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Author ID: schmidt.thorsten Recent zbMATH articles by "Schmidt, Thorsten"
Published as: Schmidt, Thorsten
External Links: ORCID

Publications by Year

Citations contained in zbMATH Open

25 Publications have been cited 154 times in 105 Documents Cited by Year
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. Zbl 1259.91055
Frey, Rüdiger; Schmidt, Thorsten
28
2012
Pricing corporate securities under noisy asset information. Zbl 1168.91359
Frey, Rüdiger; Schmidt, Thorsten
14
2009
Dynamic CDO term structure modeling. Zbl 1229.91306
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten
13
2011
Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361
Gehmlich, Frank; Schmidt, Thorsten
12
2018
Shot-noise processes and the minimal martingale measure. Zbl 1255.91411
Schmidt, Thorsten; Stute, Winfried
11
2007
A shot noise model for financial assets. Zbl 1153.91452
Altmann, Timo; Schmidt, Thorsten; Stute, Winfried
9
2008
Credit risk with infinite dimensional Lévy processes. Zbl 1125.60069
Özkan, Fehmi; Schmidt, Thorsten
9
2005
No arbitrage theory for bond markets. Zbl 1367.91183
Klein, Irene; Schmidt, Thorsten; Teichmann, Josef
8
2016
A structural model with unobserved default boundary. Zbl 1134.91525
Schmidt, Thorsten; Novikov, Alexander
6
2008
Shot-noise driven multivariate default models. Zbl 1256.91059
Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten
6
2012
General dynamic term structures under default risk. Zbl 1410.91471
Fontana, Claudio; Schmidt, Thorsten
5
2018
On Galerkin approximations for the Zakai equation with diffusive and point process observations. Zbl 1274.60129
Frey, Rüdiger; Schmidt, Thorsten; Xu, Ling
5
2013
Pricing basket default swaps in a tractable shot noise model. Zbl 1217.91182
Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten
5
2011
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
4
2020
An infinite factor model for credit risk. Zbl 1137.91502
Schmidt, Thorsten
3
2006
Affine processes under parameter uncertainty. Zbl 1443.91309
Fadina, Tolulope; Neufeld, Ariel; Schmidt, Thorsten
3
2019
Affine processes beyond stochastic continuity. Zbl 1432.60073
Keller-Ressel, Martin; Schmidt, Thorsten; Wardenga, Robert
3
2019
Shot-noise processes in finance. Zbl 1383.62253
Schmidt, Thorsten
2
2017
Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid
2
2020
CDO term structure modelling with Lévy processes and the relation to market models. Zbl 1236.91139
Schmidt, Thorsten; Zabczyk, Jerzy
1
2012
Credit risk – a survey. Zbl 1141.91022
Schmidt, Thorsten; Stute, Winfried
1
2003
Modelling energy markets with extreme spikes. Zbl 1151.91452
Schmidt, Thorsten
1
2008
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity. Zbl 1334.60123
Schmidt, Thorsten; Tappe, Stefan
1
2015
Infinite dimensional affine processes. Zbl 1454.60114
Schmidt, Thorsten; Tappe, Stefan; Yu, Weijun
1
2020
A generalized intensity-based framework for single-name credit risk. Zbl 1398.91641
Gehmlich, Frank; Schmidt, Thorsten
1
2016
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
4
2020
Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid
2
2020
Infinite dimensional affine processes. Zbl 1454.60114
Schmidt, Thorsten; Tappe, Stefan; Yu, Weijun
1
2020
Affine processes under parameter uncertainty. Zbl 1443.91309
Fadina, Tolulope; Neufeld, Ariel; Schmidt, Thorsten
3
2019
Affine processes beyond stochastic continuity. Zbl 1432.60073
Keller-Ressel, Martin; Schmidt, Thorsten; Wardenga, Robert
3
2019
Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361
Gehmlich, Frank; Schmidt, Thorsten
12
2018
General dynamic term structures under default risk. Zbl 1410.91471
Fontana, Claudio; Schmidt, Thorsten
5
2018
Shot-noise processes in finance. Zbl 1383.62253
Schmidt, Thorsten
2
2017
No arbitrage theory for bond markets. Zbl 1367.91183
Klein, Irene; Schmidt, Thorsten; Teichmann, Josef
8
2016
A generalized intensity-based framework for single-name credit risk. Zbl 1398.91641
Gehmlich, Frank; Schmidt, Thorsten
1
2016
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity. Zbl 1334.60123
Schmidt, Thorsten; Tappe, Stefan
1
2015
On Galerkin approximations for the Zakai equation with diffusive and point process observations. Zbl 1274.60129
Frey, Rüdiger; Schmidt, Thorsten; Xu, Ling
5
2013
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. Zbl 1259.91055
Frey, Rüdiger; Schmidt, Thorsten
28
2012
Shot-noise driven multivariate default models. Zbl 1256.91059
Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten
6
2012
CDO term structure modelling with Lévy processes and the relation to market models. Zbl 1236.91139
Schmidt, Thorsten; Zabczyk, Jerzy
1
2012
Dynamic CDO term structure modeling. Zbl 1229.91306
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten
13
2011
Pricing basket default swaps in a tractable shot noise model. Zbl 1217.91182
Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten
5
2011
Pricing corporate securities under noisy asset information. Zbl 1168.91359
Frey, Rüdiger; Schmidt, Thorsten
14
2009
A shot noise model for financial assets. Zbl 1153.91452
Altmann, Timo; Schmidt, Thorsten; Stute, Winfried
9
2008
A structural model with unobserved default boundary. Zbl 1134.91525
Schmidt, Thorsten; Novikov, Alexander
6
2008
Modelling energy markets with extreme spikes. Zbl 1151.91452
Schmidt, Thorsten
1
2008
Shot-noise processes and the minimal martingale measure. Zbl 1255.91411
Schmidt, Thorsten; Stute, Winfried
11
2007
An infinite factor model for credit risk. Zbl 1137.91502
Schmidt, Thorsten
3
2006
Credit risk with infinite dimensional Lévy processes. Zbl 1125.60069
Özkan, Fehmi; Schmidt, Thorsten
9
2005
Credit risk – a survey. Zbl 1141.91022
Schmidt, Thorsten; Stute, Winfried
1
2003
all top 5

