17 citations · 37 across the 22 of their papers we have counts for
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q-fin.PR2013★ 3 cited
When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms
Irene Klein, Thorsten Schmidt, Josef Teichmann
We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the…
q-fin.PR2013
Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity
Stefan Tappe, Thorsten Schmidt
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of f…
math.NA2013★ 1 cited
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations
Rüdiger Frey, Thorsten Schmidt, Ling Xu
This paper studies Galerkin approximations applied to the Zakai equation of stochastic filtering. The basic idea of this approach is to project the infinite-dimensional Zakai equat…