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Publications

See my publications and citations at google scholar1 

 

 Preprints

  1. Cuchiero, C., Klein, I., Köstenberger, G. and Schmidt, T. (2025) "Quantitative Halmos-Savage theorems and robust large financial markets", submitted. arXiv4. 
  2. J. Heiss, F. Krach, T. Schmidt, F. Ndonfack (2024) "Nonparametric Filtering, Estimation and Classification using Neural Jump ODEs". arXiv5.
  3. Fadina, T., Schmidt, T. (2024) "The unfairness of epsilon-Fairness", submitted. arXiv.6
  4. Marcin Pitera, Thorsten Schmidt, Łukasz Stettner (2023) "A novel scaling approach for unbiased adjustment of risk estimators", submitted. arXiv.7
  5. Ormaniec, W., Pitera, M, Safarveisi, S. and Schmidt, T. (2022), "Estimating value at risk: LSTM vs. GARCH", submitted. arXiv8. 

 Publications

      1. Ritter, M., Oberpriller, K. and Schmidt, T. (2024) "Robust asymptotic insurance-finance arbitrage", European Actuarial Journal9 14, p. 929 - 963. arXiv10
      2. Geuchen, B, Oberpriller, K. and Schmidt, T. (2024) Affine models with path-dependence under parameter uncertainty and their application in Finance",  International Journal of Theoretical and Applied Finance11 27(2), 2450016. arXiv12. 
      3. Niemann, L. and Schmidt, T. (2024), "A conditional version of the second fundamental theorem of asset pricing in discrete time", Frontiers of Mathematical Finance13 (Open access)
      4. Robertson, J., Schmidt, T., Hutter, F. and Awad, N. (2024), "A Human-in-the-Loop Fairness-Aware Model Selection Framework for Complex Fairness Objective Landscapes", AIES'24 Proceedings of the 2024 AAAI/AM Conference on AI, Ethics and Society,14 Pages 1231-1242.
      5. Fontana, C., Grbac, Z. and Schmidt, T. (2023), "Term structure modeling with overnight rates beyond stochastic continuity", Mathematical Finance15 (Open access), SSRN16 arXiv17
      6. Artzner, P. , Eisele, K.-T., and Schmidt, T. (2023) "Insurance-Finance Arbitrage", Mathematical Finance18 34(3), 739-773 (Open access). SSRN19, arXiv20 A video of a short presentation at the GPSD 2021, Mannheim is available on Youtube21
      7. Criens, D, Pfaffelhuber, P. and Schmidt, T. (2023), "The martingale method revisited", Electronic Journal of Probability22 2023, Vol. 28, paper no. 19, 1-46.  arXiv23
      8. Schmidt, T., Vöneky, S. (2022), "Fostering the Common Good ", in "The Cambridge Handbook of Responsible Artificial Intelligence24" Edited by S Voeneky, P Kellmeyer, O Mueller and W Burgard. Cambridge University Press. Open Acess.
      9. Schmidt, T., Vöneky, S. (2022), "Adaptive Regulierung von hochriskanter KI – Neue Wege zum Schutz von Rechten und Gemeinwohl", in "Gefährliche Forschung?", Hinsch, W., Brandtstädter, S. (eds.), pp. 89–110, available under doi.org/10.1515/9783110769975-00825, SSRN26
      10. Lütkebohmert, E., Schmidt, T., Sester, J. (2022), "Robust Deep Hedging", Quantitative Finance27, arXiv28, SSRN29.
      11. Hackenberg, M., P. Harms, M. Pfaffenlehner, A. Pechmann, J. Kirschner, T. Schmidt, H. Binder (2022), "Deep dynamic modeling with just two time points: Can we still allow for individual trajectories?" Biometrical Journal30. arXiv31
      12. Lütkebohmert, E., Schmidt, T. and Zhu, T. (2022) "Optimal Cross-Currency Mortgage Decisions"  in International Journal of Theoretical and Applied Finance32 25(3), 2250010.
      13. Pitera, M. and Schmidt, T. (2022) "Unbiased estimation and backtesting of risk under heavy tails" Insurance, Mathematics and Economics33 Volume 104, Pages 1-14 arXiv34
      14. Eberlein E., Kabanov Y., Schmidt, T.. (2022), "Ruin Probabilities for a Sparre Andersen Model with Investments", Stochastic Processes and Applications35 144, Pages 72-84
      15. Gümbel, S. and Schmidt, T. (2021), "Defaultable term structures driven by semimartingales", IJTAF36 2150032, 27 pages. arXiv37.
      16. Rein, C., Rüschendorf, L. and Schmidt, T. (2021), "Generalized statistical arbitrage concepts and related gain strategies", Mathematical Finance38 31 (2), 563 - 594 (Open access). Working paper available on arXiv39 and SSRN40.
      17. Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2021) "Fourier based methods for the management of complex life insurance products", Insurance, Mathematics and Economics41 Volume 101, Part B, November 2021, Pages 320-341.
      18. Gümbel, S. and Schmidt, T. (2020), "Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework", Risks 8(2)42. SSRN43  arXiv44
      19. Fontana, C., Grbac, Z., Gümbel, S., Schmidt, T. (2020), "Term structure modeling for multiple curves with stochastic discontinuities", Finance & Stochastics45 24, 465–511. Available on arXiv46.
      20. Bielecki, T., Cialenco, I., Pitera, M. and Schmidt, T. (2020), "Fair capital allocation", Statistics & Risk Modeling47. 37, p. 1-24 Available on arXiv48. 
      21. Schmidt, T., Tappe, S. and Yu, W. (2020), "Infinite dimensional affine processes", Stochastic Processes and Applications49 Volume 130, Issue 12, December 2020, Pages 7131-7169. Available on arXiv50 .
      22. Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2020), "Variable annuities in a Lévy-based hybrid model with surrender risk51", Quantitative Finance 20 (5), pp. 867-886. Available on SSRN52 and on arXiv53.
      23. Agoitia Hurtado, M. and Schmidt. T. (2020), "Time-inhomogeneous polynomial processes", Stochastic Analysis and Applications54 38, 527-564. Available on arXiv55.
      24. Fadina, T. and Schmidt, T. (2019), "Default ambiguit56y", Risks57  (2019), 7(2), 64
      25. Keller-Ressel, M. Schmidt, T. and Wardenga, R., "Affine processes beyond stochastic continuity" Annals of Applied Probability58 (2019) 29 (6), 3387-3437. Available on arXiv59.
      26. Fadina, T., Neufeld, A. and Schmidt. T. (2019), "Affine processes under parameter uncertainty60". Probability, Uncertainty and Quantitative Risk, 4:5. Available on arXiv61.
      27. Fadina, T. and Schmidt, T. (2018), "Ambiguity in term structure models", working paper. Available on arXiv62.

