Thorsten Schmidt

Available identifiers

zbMath Open schmidt.thorstenMaRDI QIDQ553039

List of research outcomes

Publication	Date of Publication	Type
Term structure modeling with overnight rates beyond stochastic continuity	2024-01-18	Paper
DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES	2022-03-11	Paper
Ruin probabilities for a Sparre Andersen model with investments	2022-01-17	Paper
Fourier based methods for the management of complex life insurance products	2021-11-19	Paper
Variable annuities in a Lévy-based hybrid model with surrender risk	2021-06-02	Paper
Infinite dimensional affine processes	2021-02-18	Paper
Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework	2020-04-16	Paper
Term structure modelling for multiple curves with stochastic discontinuities	2020-03-25	Paper
General dynamic term structures under default risk	2018-10-31	Paper
A Generalized Intensity-Based Framework for Single-Name Credit Risk	2018-10-22	Paper
DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM	2018-04-13	Paper
Shot-Noise Processes in Finance	2018-03-29	Paper
No Arbitrage Theory for Bond Markets	2017-07-31	Paper
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity	2015-07-28	Paper
Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes	2014-01-23	Paper
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations	2013-10-24	Paper
When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms	2013-09-30	Paper
Shot-noise driven multivariate default models	2013-02-05	Paper
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering	2012-11-15	Paper
Doubly Stochastic CDO Term Structures	2012-08-24	Paper
CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS	2012-04-24	Paper
Pricing basket default swaps in a tractable shot noise model	2011-07-26	Paper
Pricing and Hedging of CDOs: A Top Down Approach	2011-05-31	Paper
DYNAMIC CDO TERM STRUCTURE MODELING	2011-02-02	Paper
Mathematical statistics.	2011-01-10	Paper
PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION	2009-08-28	Paper
Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals	2008-11-27	Paper
Modelling Energy Markets with Extreme Spikes	2008-10-17	Paper
A SHOT NOISE MODEL FOR FINANCIAL ASSETS	2008-08-26	Paper
A Structural Model with Unobserved Default Boundary	2008-05-22	Paper
Shot-noise processes and the minimal martingale measure	2007-08-23	Paper
Credit risk with infinite dimensional Lévy processes	2007-08-10	Paper
AN INFINITE FACTOR MODEL FOR CREDIT RISK	2006-04-06	Paper
https://portal.mardi4nfdi.de/entity/Q4811450	2004-09-06	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Thorsten Schmidt