Prof. Dr. Thorsten Schmidt

• thorsten.schmidt@stochastik.uni-freiburg.de

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• Tel: +49-761-203-5668
  Tel: +49-7861-203-5676
  (Sekretariat: Frau Lippek)
  Fax: +49-761-203-5661 

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Sprechstunde:

Jederzeit nach Vereinbarung. Vorzugsweise vereinbaren Sie per Email einen Termin.

• Adresse:

  Abteilung für Mathematische Stochastik 
  Albert-Ludwigs University of Freiburg 
  Ernst-Zermelo-Straße 1
  D – 79104 Freiburg
  Zimmer: 247

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CV

Thorsten Schmidt is Professor for Mathematical Stochastics at University Freiburg (successor of Ernst Eberlein) and Senior Financial Engineer at MathFinance. From 2017-2019 he was fellow of the Freiburg institute of Advanced Studies (FRIAS). Prior to this he was professor for Mathematical Finance at Chemnitz University of Technology since 2008, held a replacement Professorship from Technical University Munich in 2008 and was Associate Professor at University of Leipzig from 2004 on. Besides many stays at leading universities, he was guest professor at ETH Zurich and at Université d’Evry.

His Ph.D. he obtained from University in Giessen in 2003 on credit risk. He is Associate Editor for Mathematical Finance, International Journal of Theoretical and Applied Finance and was Associate Editor for Journal of Banking and Finance and Statistical and Probability Letters. He is an elected member of the International Statistical Institute and was member of the Board of Fachgruppe Stochastik of the German Mathematical Society. 

With numerous articles in the areas of Mathematical Finance and Probability in internationally leading journals and frequent presentations on conferences around the world, he is a well-known scientist in the area of affine models, interest rates, credit risk, incomplete information, risk management, filtering, and insurance mathematics. He has a strong background in statistics and information technology and teaches probability, mathematical finance and machine learning at the university of Freiburg. 

Further Details you may found in his CV (hier als pdf).

Editorial Activities

• Editor-in-Chief of Statistics & Risk Modeling
• Associate Editor of Mathematical Finance
• Associate Editor of International Journal of Theoretical and Applied Finance
• Former Associate Editor of Journal of Banking and Finance
• Former Associate Editor of Statistics and Probability Letters

Related Institutions

• FRIAS
• FDM
• Integrated Master Program: Master in Finance
• DMV Fachgruppe Stochastik and the ST-NET Newsletter
• Bachelier Finance SocietyDGVFM

Publikationen

See my publications and citations at google scholar 

Editor of  a special volume in Risks on „Machine Learning in Finance, Insurance and Risk Management

Preprints

1. Fadina, T., Schmidt, T. (2024) „The unfairness of epsilon-Fairness“, submitted. arXiv.
2. Robertson, J., Awad, N., Schmidt, T. Hutter, F. (2024) „Fairness Metric Impossibility: Investigating and Addressing Conflicts“, Submitted.
3. Marcin Pitera, Thorsten Schmidt, Łukasz Stettner (2023) „A novel scaling approach for unbiased adjustment of risk estimators“, submitted. arXiv.
4. Ormaniec, W., Pitera, M, Safarveisi, S. and Schmidt, T. (2022), „Estimating value at risk: LSTM vs. GARCH“, submitted. arXiv. 

Publications

1. Ritter, M., Oberpriller, K. and Schmidt, T. (2024) „Robust asymptotic insurance-finance arbitrage“, forthcoming in European Actuarial Journal . arXiv Geuchen, B, Oberpriller, K. and Schmidt, T. (2024)
2. „Classical and deep pricing for path-dependent options in non-linear generalized affine models“, Forthcoming in International Journal of Theoretical and Applied Finance. arXiv. 
3. Niemann, L. and Schmidt, T. (2024), „A conditional version of the second fundamental theorem of asset pricing in discrete time“, Frontiers of Mathematical Finance (Open access)

Lehre

Im Wintersemester werden folgende Lehrveranstaltungen angeboten:

• Stochastik I
• Mathematische Statistik
• Ein Seminar zu Robustheit, Nachhaltigkeit und Maschinellem Lernen