Cited by 158 Authors

13 Schmidt, Thorsten
8 Ceci, Claudia
7 Frey, Rüdiger
6 Colaneri, Katia
6 Fontana, Claudio
4 Cretarola, Alessandra
4 Cuchiero, Christa
4 Teichmann, Josef
3 Bo, Lijun
3 Coculescu, Delia
3 Dong, Yinghui
3 Eberlein, Ernst W.
3 Eksi, Zehra
3 Grbac, Zorana
3 Jeanblanc, Monique
3 Stute, Winfried
3 Wang, Guojing
2 Albeverio, Sergio A.
2 Bao, Feng
2 Bi, Junna
2 Callegaro, Giorgia
2 Capponi, Agostino
2 Filipović, Damir
2 Gehmlich, Frank
2 Gerhart, Christoph
2 Gnoatto, Alessandro
2 Gümbel, Sandrine
2 Guo, Jie
2 Guo, Junyi
2 Hainaut, Donatien
2 Jiao, Ying
2 Klein, Irene
2 Lütkebohmert, Eva
2 Mastrogiacomo, Elisa
2 Nikeghbali, Ashkan
2 Rösler, Lars
2 Runggaldier, Wolfgang J.
2 Russo, Francesco
2 Smii, Boubaker
2 Zabczyk, Jerzy
1 Ackerer, Damien
1 Altay, Sühan
1 Archibald, Richard
1 Armstrong, John
1 Astic, Fabian
1 Ballotta, Laura
1 Barski, Michał
1 Bentata, Amel
1 Berry, Tyrus
1 Bibinger, Markus
1 Boxma, Onno Johan
1 Branger, Nicole
1 Brignone, Riccardo
1 Brigo, Damiano
1 Cao, Yanzhao
1 Çetin, Umut
1 Choroś-Tomczyk, Barbara
1 Choukroun, Sébastien
1 Cont, Rama
1 Cosso, Andrea
1 Cvitanić, Jakša
1 Damian, Camilla
1 De Kock, Johan
1 Deelstra, Griselda
1 Deschatre, Thomas
1 Desmettre, Sascha
1 Di Persio, Luca
1 Dorfleitner, Gregor
1 El Karoui, Nicole
1 Elliott, Robert James
1 Fernando, B. P. W.
1 Féron, Olivier
1 Ferrari, Giorgio
1 Figueroa-López, José E.
1 Fu, Jun
1 Gaigi, M’hamed
1 Glau, Kathrin
1 Gonon, Lukas
1 Härdle, Wolfgang Karl
1 Harlim, John
1 Hausenblas, Erika
1 Herbertsson, Alexander
1 Hoffmann, Marc
1 Hölzermann, Julian
1 Huang, Wenli
1 Karpathopoulos, Nikolaos
1 Kawai, Reiichiro
1 Keller-Ressel, Martin
1 Kim, Jeong-Hoon
1 Kopperschmidt, Kai
1 Kraft, Holger
1 Li, Libo
1 Li, Shanqiu
1 Li, Xiaohu
1 Liang, Xiaoqing
1 Linetsky, Vadim
1 Liu, Wenqiong
1 Lu, Dan
1 Lu, Yi
1 Ma, Jin
...and 58 more Authors
all top 5

Cited in 47 Serials

11 Finance and Stochastics
9 Stochastic Processes and their Applications
9 International Journal of Theoretical and Applied Finance
5 Insurance Mathematics & Economics
5 Mathematical Finance
4 Quantitative Finance
4 Mathematics and Financial Economics
3 Applied Mathematics and Optimization
3 Statistics & Probability Letters
3 The Annals of Applied Probability
3 Communications in Statistics. Theory and Methods
2 Advances in Applied Probability
2 European Journal of Operational Research
2 Stochastics
2 Communications in Computational Physics
2 SIAM Journal on Financial Mathematics
2 European Actuarial Journal
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Mathematical Economics
1 Journal of Optimization Theory and Applications
1 SIAM Journal on Control and Optimization
1 Zeitschrift für Analysis und ihre Anwendungen
1 Journal of Economic Dynamics & Control
1 MCSS. Mathematics of Control, Signals, and Systems
1 Queueing Systems
1 Potential Analysis
1 Theory of Probability and Mathematical Statistics
1 Applied Mathematical Finance
1 Mathematical Problems in Engineering
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 Stochastics and Dynamics
1 Computational Management Science
1 Journal of Industrial and Management Optimization
1 AStA. Advances in Statistical Analysis
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Probability Surveys
1 Annals of Finance
1 Statistics & Risk Modeling
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Dependence Modeling
1 SIAM/ASA Journal on Uncertainty Quantification
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

Citations by Year