Johannes Wiesel, visiting associate professor

"Johannes Wiesel is a well-established and internationally recognized researcher in financial mathematics with links to areas of probability theory and statistics such as optimal transport, machine learning, and robust statistics. I look forward to having him in the department to broaden and strengthen our research and teaching in financial mathematics and beyond," says Mogens Steffensen, Head of Department.

Johannes’ research focuses on mathematical finance and mathematical statistics, with a special emphasis on optimal transport of stochastic processes. He is particularly interested in the robust approach to mathematical finance, which does not start with an a priori model but rather with the information available in the markets.

Johannes aims to establish new connections to the theory of optimal transport on the one hand and robust statistics as well as machine learning on the other, to develop a universal toolbox for implementing robust and time-consistent trading strategies and risk assessment.

Johannes is currently a faculty at the Department of mathematics at Carnegie Mellon University, Pittsburgh. From 2020-2023, he was an assistant professor in the Department of statistics at Columbia University. He obtained his PhD in mathematical finance from Oxford University.

You can find Johannes in office 04.4.17.