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Publications

See my publications and citations at google scholar 

 

 Preprints


  1. Geuchen, B, Oberpriller, K. and Schmidt, T. (2022) "Classical and deep pricing for path-dependent options in non-linear generalized affine models", submitted. arXiv
  2. Ormaniec, W., Pitera, M, Safarveisi, S. and Schmidt, T. (2022), "Estimating value at risk: LSTM vs. GARCH", submitted. arXiv
  3. Fontana, C., Grbac, Z. and Schmidt, T. (2022), "Term structure modeling with overnight rates beyond stochastic continuity", submitted, SSRN arXiv
  4. Criens, D, Pfaffelhuber, P. and Schmidt, T. (2021), "The martingale method revisited", submitted arXiv
  5. Niemann, L. and Schmidt, T. (2021), "A conditional version of the second fundamental theorem of asset pricing in discrete time", arXiv
  6. Artzner, P. , Eisele, K.-T., and Schmidt, T. (2020) "No Arbitrage in Insurance and the QP-rule", submitted. SSRNarXiv A video of a short presentation at the GPSD 2021, Mannheim is available on Youtube

 Publications


  1. Schmidt, T., Vöneky, S. (2022), "Adaptive Regulierung von hochriskanter KI – Neue Wege zum Schutz von Rechten und Gemeinwohl", in "Gefährliche Forschung?", Hinsch, W., Brandtstädter, S. (eds.), pp. 89–110, available under doi.org/10.1515/9783110769975-008, SSRN
  2. Lütkebohmert, E., Schmidt, T., Sester, J. (2022), "Robust Deep Hedging", Quantitative FinancearXivSSRN.
  3. Hackenberg, M., P. Harms, M. Pfaffenlehner, A. Pechmann, J. Kirschner, T. Schmidt, H. Binder (2022), "Deep dynamic modeling with just two time points: Can we still allow for individual trajectories?" Biometrical JournalarXiv
  4. Lütkebohmert, E., Schmidt, T. and Zhu, T. (2022) "Optimal Cross-Currency Mortgage Decisions" forthcoming in IJTAF.
  5. Pitera, M. and Schmidt, T. (2022) "Unbiased estimation and backtesting of risk under heavy tails" Insurance, Mathematics and Economics Volume 104, Pages 1-14 arXiv
  6. Eberlein E., Kabanov Y., Schmidt, T.. (2022), "Ruin Probabilities for a Sparre Andersen Model with Investments", Stochastic Processes and Applications 144, Pages 72-84
  7. Gümbel, S. and Schmidt, T. (2021), "Defaultable term structures driven by semimartingales", IJTAF 2150032, 27 pages. arXiv.
  8. Rein, C., Rüschendorf, L. and Schmidt, T. (2021), "Generalized statistical arbitrage concepts and related gain strategies", Mathematical Finance 31 (2), 563 - 594 (Open access). Working paper available on arXiv and SSRN.
  9. Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2021) "Fourier based methods for the management of complex life insurance products", Insurance, Mathematics and Economics Volume 101, Part B, November 2021, Pages 320-341.
  10. Gümbel, S. and Schmidt, T. (2020), "Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework", Risks 8(2). SSRN  arXiv
  11. Fontana, C., Grbac, Z., Gümbel, S., Schmidt, T. (2020), "Term structure modeling for multiple curves with stochastic discontinuities", Finance & Stochastics 24, 465–511. Available on arXiv.
  12. Bielecki, T., Cialenco, I., Pitera, M. and Schmidt, T. (2020), "Fair capital allocation", Statistics & Risk Modeling. 37, p. 1-24 Available on arXiv
  13. Schmidt, T., Tappe, S. and Yu, W. (2020), "Infinite dimensional affine processes", Stochastic Processes and Applications Volume 130, Issue 12, December 2020, Pages 7131-7169. Available on arXiv .
  14. Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2020), "Variable annuities in a Lévy-based hybrid model with surrender risk", Quantitative Finance 20 (5), pp. 867-886. Available on SSRN and on arXiv.
  15. Agoitia Hurtado, M. and Schmidt. T. (2020), "Time-inhomogeneous polynomial processes", Stochastic Analysis and Applications 38, 527-564. Available on arXiv.
  16. Fadina, T. and Schmidt, T. (2019), "Default ambiguity", Risks  (2019), 7(2), 64
  17. Keller-Ressel, M. Schmidt, T. and Wardenga, R., "Affine processes beyond stochastic continuity" Annals of Applied Probability (2019) 29 (6), 3387-3437. Available on arXiv.
  18. Fadina, T., Neufeld, A. and Schmidt. T. (2019), "Affine processes under parameter uncertainty". Probability, Uncertainty and Quantitative Risk, 4:5. Available on arXiv.
  19. Fadina, T. and Schmidt,T. (2018), "Ambiguity in term structure models", working paper. Available on arXiv.
  20. Pitera, M. and T. Schmidt. "Unbiased estimation of risk", Journal of Banking and FinanceVolume 91, June 2018, Pages 133-145. Preprint vailable here, on SSRN and on arxiv:1603.02615

