My current research focus is on
- structural models of financial networks, in particular the existence of fixed points (clearing vector solutions) and risk-neutral pricing when derivatives are present,
- numerical methods for large financial networks (efficient fixed point algorithms).
Should you encounter problems downloading any of my papers, I am happy to send you one of my journal off-prints if you contact me by e-mail. Note that any pre-peer review preprints listed below (e.g. on arXiv) may contain flaws and might substantially differ from the final print version of the same article.
- Hain, J., Fischer, T.: Valuation Algorithms for Structural Models of Financial Interconnectedness.
- Fischer, T.: No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations.
- Fischer, T.: No-arbitrage valuation fails in arbitrage-free complete markets.
abstract | Article available on request.
- Karl, S., Fischer, T., 2014. Cross-ownership as a structural explanation for over- and underestimation of default probability. Quantitative Finance 14 (6), 1031–1046 (Published online: 18 Nov 2013)
full article (DOI) | arXiv
- Fischer, T., 2014. NO-ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS-OWNERSHIP. Mathematical Finance 24 (1), 97–124. (Published online: 19 Jun 2012)
full article (DOI) | remarks | arXiv
- Fischer, T., 2013. On simple representations of stopping times and stopping time sigma-algebras. Statistics and Probability Letters 83 (1), 345-349
full article (DOI) | remarks | arXiv: part 1 | arXiv: part 2
- Fischer, T., 2008. Consumption processes and positively homogeneous projection properties. Finance & Stochastics 12 (3), 357-380
full article (DOI) | arXiv | preprint
- Fischer, T., 2007. A Law of Large Numbers approach to valuation in life insurance. Insurance: Mathematics and Economics 40 (1), 35-57
full article (DOI) | preprint
- Fischer, T., May, A., Walther, B., 2003. Anpassung eines CIR-k-Modells zur Simulation der Zinsstrukturkurve. Blätter der DGVFM XXVI (3), 369-387
full article (DOI)
- Fischer, T., May, A., Walther, B., 2003. Anpassung eines CIR-1-Modells zur Simulation der Zinsstrukturkurve. Blätter der DGVFM XXVI (2), 193-206
full article (DOI) | English preprint available on request.
- Fischer, T., 2003. Risk capital allocation by coherent risk measures based on one-sided moments. Insurance: Mathematics and Economics 32 (1), 135-146
full article (DOI) | preprint
- Walther, B., May, A., Fischer, T., 2003. Fitting Yield Curve Models Using the Kalman Filter. PAMM (Proceedings of the GAMM) 3 (1), 507-508
full text (DOI)
- Fischer, T., Roehrl, A., 2003. Risk and performance optimization for portfolios of bonds and stocks. Proceedings of the International AFIR Colloquium 2003 in Maastricht full text
- 2011 - 2017: Over 630 pages of high-quality expert witness reports.
- Fischer, T., 2012. Existence, uniqueness, and minimality of the Jordan measure decomposition. Didactical Note
- Fischer, T., Roehrl, A., 2005. Optimization of performance measures based on Expected Shortfall. Working Paper (This is an improved version of the paper in the Proceedings of the International AFIR Colloquium 2003 [above].)
- Fischer, T., 2004. On the decomposition of risk in life insurance. Working Paper
- Fischer, T., 2004. Life insurance mathematics in discrete time (link). Preliminary lecture notes from the author's course at the METU (link) in Ankara
- Fischer, T., 2004. Valuation and risk management in life insurance. Ph.D. Thesis, TU Darmstadt
- Fischer, T., 2003. A class of coherent risk measures based on one-sided moments. Working Paper
(Earlier published under the titles Examples of Coherent Risk Measures Depending on One-Sided Moments and also (originally) Coherent risk measures depending on higher moments on my homepage at Heidelberg University in 2001.)
- Fischer, T., 2001. Eine Methode zur Modellierung stochastischer Abhängigkeit von Ausfallereignissen in Kreditportfolios. Working Paper, Universität Heidelberg
- Fischer, T., 1999. Bratteli-Diagramme und Cutting-and-Stacking. Diplomarbeit, Universität Heidelberg
These non-refereed publications are directed at a general audience. No academic background in finance, economics or mathematics is required to understand them.
- Fischer, T., 2016. Life Expectancy Analysis: U.S. President-Elect Donald J. Trump. Short Analysis
- GOFO – Real Explanations vs. Pseudo Experts. SafeHaven. December 28, 2013. By: Tom Fischer
- The Time Value Of Gold – Ignore It At Your Own Peril. SafeHaven. December 20, 2013. By: Tom Fischer
- Fekete's Arbitrage Fallacy. SafeHaven. December 10, 2013. By: Tom Fischer
- Gold as Part of Gresham’s Law for Interest Rates. The Matterhorn Interview: Financial journalist Lars Schall interviews Tom Fischer. Matterhorn Asset Management AG / GoldSwitzerland. December 01, 2013
full interview (original English text)
Tom Fischer sur le marché de l'or: Contango, backwardation et ratio or-argent. GoldBroker.com. December 08, 2013
full interview (same interview translated to French)
- Why gold's contango suggests central bank interference. SafeHaven. November 23, 2013. By: Tom Fischer
GATA Daily Dispatch (September 23, 2013) | preprint
- Faux Gold Arbitrage. BullionVault Gold News. September 02, 2013. By: Tom Fischer
Why backwardation in gold does not imply arbitrage...
full article | preprint
Every now and then a comment or a chart of mine makes it into the (online) press. This is mostly thanks to Dominic Frisby and his excellent articles in MoneyWeek and its newsletter MoneyMorning. The articles below mostly deal with house prices, gold (or precious metals) and general economic issues in the UK.
- Tom Fischer sur le marché de l'or: Contango, backwardation et ratio or-argent. GoldBroker.com. December 08, 2013
- http://goldswitzerland.com/gold-as-part-of-greshams-law-for-interest-rates-fischer/Gold as Part of Gresham’s Law for Interest Rates. The Matterhorn Interview: Financial journalist Lars Schall interviews Tom Fischer. Matterhorn Asset Management AG / GoldSwitzerland. December 01, 2013
- ÜBER JEDEN ZWEIFEL ERHABEN, Richtung: 15000 Dollar, FOCUS-MONEY | Nr. 12 (2013)
- Why the oil price could go a lot higher from here, MoneyMorning, 22 December 2010
- In real money, British house prices are down by 70%, MoneyMorning, 26 May 2010
- Could gold really go as high as $6,000? It's possible , MoneyMorning, 25 November 2009
- UK house prices will plummet: look at this scary chart, MoneyMorning, 11 March 2009
- Gold is shifting from West to East - along with the balance of power, MoneyMorning, 21 January 2009
- Why you should hold on to gold, MoneyMorning, 07 January 2009
- Still on Course for a House Price Crash, Business Blog, The Scotsman, 03 September 2008
- How house prices could fall by 75% from here in gold terms, MoneyMorning, 03 September 2008
- The best contrarian indicator of all: the Labour government, MoneyMorning, 21 February 2008
- Buy gold - not buy-to-let, MoneyMorning, 21 November 2007
- Buy gold not houses, MoneyWeek, 9 November 2007, p 36