Für weitere Informationen schauen Sie bitte auf die Seite Lehre. Frühere Vorlesungen:

• Finanzmathematik
• Stochastische Integration
• Funktionalanalysis
• Finanzmathematik in diskreter Zeit

• Wahrscheinlichkeitstheorie (Assistent: Marc Weber)
• Seminar: Stochastisches Maschinelles Lernen

• Stochastik (Teil 2) (eine Einführung, Assistent: Marc Weber)
• Seminar: Nichtlineare und robuste Stochastik 
• Finanzmathematik in diskreter Zeit
• Künstliche Intelligenz (Maschinelles Lernen) aus einem probabilistischen Blickwinkel

Workshops

Workshops are an essential resource of exchange of ideas and therefore constitute an important part of a mathematicians life. I (co-)origanize(d) the following workshops / conferences

• Oberwolfach workshop New Challenges in the Interplay between Finance and Insurance, Oct 2020.
• The 12th Freiburg-Padova-Wien-Zurich Workshop in Padova.
• The 10th Freiburg-Wien-Zürich Workshop at Wolfgangssee. 
• Workshop at FRIAS on model risk and robust finance, May 16 – May 18, 2018. 
• 2-monthly workshops at FRIAS on finance and insurance.
• The machine learning round table at FRIAS.
• The German Probability and Stochastic Days in 2018 in Freiburg, together with Angelika Rohde, Eva Lütkebohmert-Holtz, Philipp Harms, and Peter Pfaffelhuber
• Robust Methods in Probability & Finance,  ICERM at Brown University, June 19-23, 2017.
• The FWZ (Freiburg – Vienna – Zurich) Seminar together with Christa Cuchiero, Irene Klein and Josef Teichmann
• The Freiburg Ski-Seminar (10. – 12.th of January 2017) together with Carol Alexander, Ernst Eberlein and Philipp Harms
• Workshop on Interest Rates and Credit Risk, Chemnitz, 2011
• Workshop on Incomplete Information and Nonlinear Filtering in Mathematical Finance, Chemnitz, 2009

Third-party funds

• ReScale Responsable and Scalable Learning for Robots Assisting Humans (Carl-Zeiss-Stiftung)
• Insurance linked to Financial Markets: Theory & Applications (DFG)
• Dynamische Modellierung von Unsicherheiten in der Finanzmathematik (DFG), together with Christa Cuchiero, Irene Klein and Josef Teichmann.
• New Approaches to Defaultable Term Structure Models (DFG)
• Impulse Control Problems and Adaptive Numerical Solution of Quasi-Variational Inequalities in Markovian Factor Models (DFG, with Prof. Dr. Roland Herzog)
• Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk (finished, DFG – with Prof. Rüdiger Frey)
   
• Support for international scientific events: 13. Stochastik Tage Freiburg, 2018.

Participating Scientist in the GRK 597:  Analysis, Geometry and their Connection with the Natural Sciences, DFG (2000-2009)

Vorträge

• Vortrag über Finanzmathematik und künstliche Intelligenz, April 2023 im Freiburg Seminar. Slides
• MathFinance Flow Event (Nov. 2018): Deep Hedging – Vortrag über aktuelle Forschungsergebnisse in der Finanzmathematik mit Deep Neural Networks.
• Ein Vortrag von R. Wardenga über unsere gemeinsame Arbeit über affine processes with stochastic discontinuities, Lisbon 
• Unbiased Estimation of Risk: Mitgliederversammlung der Schweizer Aktuarsvereinigung, Lugano 2017. Slides 
• 16th Winter school on Mathematical Finance, Jan 2017, Lunteren, A new perspective on multiple yield curve models.
• Bachelier Colloquium Jan 2017, Metabief. On a general approach to dynamical term structures. Slides.  
• Paris Bachelier Seminar, Nov 2016, Institut Henri Poincaré, A new perspective on multiple yield curve models.
• 7th General AMaMeF and Swissquote Conference, Sep 2015, EPFL Lausanne.Term Structure Modeling beyond the intensity paradigm.