Professor
Dr. Thorsten Schmidt

Publikationen

• R. Frey and T. Schmidt. "Pricing Corporate Securities under Noisy Asset Information", 2007. Forthcoming in Mathematical Finance. pdf

• T. Schmidt. "Correlation and correlation risk", 2008. Forthcoming in Encyclopedia of Quantitative Finance, R. Cont (Ed.) PDF

• T. Schmidt. "Copulas and dependent measurement ", 2008. Forthcoming 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 Lévy 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.

• T. Schmidt. "Credit Risk Modeling with Random Fields", 2003. Dissertation, Universität Gießen.

• 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, Universität Gießen.