Thorsten Schmidt

University of Freiburg

Professor in Mathematical Stochastics

Fahnenbergplatz

Freiburg, D-79085

Germany

  • University of Freiburg

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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17

CROSSREF CITATIONS

11

Ideas:
“  Current research: stochastic machine learning, the link between finance and insurance and interest rate theory after the era of LIBOR  ”

  • University of Freiburg

Scholarly Papers (21)

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1.

Measuring the Risk of Large Losses

Journal of Investment Management (JOIM), Fourth Quarter 2008
Number of pages: 19 Posted: 01 Oct 2005 Last Revised: 10 Jan 2012
Kay Giesecke, Thorsten Schmidt and Stefan Weber
Stanford University - Department of Management Science & Engineering, University of Freiburg and Leibniz Universität Hannover - House of Insurance
Downloads 441 (114,108)
Citation 1

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Distribution-invariant risk measures, utility-based shortfall risk, average value at risk, value at risk, event risk, extreme events

2.

Pricing and Hedging of CDOs: A Top Down Approach

Number of pages: 22 Posted: 14 Sep 2009 Last Revised: 06 Dec 2009
Damir Filipović and Thorsten Schmidt
École Polytechnique Fédérale de Lausanne and University of Freiburg
Downloads 429 (117,880)

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collateralized debt obligations, single tranche CDO, variance-minimizing hedging

3.

Dynamic CDO Term Structure Modelling

Mathematical Finance, Forthcoming
Number of pages: 21 Posted: 09 Jul 2009
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
École Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
Downloads 351 (147,816)

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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads

4.

Term Structure Modelling With Overnight Rates Beyond Stochastic Continuity

Number of pages: 27 Posted: 15 Feb 2022 Last Revised: 12 Feb 2023
Claudio Fontana, Zorana Grbac and Thorsten Schmidt
University of Padova, Department of Mathematics, Université Paris VII Denis Diderot and University of Freiburg
Downloads 273 (192,562)

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Libor reform, alternative risk-free rate, SOFR, SONIA, €STR, affine processes, semimartingales, stochastic discontinuities, BSDE, local risk-minimization

5.

Robust Deep Hedging

Number of pages: 27 Posted: 30 Jun 2021 Last Revised: 29 Nov 2021
Eva Luetkebohmert, Thorsten Schmidt and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, University of Freiburg and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 191 (271,716)
Citation 2

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affine processes, Knightian uncertainty, Kolmogorov equation, deep learning, robust hedging

6.

Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects

SSE/EFI Economics and Finance Working Paper No. 616
Number of pages: 60 Posted: 17 Jul 2006 Last Revised: 09 Mar 2009
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 180 (284,949)
Citation 3

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Credit risk, reduced-form models, CDS, CDO, quadratic term structures, shot-noise

7.

Unbiased Estimation of Risk

Number of pages: 26 Posted: 27 Dec 2016 Last Revised: 02 Sep 2017
Marcin Pitera and Thorsten Schmidt
Jagiellonian University in Krakow - Department of Mathematics and University of Freiburg
Downloads 163 (310,313)
Citation 5

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value-at-risk, tail value-at-risk, expected shortfall, risk measure, estimation of risk measures, bias, risk estimation, elicitability, backtest, unbiased estimation of risk measures

8.

Generalized Statistical Arbitrage Concepts and Related Gain Strategies

Number of pages: 32 Posted: 24 Jul 2019 Last Revised: 28 Jul 2019
Christian Rein, Ludger Rüschendorf and Thorsten Schmidt
University of Freiburg - Institut für Mathematische Stochastik, University of Freiburg and University of Freiburg
Downloads 158 (318,602)
Citation 4

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statistical arbitrage, trading strategy, pairs trading, profitable strategy, good deals

9.

Credit Risk Modelling with Shot-Noise Processes

Number of pages: 25 Posted: 14 Apr 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 147 (338,238)
Citation 7

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credit portfolio risk, shot-noise processes, default dependence, affine models, local intensities, calibration, CDO

10.

Pricing Basket Default Swaps in a Tractable Shot-Noise Model

Number of pages: 18 Posted: 15 Apr 2009 Last Revised: 12 Mar 2011
Alexander Herbertsson, Jiwook Jang and Thorsten Schmidt
University of Gothenburg - Department of Economics/Centre for Finance, Macquarie University and University of Freiburg
Downloads 133 (365,662)
Citation 4

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Credit risk, intensity-based models, dependence modelling, shot noise, CDS, kth-to-default swaps

11.

Term Structure Models with Shot-Noise Effects

ISEG Advance Working Paper No. 3/2007
Number of pages: 18 Posted: 04 Jul 2008 Last Revised: 15 Dec 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 120 (395,163)
Citation 1

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Term Structure Models, Quadratic Term Structure Models, Shot-noise

12.