  21. Gehmlich, F. and T. Schmidt. "Dynamic defaultable term structure modelling beyond the intensity paradigm", Mathematical Finance 28 (1) 2018, 211-239. arXiv:1411.4851, and doi:10.1111/mafi.12138

  22. Fontana, C. and T. Schmidt. "General dynamic term structures under default risk", Stochastic Processes and their applications, Volume 128, Issue 10, October 2018, Pages 3353-3386 doi: 10.1016/j.spa.2017.11.003, arxiv:1603.03198

  23. Ferger, D., González Manteiga, W., Schmidt, T., Wang, J.-L (Eds): From "From Statistics to Mathematical Finance" the Festschrift in honor of Winfried Stute, Springer, 2017.

  24. T. Schmidt. "Shot-Noise Processes in Finance", 2017. in "From Statistics to Mathematical Finance" ,the Festschrift in honor of Winfried Stute, Springer.

  25. Gehmlich, F. and T. Schmidt. "A generalized intensity based framework for single-name credit risk", 2016, in: "Innovations in Derivatives Markets ‐ Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation", edited by Zorana Grbac, Kathrin Glau, Matthias Scherer, and Rudi Zagst, Springer.

  26. I. Klein, T. Schmidt and J. Teichmann. "No Arbitrage Theory for Bond Markets". In: "Advanced Modelling in Mathematical Finance", in honour of Ernst Eberlein. J. Kallsen and A. Papapantoleon (Eds.) Springer

    Previous versions: "When roll-overs do not qualify as numeraire: bond markets beyond short rate paradigms",  arXiv:1310.0032 [q-fin.PR]

  27. T.Schmidt, 2015, "Comment pallier au manque d’information grâce au filtrage" -- " "Filtering " Cahiers de l'Institut Louis Bachelier. PDF

  28. T. Schmidt and S. Tappe. "Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity", 2015, Banach Center Publications Vol 105, 211-238. arXiv:1306.6267[q-fin.PR]

  29. T. Schmidt. "Catastrophe Insurance Modelled with Shot-Noise Processes". pdf, Risks 2014 2,3-24.

  30. E. Eberlein, Z. Grabc and T. Schmidt. "Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Levy processes.", 2013, SIAM Journal of Financial Mathematics 4 (1), 616-649. The paper and arXiv:1006.2012 [q-fin.PR]

  31. R. Frey, T. Schmidt and L. Xu, "On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations", 2013, SIAM Journal of Numerical Analysis 51 (4), pp. 2036-2062, (pdf) and an extended version on arXiv:1303.0975 [math.NA]

  32. R. Frey and T. Schmidt. "Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering", 2012. Finance and Stochastics 16, 105-133. pdf

  33. M. Scherer, L. Schmidt and T. Schmidt, "Shot-Noise Driven Multivariate Default Models", 2012, European Actuarial Journal, in press. DOI: 10.1007/s13385-012-0059-z and pdf

  34. D. Filipovic, L. Overbeck and T. Schmidt. "Dynamic CDO Term Structure Modelling", 2011. Mathematical Finance 21, 53-71. pdf

  35. C. Czado and T. Schmidt. "Mathematische Statistik". 2011. Springer , 217 pages. Amazon Es gibt einige Probeseiten.

  36. O. Hartmann, P. Schuetz, W. Albrich, S. Anker, B. Müller and T. Schmidt. "Time-dependent Cox regression: Serial measurement of cardiovascular biomarker proadrenomedullin improves survival prediction in patients with lower respiratory tract infection", 2012. International Journal of Cardiology.
  37. F. Gehmlich, Z. Grabc and T. Schmidt. "Pricing and Calibration in Market Models." Credit Securitisations and Derivatives, H. Scheule and D. Rösch (Eds), Wiley 2012. pdf

  38. A. Herbertsson, J. Jang and T. Schmidt. "Pricing basket default swaps in a tractable shot-noise model", 2011. Statistics and Probability letters 81, 1196-1207. (link). pdf

  39. T. Schmidt and J. Zabczyk. "CDO term structure modelling with Levy processes and the relation to market models", 2012. International Journal of Theoretical and Applied Finance 15. pdf DOI No: 10.1142/S0219024911006462 

  40. R. Frey and T. Schmidt. "Filtering and Incomplete Information", in: "Credit Risk Frontiers", 2011, Wiley, T. Bielecki et al (Eds). pdf