      28. Pitera, M. and T. Schmidt. "Unbiased estimation of risk", Journal of Banking and Finance63Volume 91, June 2018, Pages 133-145. Preprint vailable here64, on SSRN65 and on arxiv:1603.0261566

      29. Gehmlich, F. and T. Schmidt. "Dynamic defaultable term structure modelling beyond the intensity paradigm", Mathematical Finance 28 (1) 2018, 211-239. arXiv:1411.485167, and doi:10.1111/mafi.1213868

      30. Fontana, C. and T. Schmidt. "General dynamic term structures under default risk", Stochastic Processes and their applications, Volume 128, Issue 10, October 2018, Pages 3353-3386 doi: 10.1016/j.spa.2017.11.00369, arxiv:1603.0319870

      31. Ferger, D., González Manteiga, W., Schmidt, T., Wang, J.-L (Eds): From "From Statistics to Mathematical Finance"71 the Festschrift in honor of Winfried Stute, Springer, 2017.

      32. T. Schmidt. "Shot-Noise Processes in Finance", 2017. in "From Statistics to Mathematical Finance"71 ,the Festschrift in honor of Winfried Stute, Springer.

      33. Gehmlich, F. and T. Schmidt. "A generalized intensity based framework for single-name credit risk", 2016, in: "Innovations in Derivatives Markets ‐ Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation"72, edited by Zorana Grbac, Kathrin Glau, Matthias Scherer, and Rudi Zagst, Springer.

      34. I. Klein, T. Schmidt and J. Teichmann. "No Arbitrage Theory for Bond Markets". In: "Advanced Modelling in Mathematical Finance", in honour of Ernst Eberlein. J. Kallsen and A. Papapantoleon (Eds.) Springer73. 