No Arbitrage in Insurance and the QP-Rule

Number of pages: 22 Posted: 23 Jun 2020
Philippe Artzner, Karl-Theodor Eisele and Thorsten Schmidt
University of Strasbourg - Institut de Recherche Mathématique Avancée, UMR 7501, University of Strasbourg and University of Freiburg
Downloads 113 (412,794)
Citation 1

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arbitrage, fundamental theorem of asset pricing, insurance valuation, variable annuities, hybrid products, equity-linked life insurance, enlargement of filtration, affine processes, longevity risk, corona crisis, QP-rule

13.

CDOs in the Light of the Current Crisis

FINANCIAL RISKS: NEW DEVELOPMENTS IN STRUCTURED PORDUCT & CREDIT DERIVATIVES, C. Gourieroux and M. Jeanblanc, EDS., Chapter 4, pp.33-48, Economica
Number of pages: 12 Posted: 03 Jul 2008 Last Revised: 15 Dec 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 101 (447,369)

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CDOs, credit risk, Affine, Shot-noise, Top-down

14.

Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk

Number of pages: 41 Posted: 10 Jun 2019
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine
Bayes Business School (formerly Cass) - City, University of London, University of Freiburg, University of Freiburg and affiliation not provided to SSRN
Downloads 81 (517,834)
Citation 4

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Finance, Variable Annuities, Hybrid models, Lévy processes, Surrender Risk

15.

Market Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Levy Processes

Number of pages: 34 Posted: 30 Aug 2012
Ernst Eberlein, Zorana Grbac and Thorsten Schmidt
University of Freiburg, Université Paris VII Denis Diderot and University of Freiburg
Downloads 80 (517,834)
Citation 2

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collateralized debt obligations, loss process, single tranche CDO, top-down model, market model, time-inhomogeneous Levy processes, Libor rate, forward measure, affine processes, extended Kalman filter, iTraxx

16.

Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework

Number of pages: 20 Posted: 12 May 2020
Sandrine Gümbel and Thorsten Schmidt
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg
Downloads 78 (529,540)
Citation 1

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Vasicek model, single curve markets, affine models, multi curve markets, machine learning, Gaussian process regression, filtering, Adam optimizer, conjugate gradient method, term structure models

17.

Adaptive Regulierung von hochriskanter KI – Neue Wege zum Schutz von Rechten und Gemeinwohl (Adaptive Regulation of High-Risk AI - New Ways to Protect Rights and the Common Good)

Number of pages: 21 Posted: 06 May 2022 Last Revised: 03 Jul 2023
Thorsten Schmidt and Silja Voeneky (Vöneky)
University of Freiburg and University of Freiburg - Faculty of Law
Downloads 52 (646,662)

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18.

General Dynamic Term Structures Under Default Risk

Stochastic Processes and their Applications, 2018, 128(10): 3353-3386
Number of pages: 31 Posted: 17 Apr 2018 Last Revised: 25 Aug 2019
Claudio Fontana and Thorsten Schmidt
University of Padova, Department of Mathematics and University of Freiburg
Downloads 46 (687,656)
Citation 2

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Credit Risk, HJM, Arbitrage, Forward Rate, Default Compensator, Structural Approach, Reduced-Form Approach, Large Financial Market, Recovery

19.

On the Pricing of CDOs

CREDIT DERIVATIVES HANDBOOK, Chapter 11, P.U. Ali and G.N. Gregoriou, eds., pp. 229-258, McGraw-Hill
Number of pages: 30 Posted: 04 Jul 2008 Last Revised: 20 Sep 2023
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 6 (1,013,192)
Citation 1

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CDS, CDO, First-to-default Swaps, Quadratic Term Structures, Shot-noise

20.

Fostering the Common Good – An Adaptive Approach Regulating High-Risk AI-Driven Products and Services (Adaptive Regulierung von hochriskanter KI – Neue Wege zum Schutz von Rechten und Gemeinwohl)

Brandtstädter/Hinsch, Gefährliche Forschung? Eine Debatte über Gleichheit und Differenz in der Wissenschaft, 2022
Posted: 07 Jan 2022
Silja Voeneky (Vöneky) and Thorsten Schmidt
University of Freiburg - Faculty of Law and University of Freiburg

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21.

A Shot Noise Model for Financial Assets

International Journal of Theoretical and Applied Finance
Posted: 26 Apr 2010 Last Revised: 06 May 2010
Thorsten Schmidt and Winfried Stute
University of Freiburg and University of Giessen

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Shot-noise component, jump diffusion, minimal martingale measure