English Intern


    Prof. Dr. Tom Fischer


    My current research focus is
    • structural models of financial networks, in particular 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.

    Scroll to the bottom of the page for my popular finance section.

    Recent Working Papers

    • Hain, J., Fischer, T.: Valuation Algorithms for Structural Models of Financial Interconnectedness.
      arXiv:1501.07402v1 [q-fin.CP]
    • Fischer, T.: No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations.
      arXiv:1506.01837 [q-fin.MF]
    • Fischer, T.: No-arbitrage valuation fails in arbitrage-free complete markets.
      abstract | Article available on request.

    Refereed Articles

    • 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

    Other Work

    • 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].)
      full text
    • Fischer, T., 2004. On the decomposition of risk in life insurance. Working Paper
      full text
    • 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
      full text
    • Fischer, T., 2003. A class of coherent risk measures based on one-sided moments. Working Paper
      full text
      (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

    Popular Finance

    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
      full text
    • GOFO – Real Explanations vs. Pseudo Experts. SafeHaven. December 28, 2013. By: Tom Fischer
      full article | preprint
    • The Time Value Of Gold – Ignore It At Your Own Peril. SafeHaven. December 20, 2013. By: Tom Fischer
      full article | preprint
    • Fekete's Arbitrage Fallacy. SafeHaven. December 10, 2013. By: Tom Fischer
      full article | preprint
    • 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
      full article | 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

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