17 citations · 37 across the 22 of their papers we have counts for
15 papers · 1 filter
Arbitrage in Estimate Nothing: an example
Johannes Brutsche, Julian Sester, Thorsten Schmidt
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers. Both physical models have strict…
Robust asymptotic insurance-finance arbitrage
Katharina Oberpriller, Moritz Ritter, Thorsten Schmidt
In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these…
Affine models with path-dependence under parameter uncertainty and their application in finance
Benedikt Geuchen, Katharina Oberpriller, Thorsten Schmidt
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and…
Term structure modelling with overnight rates beyond stochastic continuity
Claudio Fontana, Zorana Grbac, Thorsten Schmidt
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates…
Defaultable term structures driven by semimartingales
Sandrine Gümbel, Thorsten Schmidt
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the ran…
A conditional version of the second fundamental theorem of asset pricing in discrete time
Lars Niemann, Thorsten Schmidt
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framewo…
Insurance-Finance Arbitrage
Philippe Artzner, Karl-Theodor Eisele, Thorsten Schmidt
Most insurance contracts are inherently linked to financial markets, be it via interest rates, or -- as hybrid products like equity-linked life insurance and variable annuities --…
Generalized statistical arbitrage concepts and related gain strategies
Christian Rein, Ludger Rüschendorf, Thorsten Schmidt
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surel…
Variable annuities in a Lévy-based hybrid model with surrender risk
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt +1
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The s…
Term structure modeling for multiple curves with stochastic discontinuities
Claudio Fontana, Zorana Grbac, Sandrine Gümbel +1
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as f…
Ambiguity in defaultable term structure models
Tolulope Fadina, Thorsten Schmidt
We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but…
Shot-Noise Processes in Finance
Thorsten Schmidt
Shot-Noise processes constitute a useful tool in various areas, in particular in finance. They allow to model abrupt changes in a more flexible way than processes with jumps and he…
General dynamic term structures under default risk
Claudio Fontana, Thorsten Schmidt
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a defa…
A generalized intensity based framework for single-name credit risk
Frank Gehmlich, Thorsten Schmidt
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continu…
Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
Frank Gehmlich, Thorsten Schmidt
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & D…