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Thorsten Schmidt

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. 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.

Teaching

In the current semester, Prof. Schmidt teaches

Research areas

  • Financial mathematics in general
  • Credit risk, term-structure models (including multiple yield curves, energy markets etc.)
  • Pricing and hedging of derivatives
  • Affine and polynomial processes
  • Statistics of stochastic processes
  • Nonlinear filtering 
  • Model risk, systemic risk
  • Insurance mathematics
  • Machine Learning

  

Adress: 

Abteilung für Mathematische Stochastik 
Albert-Ludwigs University of Freiburg 
Eckerstraße 1 
Zimmer 245
D - 79104 Freiburg

Tel: +49-761-203-5668
Fax: +49-761-203-5661 
E-Mail: thorsten[dot]schmidt[at]stochastik[dot]uni-freiburg[dot]de

 

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