Wissen, was gut ist. Studieren in Chemnitz.

Publikationen

See my publications and citations at google scholar

  • C. Czado and T. Schmidt. "Mathematische Statistik". 2011. Springer, 217 pages. Amazon

  • 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

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

  • 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. Forthcoming in International Journal of Cardiology.

  • F. Gehmlich, Z. Grabc and T. Schmidt. "Pricing and Calibration in Market Models.", Forthcoming in Credit Securitisations and Derivatives, H. Scheule and D. Rösch (Eds), Wiley 2012. pdf

  • 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

  • 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 

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

  • 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

  • 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

  • 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

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

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

  • T. Schmidt. "Copulas and dependent measurement ", 2010. 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. pdf

  • 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.

Die Einträge in der Universitätsbibliographie