Thorsten Schmidt

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Rüdiger FreyProfessor of Mathematics and Finance, Vienna University of Economics and BusinessVerified email at wu.ac.at
Claudia CzadoAssociate Professor for Applied Mathematical StatisticsVerified email at ma.tum.de
Raquel M. GasparISEG, Universidade LisboaVerified email at iseg.ulisboa.pt
Damir FilipovicEPFL, Swiss Finance InstituteVerified email at epfl.ch
Ernst EberleinProfessor für Mathematische Stochastik und Finanzmathematik, Universität FreiburgVerified email at stochastik.uni-freiburg.de
Marcin PiteraJagiellonian UniversityVerified email at uj.edu.pl
ludger overbeckVerified email at math.uni-giessen.de
Claudio FontanaUniversity of Padova, ItalyVerified email at math.univ-paris-diderot.fr
Stefan WeberLeibniz Universität HannoverVerified email at insurance.uni-hannover.de
Tolulope FadinaDepartment of Mathematics, University of Illinois Urbana-ChampaignVerified email at illinois.edu
Kay GieseckeProfessor of Management Science and Engineering, Stanford UniversityVerified email at stanford.edu
Josef TeichmannETH ZurichVerified email at math.ethz.ch
Irene KleinUniversity of ViennaVerified email at univie.ac.at
Laura BallottaProfessor of Mathematical Finance, Bayes Business School (formerly Cass)Verified email at city.ac.uk
Ariel NeufeldNanyang Assistant Professor in Mathematics, NTU SingaporeVerified email at ntu.edu.sg
Stefan TappeUniversity of Freiburg, Department of Mathematical StochasticsVerified email at math.uni-freiburg.de
Julian SesterNational University of Singapore, SingaporeVerified email at nus.edu.sg
Prof. Philipp SchuetzKantonsspital Aarau & University of Basel, SwitzerlandVerified email at ksa.ch
Stefan D. AnkerCharité BerlinVerified email at cachexia.de
NOVIKOV AlexanderUniversity of Technology SydneyVerified email at uts.edu.au

Thorsten Schmidt

Professor for Mathematical Stochastics, University Freiburg

Verified email at stochastik.uni-freiburg.de - Homepage

credit risk statistics stochastic differential equations CDOs


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Coping with copulas T Schmidt Copulas-From theory to application in finance 3, 1-34, 2007	283	2007
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering R Frey, T Schmidt Finance and Stochastics 16, 105-133, 2012	82	2012
Mathematische Statistik C Czado, T Schmidt Springer-Verlag, 2011	72	2011
Pricing corporate securities under noisy asset information R Frey, T Schmidt Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009	59	2009
Dynamic CDO term structure modelling D Filipovic, L Overbeck, T Schmidt Mathematical Finance 21 (1), 53-71, 2011	48	2011
Measuring the risk of large losses K Giesecke, T Schmidt, S Weber Journal of Investment Management (JOIM), Fourth Quarter, 2008	45	2008
Catastrophe insurance modeled by shot-noise processes T Schmidt Risks 2 (1), 3-24, 2014	41	2014
Affine processes under parameter uncertainty T Fadina, A Neufeld, T Schmidt Probability, uncertainty and quantitative risk 4, 1-35, 2019	37	2019
Credit risk with infinite dimensional Lévy processes F Özkan, T Schmidt Oldenbourg Wissenschaftsverlag GmbH 23 (4), 281-299, 2005	36	2005
A shot noise model for financial assets T Altmann, T Schmidt, W Stute International Journal of Theoretical and Applied Finance 11 (01), 87-106, 2008	34	2008
Term structure modelling for multiple curves with stochastic discontinuities C Fontana, Z Grbac, S Gümbel, T Schmidt Finance and Stochastics 24 (2), 465-511, 2020	31	2020
Unbiased estimation of risk M Pitera, T Schmidt Journal of Banking & Finance 91, 133-145, 2018	29	2018
On Galerkin approximations for the Zakai equation with diffusive and point process observations R Frey, T Schmidt, L Xu SIAM Journal on Numerical Analysis 51 (4), 2036-2062, 2013	28	2013
Time-dependent Cox regression: serial measurement of the cardiovascular biomarker proadrenomedullin improves survival prediction in patients with lower respiratory tract infection O Hartmann, P Schuetz, WC Albrich, SD Anker, B Mueller, T Schmidt International journal of cardiology 161 (3), 166-173, 2012	28	2012
Coping with Copulas in “Copulas: From Theory to Applications in Finance” T Schmidt Bloomberg Financial, 2006	28	2006
General dynamic term structures under default risk C Fontana, T Schmidt Stochastic Processes and their Applications 128 (10), 3353-3386, 2018	27	2018
Dynamic defaultable term structure modeling beyond the intensity paradigm F Gehmlich, T Schmidt Mathematical Finance 28 (1), 211-239, 2018	26	2018
Credit risk-a survey T Schmidt, W Stute Contemporary Mathematics 336, 75-118, 2003	25	2003
Shot-noise processes and the minimal martingale measure T Schmidt, W Stute Statistics & Probability Letters 77 (12), 1332-1338, 2007	23	2007
Dynamic CDO term structure modeling D Filipović, L Overbeck, T Schmidt Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011	22	2011

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