Lars Niemann

I am currently a Ph.D. student under the supervision of Thorsten Schmidt in the project Dynamic Modelling of Uncertainties in Financial Markets, funded by the DFG.

Research subjects

Financial mathematics
Model risk
Stochastic analysis
Machine Learning

Publications & Preprints

David Criens and Lars Niemann: Markov selections and Feller properties of nonlinear diffusions, Stochastic Processes and Their Applications, Volume 173, 2024.
Lars Niemann and Thorsten Schmidt: A conditional version of the second fundamental theorem of asset pricing in discrete time, Frontiers of Mathematical Finance, early access online, 2024.
David Criens and Lars Niemann: A class of multidimensional nonlinear diffusions with the Feller property, Statistics and Probability Letters, Volume 208, 2024.
David Criens and Lars Niemann: A stochastic representation theorem for sublinear semigroups with non-local generators, 2023, submitted, arXiv.

David Criens and Lars Niemann: Nonlinear semimartingales and Markov processes with jumps, 2023, submitted, arXiv.
David Criens and Lars Niemann: Robust utility maximization with nonlinear semimartingales, Mathematics and Financial Economics, 17, 499-536, 2023.
David Criens and Lars Niemann: Nonlinear continuous semimartingales, Electronic Journal of Probability, 28(146), 1-40, 2023.

Teaching

Winter Term 2023:

Hidden Markov Models (Teaching Assistant)

Summer Term 2023:

Finanzmathematik in diskreter Zeit (Teaching Assistant)

Winter Term 2022:

Seminar: Nichtlineare Semimartingale und Markovprozesse (Teaching Assistant)

Winter Term 2021:

Seminar: Machine Learning, Robustness und Nachhaltigkeit (Teaching Assistant)

Summer Term 2021:

Seminar: Machine Learning und Finanzmathematik (Teaching Assistant)

Winter Term 2020:

Stochastic Machine Learning (Teaching Assistant)

Summer Term 2020:

Finanzmathematik in diskreter Zeit (Teaching Assistant)
Mathematics of Deep Learning (Teaching Assistant)

Address

Abteilung für Mathematische Stochastik
Albert-Ludwigs-Universität Freiburg
Ernst-Zermelo-Straße 1
79104 Freiburg i. Br. (Germany)

Raum: 223
Telefon: +49 - 761 - 203 - 5670
Fax: +49 - 761 - 203 - 5661
E-Mail: Lars[dot]Niemann[at]stochastik[dot]uni-freiburg[dot]de