2 citations · 4 across the 2 of their papers we have counts for
2 papers
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.MF2014★ 2 cited
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…