Eberlein E, Kabanov Y, and Schmidt T. Ruin probabilities for a Sparre Andersen model with investments. Stochastic Processes and their Applications 2022;144:72–84.
Rein C, Rüschendorf L, and Schmidt T. Generalized statistical arbitrage concepts and related gain strategies. Mathematical Finance 2021;31:563–594.
Fontana C, Grbac Z, Gümbel S, and Schmidt T. Term structure modelling for multiple curves with stochastic discontinuities. Finance and Stochastics 2020:1–47.
Keller-Ressel M, Schmidt T, and Wardenga R. Affine processes beyond stochastic continuity. Annals of Applied Probability 2019;29:3387–3437.
Gehmlich F and Schmidt T. Dynamic defaultable term structure modelling beyond the intensity paradigm. Mathematical Finance 2018;28:211–239.
Eberlein E, Grbac Z, and Schmidt T. Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. SIAM Journal of Financial Mathematics 1 2013;4:616–649.
Frey R, Schmidt T, and Xu L. On Galerkin approximations for the Zakai equation with diffusive and point process observations. SIAM Journal of Numerical Analysis 2013;51:2036–2062.
Frey R and Schmidt T. Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. Finance and Stochastics 2012;16:105–133.
Filipović D, Overbeck L, and Schmidt T. Dynamic CDO term structure modelling. Mathematical Finance 2011;21:53–71.
Frey R and Schmidt T. Pricing corporate securities under noisy asset information. Mathematical Finance 2009;19:403–421.
Institute of Medical Biometry and Statistics,
Faculty of Medicine and Medical Center –
University of Freiburg