Thorsten Rheinländer

Thorsten Rheinländer is a Full Professor at the Department of Financial & Actuarial Mathematics at Vienna University of Technology. His research focuses on stochastic finance, actuarial mathematics, and the application of advanced mathematical techniques to financial markets and risk management.

Research Interests:

• Stochastic finance and insurance hedging
• Valuation and hedging of derivatives
• Liquidity risk and market microstructure
• Neural networks in financial modeling
• Self-duality in stochastic processes

His recent work includes applications of machine learning to financial data classification and the analysis of Hawkes processes in market dynamics. Notable contributions include studies on barrier options, large trader impact, and longevity bonds. Current projects explore Brownian trading excursions and stochastic heat equations with multiplicative noise.

Publications: Over 20 peer-reviewed articles in top journals like Finance and Stochastics, Mathematical Finance, and Stochastic Processes and their Applications. Key themes include computational methods for derivatives pricing, risk-minimization techniques, and the development of consistent factor models.

Books: Authored/co-authored Hedging Derivatives (World Scientific, 2011) and contributed to the Encyclopedia for Quantitative Finance (Wiley, 2010).