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

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