Gehmlich, F. and T. Schmidt. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm", submitted.
arXiv:1411.4851
I. Klein, T. Schmidt and J. Teichmann. "When roll-overs do not qualify as numeraire: bond markets beyond short rate paradigms", submitted.
arXiv:1310.0032 [q-fin.PR]
T. Schmidt and S. Tappe. "Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity", Forthcoming in Banach Center Publications.
arXiv:1306.6267[q-fin.PR]
T. Schmidt. "Catastrophe Insurance Modelled with Shot-Noise Processes". pdf, Risks 2014 2,3-24.
E. Eberlein, Z. Grabc and T. Schmidt. "Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Levy processes.",
2013, SIAM Journal of Financial Mathematics 4 (1), 616-649. The paper and arXiv:1006.2012 [q-fin.PR]
R. Frey, T. Schmidt and L. Xu, "On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations", 2013, SIAM Journal of Numerical Analysis 51 (4), pp. 2036-2062, (pdf) and an extended version on
arXiv:1303.0975 [math.NA]
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R. Frey and T. Schmidt. "Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering", 2012. Finance and Stochastics 16, 105-133.
pdf
M. Scherer, L. Schmidt and T. Schmidt, "Shot-Noise Driven Multivariate Default Models", 2012, European Actuarial Journal, in press. DOI: 10.1007/s13385-012-0059-z and pdf
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D. Filipovic, L. Overbeck and T. Schmidt. "Dynamic CDO Term Structure Modelling", 2011.
Mathematical Finance 21, 53-71. pdf
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C. Czado and T. Schmidt. "Mathematische Statistik". 2011. Springer, 217 pages. Amazon
- O. Hartmann, P. Schuetz, W. Albrich, S. Anker, B. Müller and T. Schmidt. "Time-dependent Cox regression: Serial measurement of cardiovascular biomarker proadrenomedullin improves survival prediction in patients with lower respiratory tract infection", 2012. International Journal of Cardiology.
F. Gehmlich, Z. Grabc and T. Schmidt. "Pricing and Calibration in Market Models." Credit Securitisations and Derivatives, H. Scheule and D. Rösch (Eds), Wiley
2012. pdf
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A. Herbertsson, J. Jang and T. Schmidt. "Pricing basket default swaps in a tractable shot-noise model", 2011. Statistics and Probability letters 81, 1196 - 1207.
(link). pdf
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T. Schmidt and J. Zabczyk. "CDO term structure modelling with Levy processes and the relation to market models", 2012. International Journal of Theoretical and Applied Finance 15.
pdf DOI No: 10.1142/S0219024911006462
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R. Frey and T. Schmidt. "Filtering and Incomplete Information", in:
"Credit Risk Frontiers", 2011,
Wiley, T. Bielecki et al (Eds).
pdf
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D. Filipovic and T. Schmidt. "Pricing and Hedging of CDOs: A Top-Down Approach", 2010.in: "
Contemporary Quantitative Finance", Chiarella, C. and Novikov, A. (Eds.) Springer, p. 231 - 254
pdf
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D. Filipovic, L. Overbeck and T. Schmidt. "Doubly Stochastic CDO Term Structures", 2008.
Forthcoming in Proceedings of the Ascona Meeting, Dalang, Robert C.; Dozzi, Marco; Russo, Francesco (Eds.) pdf
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R. Gaspar and T. Schmidt. "CDOs in the light of the Current Crisis", 2010.in: "Financial Risks: New Developments in Structured Product & Credit Derivatives", M. Jeanblanc and C. Gourieroux (Eds), Economica. pdf
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R. Frey and T. Schmidt. "Pricing Corporate Securities under Noisy Asset Information", 2009.
Mathematical Finance 19 No. 3, p. 403 - 421. pdf
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T. Schmidt. "Correlation and correlation risk", 2020. in Encyclopedia of
Quantitative Finance, R. Cont (Ed.) pdf
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T. Schmidt. "Copulas and dependent measurement ", 2010. in Encyclopedia of
Quantitative Finance, R. Cont (Ed.) pdf
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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
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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
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T.Schmidt. "Hybrid Calibration Procedures for Term Structure Models", 2008.
In "New Frontiers in Risk Management", D. Olson and D. Wu (Eds.), Springer
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T. Schmidt and A. Novikov. "A Structural Model with Random Default Boundary", 2008.
Applied Mathematical Finance 15, No. 2, p. 183 - 203.
pdf
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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
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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
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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
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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
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T. Schmidt. "Hybrid Calibration for Defaultable Term Structures with Gaussian Random Fields".
ICMI 2007, Shanghai. p. 371 - 376
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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
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T. Schmidt. "Coping with Copulas". Risk Books,
J. Rank (Ed.), Risk Books, 2007.
pdf (working paper)
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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) .
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F. Özkan and T. Schmidt. "Credit Risk with Infinite Dimensional Levy Processes", 2005.
Statistics and Decisions Vol 23, p. 281-299
pdf
(Oldenbourg Wissenschaftsverlag, Munich/Germany
http://statistics-international.de)
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S. Weber and T. Schmidt. "Alternativen zu Value at Risk". Zeitschrift für die
gesamte Versicherungswissenschaft 4, 2005.
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T. Schmidt and W. Stute. "Credit Risk - A Survey", Contemporary Mathematics
2004, Volume 336, p. 75 - 115. pdf
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T. Schmidt. "Credit Risk Modeling with Random Fields", 2003. Dissertation, University
of Giessen.
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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.
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T. Schmidt. "Momentenschätzung in M-ARCH Modellen", 1998. Diplomarbeit, University of Giessen.
