rates, affine processes, estimation of risk measures and further topics. Currently, he also developed some interest in machine learning. In his career he met interesting problems, both from Statistics and Financial Mathematics which inspire for deeper mathematical understanding by their surprising complexity. In Freiburg he and his young research team are working on tackling these challenges with improved mathematical model and targeting various applied areas where this can be useful. Besides Finance, this includes medicine, roboting and in general all areas where stochastic modelling is used.

Publikationen (Auswahl)

  • Gehmlich, F. and T. Schmidt. "Dynamic defaultable term structure modelling beyond the intensity paradigm", forthcoming in Mathematical Finance
  • E. Eberlein, Z. Grabc and T. Schmidt. "Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Levy processes.", 2013, SIAM Journal of Financial Mathematics 4 (1), 616-649.
  • R. Frey and T. Schmidt. "Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering", 2012. Finance and Stochastics 16, 105-133
  • D. Filipovic, L. Overbeck and T. Schmidt. "Dynamic CDO Term Structure Modelling", 2011. Mathematical Finance 21, 53-71.
  • R. Frey, T. Schmidt and L. Xu, "On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations", 2013, SIAM Journal of Numerical Analysis 51 (4), pp. 2036-2062,


Linking Finance and Insurance: Theory and Applications

The goal of this research group is to tackle problems which lie in the intersection of finance and insurance. Under the current market situation this is of particular interest, as the present low interest rate environment is both a big challenge for insurance companies and a key driving factor of stock markets. This shows the high topicality of this endeavor on one side and the enormous potential for future developments on the other side.  The main topics we aim  at  are  hybrid derivatives  which have equity  and  interest  rates  as underlying  instruments.  This type  of derivatives  appears  naturally  in  equity-linked  insurance  products,  variable  annuities  and other  financial products from the area of pensions and life-insurance.   Our first step is to develop fundamental results on assets of this type, in particular we are looking for valuation and risk-management methodologies. We will also cover the important question of model risk utilizing methods from robust finance and Bayesian finance. The second step is to apply these results by studying specific industry-relevant problems and developing tailor-made solutions.