        Previous versions: "When roll-overs do not qualify as numeraire: bond markets beyond short rate paradigms",  arXiv:1310.0032 [q-fin.PR]

        74

      35. T.Schmidt, 2015, "Comment pallier au manque d’information grâce au filtrage" -- " "Filtering " Cahiers de l'Institut Louis Bachelier75. PDF76

      36. T. Schmidt and S. Tappe. "Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity", 2015, Banach Center Publications Vol 105, 211-238. arXiv:1306.6267[q-fin.PR]77

      37. T. Schmidt. "Catastrophe Insurance Modelled with Shot-Noise Processes". pdf76, Risks78 2014 2,3-24.

      38. 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 79 and arXiv:1006.2012 [q-fin.PR]80

      39. 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 81 51 (4), pp. 2036-2062, (pdf)82 and an extended version on arXiv:1303.0975 [math.NA]83

      40. 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. pdf84

      41. 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-z85 and pdf86

      42. D. Filipovic, L. Overbeck and T. Schmidt. "Dynamic CDO Term Structure Modelling", 2011. Mathematical Finance 21, 53-71. pdf87

      43. C. Czado and T. Schmidt. "Mathematische Statistik". 2011. Springer88 , 217 pages. Amazon 89 Es gibt einige Probeseiten.90

      44. 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.

      45. 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. pdf91

      46. 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)92. pdf93

      47. 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. pdf94 DOI No: 10.1142/S021902491100646295 

      48. R. Frey and T. Schmidt. "Filtering and Incomplete Information", in: "Credit Risk Frontiers", 2011, Wiley, T. Bielecki et al (Eds). pdf96

      49. 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 pdf97

      50. 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.) pdf98

      51. 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. pdf99

      52. R. Frey and T. Schmidt. "Pricing Corporate Securities under Noisy Asset Information", 2009. Mathematical Finance 19 No. 3, p. 403-421. pdf100

      53. T. Schmidt. "Correlation and correlation risk", 2020. in Encyclopedia of Quantitative Finance, R. Cont (Ed.)101 pdf102

      54. T. Schmidt. "Copulas and dependent measurement ", 2010. in Encyclopedia of Quantitative Finance, R. Cont (Ed.)101 pdf103

      55. 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

      56. 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. pdf104

      57. T.Schmidt. "Hybrid Calibration Procedures for Term Structure Models", 2008. In "New Frontiers in Risk Management", D. Olson and D. Wu (Eds.), Springer

      58. T. Schmidt and A. Novikov. "A Structural Model with Random Default Boundary", 2008. Applied Mathematical Finance 15, No. 2, p. 183- 203. pdf105

      59. K. Giesecke, T. Schmidt and S. Weber "Measuring the risk of large losses", Journal of Investment and Management 6 (4) p. 1-15, 2008. pdf106

      60. 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. pdf107

      61. 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 pdf108

      62. 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

      63. T. Schmidt. "Hybrid Calibration for Defaultable Term Structures with Gaussian Random Fields". ICMI 2007, Shanghai. p. 371-376

      64. T. Schmidt and W. Stute. "Shot-Noise Processes and the Minimal Martingale Measure", 2007. Statistics & Probability Letters. pdf109 doi:10.1016/j.spl.2007.03.019110

      65. T. Schmidt. "Coping with Copulas". Risk Books, J. Rank (Ed.), Risk Books, 2007. pdf (working paper) 111

      66. 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)112 .

      67. F. Özkan and T. Schmidt. "Credit Risk with Infinite Dimensional Levy Processes", 2005. Statistics and Decisions Vol 23, p. 281-299 pdf113 (Oldenbourg Wissenschaftsverlag, Munich/Germany http://statistics-international.de114)

      68. S. Weber and T. Schmidt. "Alternativen zu Value at Risk". Zeitschrift für die gesamte Versicherungswissenschaft 4, 2005.

      69. T. Schmidt and W. Stute. "Credit Risk -- A Survey", Contemporary Mathematics 2004, Volume 336, p. 75-115. pdf115

      70. T. Schmidt. "Credit Risk Modeling with Random Fields", 2003. Dissertation, University of Giessen.pdf116

      71. 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.

      72. T. Schmidt. "Momentenschätzung in M-ARCH Modellen", 1998. Diplomarbeit, University of Giessen.

 

Links

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