The current research focus of the working group lies on structural models of financial networks.
In particular, interest lies on the existence of fixed points (clearing vector solutions for all liabilities) and risk-neutral pricing when derivatives are present. This requires modeling of systemic counterparty relationships in the sense of a proper structural incorporation of network-wide holdings of all system liabilities, including derivatives. It can be thought of as an extension of the Merton/Eisenberg-Noe/Suzuki/Elsinger approach.
The working group is also interested in numerical methods for large financial networks (i.e. efficient fixed point algorithms), which is an important topic when it comes to applications such as Monte-Carlo simulations for valuation purposes or for systemic risk analysis and management.
Former research areas of the group included coherent risk measures and valuation approaches in life insurance.
Professor Fischer has publications in the following top tier journals in mathematical finance and in actuarial mathematics:
- Mathematical Finance (single author)
- Finance & Stochastics (single author)
- Insurance: Mathematics & Economics (2x single author)
- Quantitative Finance (co-author)
The working group has an excellent/extremely efficient output-to-research-income ratio.