17 citations · 37 across the 22 of their papers we have counts for
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q-fin.MF2016★ 2 cited
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…
q-fin.MF2016
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…
q-fin.RM2016
Unbiased estimation of risk
Marcin Pitera, Thorsten Schmidt
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a…