Thorsten Schmidt
Mathematics
Freiburg Institute for Advanced Studies
Germany
Biography
Thorsten Schmidt became professor of mathematical stochastics at the University of Freiburg in the summer 2015. He is the successor of Ernst Eberlein.he also has some experience in machine learning. In his career he met interesting problems, both from statistics and financial mathematics. In Friborg he and his young research team are working on tackling these challenges with improved mathematical models and targeting. Besides Finance, this includes medicine, robotic and general in all areas where stochastic modeling is used
Research Interest
His research interests are: mathematics, mathematics, economics, economics, economics, economics, economics, economics, economics, economics.
Publications
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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
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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.
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Fellow, F. and T. Schmidt. "Dynamic defaultable term structure modeling beyond the intensity paradigm", forthcoming in Mathematical Finance
