Wolfgang Schmidt
Professor of Quantitative Finance (Emeritus)
Professor of Quantitative Finance (Emeritus)
Wolfgang Michael Schmidt studied mathematics at the Dresden Technical University (1974–1979). After his diploma, he was assistant lecturer at the Friedrich Schiller University in Jena (1979–1982), followed by a post doc position at Lomonossov state university in Moscow (1982–1983). Doctorate (Dr. rer. nat.) on “Examination of Functionals of Random Processes” in 1982. Teaching and research activities at the Institute of Stochastics at the Friedrich-Schiller-University in Jena (1983–1992). During this time, extended study visits to Tbilissi, Paris and Berlin. In 1992, Habilitation (state doctorate) on “On Strong Markov Continuous Semimartingales”. Change to Deutsche Bank AG, Frankfurt, in 1992, first in the Quantitative Research Group at Deutsche Bank Research GmbH (1992–1993). Group Head of Research & Analytics in Global Markets, OTC Derivatives at Deutsche Bank AG Frankfurt (1994–2002). Most recently, Director with global responsibility for Research & Analytics for Credit Derivatives. Professor for Quantitative Finance at the Frankfurt School of Finance & Management since September 2002.
He is the author of various publications on stochastic processes, stochastic analysis and mathematical finance.
He is the author of various publications on stochastic processes, stochastic analysis and mathematical finance.
- Finance department
- Faculty
PUBLICATIONS
Zhang, L., Schmidt, W., 2016. An approximation of small-time probability density functions in a general jump diffusion model, Applied Mathematics and Computation Vol. 273, pp. 741-758.
Becker, C., Schmidt, W., 2015. How past market movements affect correlation and volatility, Journal of International Money and Finance Vol. 50, pp. 78-107.
Overbeck, L., Schmidt, W., 2015. Multivariate Markov Families of Copulas, Dependence Modeling Vol. 3(1), pp. 159-171.
Mayer, P., Packham, N., Schmidt, W., 2015. Static hedging under maturity mismatch, Finance and Stochastics Vol. 19(3), pp. 509-539.
Packham, N., Schloegl, L., Schmidt, W., 2013. Credit gap risk in a first passage time model with jumps, Quantitative Finance Vol. 13(12), pp. 1871-1889.
Becker, C., Schmidt, W., 2013. Stressing Correlations and Volatilities: a Consistent Modeling Approach, Journal of Empirical Finance Vol. 21, pp. 174-194.
Schmidt, W., 2011. Interest rate term structure modelling, European Journal of Operational Research Vol. 214(1), pp. 1-14.
Packham, N., Schmidt, W., 2010. Latin hypercube sampling with dependence and applications in finance, Journal of Computational Finance Vol. 13(3), pp. 81-111.
Overbeck, L., Schmidt, W., 2005. Modeling Default Dependence with Threshold Models, Journal of Derivatives Vol. 12(4), pp. 10-19.
Schmidt, W., Ward, I., 2002. Pricing Default Baskets, Risk Vol. 15(1), pp. 111-114.
Schmidt, W., 1997. On a general class of one-factor models for the term structure of interest rates, Finance and Stochastics Vol. 1(1), pp. 3-24.
Liese, F., Schmidt, W., 1994. On the strong convergence, contiguity and entire separation of diffusion processes, Stochastics and Stochastics Reports Vol. 50(3/4), pp. 185-203.
Imkeller, P., