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Thorsten Schmidt
Technische Universität Chemnitz
Chair of Financial Mathematics
Faculty of Mathematics
Reichenhainer St. 41, Room 725
09126 Chemnitz, DE - Justus-Liebig University, Gießen, Ph.D. (Mathematics -- 2003)
- Prof. Schmidt teaches Financial Mathematics at Chemnitz University of Technology. He has a strong background in statistics and probability theory and is currently working on credit risk and interest rates markets. In particular he focuses on Heath-Jarrow-Morton approaches for credit risk and CDO modelling as well as the role of incomplete information in credit risk.
- Beyond this, Prof. Schmidt works on statistical aspects of energy markets and biomarker data and the application of shot-noise models to various markets.
| Contact: | | Email address secured by Enkoder. | | Phone | +49 371 531-3762 9 | | Fax | +49 371 531-2240 9 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Pricing Pricing Corporate Securities under Noisy Asset Information
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of the University of Leipzig
(504K PDF) -- 18 pages -- May 7, 2007 Credit Modeling Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Filtering and Incomplete Information in Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of Chemnitz University of Technology
(1,171K PDF) -- 28 pages -- January 22, 2010 A Structural Model with Unobserved Default Boundary
by Thorsten Schmidt of the University of Leipzig
(282K PDF) -- 21 pages -- October 9, 2006 Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects
by Raquel M. Gaspar of Stockholm School of Economics, and
Thorsten Schmidt of the University of Leipzig
(1,461K PDF) -- 61 pages -- November 2005 Credit Derivatives Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of Chemnitz University of Technology
(392K PDF) -- 29 pages -- June 2010 Credit Risk Modeling with Gaussian Random Fields
by Thorsten Schmidt of the University of Leipzig
(494K PDF) -- 26 pages -- April 3, 2004 Collateralized Debt Obligations Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of the Macquarie University, and
Thorsten Schmidt of the Chemnitz University of Technology
(683K PDF) -- 18 pages -- January 25, 2011 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Dynamic CDO Term Structure Modelling
by Damir Filipović of the University of Vienna & Vienna University of Economics and Business Administration,
Ludger Overbeck of the University of Giessen, and
Thorsten Schmidt of Chemnitz University of Technology
(354K PDF) -- 22 pages -- April 14, 2009 Credit Correlation Coping with Copulas
by Thorsten Schmidt of the University of Leipzig
(638K PDF) -- 23 pages -- December 2006 An Infinite Factor Model for Credit Risk
by Thorsten Schmidt of the University of Leipzig
(250K PDF) -- 27 pages -- May 2005 Other Credit Measuring the Risk of Large Losses
by Kay Giesecke of Stanford University,
Thorsten Schmidt of the Universität Leipzig, and
Stefan Weber of Cornell University
(285K PDF) -- 15 pages -- Q4 2008 Book Chapters In: | Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, (February 8, 2011), Hardcover, 754 pages |  | Mathematical Control Theory and Finance
Editors: Andrey Sarychev, Albert Shiryaev, Manuel Guerra, Maria do Rosário Grossinho,
Springer, (November 30, 2010), Paperback, 420 pages |  | New Frontiers in Enterprise Risk Management
Editors: David L. Olson, Desheng Wu,
Springer, (November 30, 2010), Paperback, 236 pages |  | Contemporary Quantitative Finance
Editors: Carl Chiarella, Alexander Novikov
Springer, (August 18, 2010), Hardcover, 440 pages |  | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers
Editors: Greg N. Gregoriou, Paul U. Ali,
0071549528, (July 2, 2008), Hardcover, 528 pages |  | Copulas: From theory to application in finance
Editor: Jörn Rank,
Risk Books, (December 21, 2006), Hardcover, 350 pages |
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