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  • Artzner, P. , Eisele, K.-T., and Schmidt, T. (2020) "No Arbitrage in Insurance and the QP-rule", submitted. SSRN arXiv
  • 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
  • Claudio Fontana, Zorana Grbac, Sandrine Gümbel, Thorsten Schmidt (2020), "Term structure modeling for multiple curves with stochastic discontinuities", Finance & Stochastics 24, 465–511. Available on   arXiv.
  • Bielecki, T., Cialenco, I., Pitera, M. and Schmidt, T. (2020), "Fair capital allocation", Statistics & Risk Modeling. 37, p. 1-24 Available on arXiv
  • Schmidt, T., Tappe, S. and Yu, W. (2019), "Infinite dimensional affine processes", submitted. Available on arXiv .
  • Rein, C., Rüschendorf, L. and Schmidt, T. (2019), "Generalized statistical arbitrage concepts and related gain strategies", submitted. Available on arXiv and SSRN.
  • 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.
  • Fadina, T. and Schmidt, T. (2019), "Default ambiguity", Risks  (2019), 7(2), 64
  • 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.
  • Fadina, T., Neufeld, A. and Schmidt. T. (2019), "Affine processes under parameter uncertainty". Probability, Uncertainty and Quantitative Risk, 4:5. Available on arXiv.
  • Agoitia Hurtado, M. and Schmidt. T. (2020), "Time-inhomogeneous polynomial processes", Stochastic Analysis and Applications 38, 527 - 564. Available on arXiv.
  • Fadina, T. and Schmidt,T. (2018), "Ambiguity in term structure models", working paper. Available on arXiv.
  • Pitera, M. and T. Schmidt. "Unbiased estimation of risk", Journal of Banking and Finance. Preprint vailable here, on SSRN and on arxiv:1603.02615

  • 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

  • Fontana, C. and T. Schmidt. "General 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

  • 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.

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

  • 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]

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

  • 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]

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

  • 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]

  • 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]

  • 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

  • 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

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

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

  • 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.
  • 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

  • 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

  • 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 

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

  • 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

  • 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

  • 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

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

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

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

  • 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

  • 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

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

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

  • 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

  • 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

  • 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

  • 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

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

  • 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

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

  • 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) .

  • 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)

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

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

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

  • 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.

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


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