  41. D. Filipovic and T. Schmidt. "Pricing and Hedging of CDOs: A Top-Down Approach", 2010.in: " Contemporary Quantitative Finance", Chiarella, C. and Novikov, A. (Eds.) Springer, p. 231-254 pdf

  42. D. Filipovic, L. Overbeck and T. Schmidt. "Doubly Stochastic CDO Term Structures", 2008. Forthcoming in Proceedings of the Ascona Meeting, Dalang, Robert C.; Dozzi, Marco; Russo, Francesco (Eds.) pdf

  43. R. Gaspar and T. Schmidt. "CDOs in the light of the Current Crisis", 2010.in: "Financial Risks: New Developments in Structured Product & Credit Derivatives", M. Jeanblanc and C. Gourieroux (Eds), Economica. pdf

  44. R. Frey and T. Schmidt. "Pricing Corporate Securities under Noisy Asset Information", 2009. Mathematical Finance 19 No. 3, p. 403-421. pdf

  45. T. Schmidt. "Correlation and correlation risk", 2020. in Encyclopedia of Quantitative Finance, R. Cont (Ed.) pdf

  46. T. Schmidt. "Copulas and dependent measurement ", 2010. in Encyclopedia of Quantitative Finance, R. Cont (Ed.) pdf

  47. R. Gaspar and T. Schmidt. "On the Pricing of Collateralized Debt Obligations", 2008. In "The Credit Derivatives Handbook", G.N. Gregoriou and P. Ali (Eds), McGraw-Hill

  48. T. Schmidt. "Modelling Energy Markets with Extreme Spikes", 2008. In "Mathematical Control Theory and Finance" Grossinho, R.; Guerra, M.; Sarychev, A. Shiryaev, A (Eds.), Springer. pdf

  49. T.Schmidt. "Hybrid Calibration Procedures for Term Structure Models", 2008. In "New Frontiers in Risk Management", D. Olson and D. Wu (Eds.), Springer

  50. T. Schmidt and A. Novikov. "A Structural Model with Random Default Boundary", 2008. Applied Mathematical Finance 15, No. 2, p. 183- 203. pdf

  51. K. Giesecke, T. Schmidt and S. Weber "Measuring the risk of large losses", Journal of Investment and Management 6 (4) p. 1-15, 2008. pdf

  52. T. Schmidt and L. Xu. "Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals", 2008. Journal for Analysis and its Applications 27 No. 4, 475-489. pdf

  53. T. Altmann, T. Schmidt and W. Stute. "A Shot Noise Model for Financial Assets ", 2008. International Journal of Theoretical and Applied Finance, Vol 11, No. 1, p. 87-106 pdf

  54. T. Schmidt, S. Teis and E. Reiche. "Der Zusammenhang von EUA- und Strompreis -- eine klare Sache?", 2007. Zeitschrift f. Energiewirtschaft 31 (2), p. 155-160

  55. T. Schmidt. "Hybrid Calibration for Defaultable Term Structures with Gaussian Random Fields". ICMI 2007, Shanghai. p. 371-376

  56. T. Schmidt and W. Stute. "Shot-Noise Processes and the Minimal Martingale Measure", 2007. Statistics & Probability Letters. pdf doi:10.1016/j.spl.2007.03.019

  57. T. Schmidt. "Coping with Copulas". Risk Books, J. Rank (Ed.), Risk Books, 2007. pdf (working paper)

  58. T. Schmidt. "An Infinite Factor Model for Credit Risk", 2006. International Journal of Theoretical and Applied Finance Vol 9, No.1, p. 43-68 pdf (working paper) .

  59. F. Özkan and T. Schmidt. "Credit Risk with Infinite Dimensional Levy Processes", 2005. Statistics and Decisions Vol 23, p. 281-299 pdf (Oldenbourg Wissenschaftsverlag, Munich/Germany http://statistics-international.de)

  60. S. Weber and T. Schmidt. "Alternativen zu Value at Risk". Zeitschrift für die gesamte Versicherungswissenschaft 4, 2005.

  61. T. Schmidt and W. Stute. "Credit Risk -- A Survey", Contemporary Mathematics 2004, Volume 336, p. 75-115. pdf

  62. T. Schmidt. "Credit Risk Modeling with Random Fields", 2003. Dissertation, University of Giessen.pdf

  63. E. Lücker, K. Failing and T. Schmidt. "Determination of analytical limits in solid sampling ETAAS: a new approach towards the characterization of analytical quality in rapid methods", Fresenius J Anal Chem 2000 (366):137-141.

  64. T. Schmidt. "Momentenschätzung in M-ARCH Modellen", 1998. Diplomarbeit, University of Giessen.

 

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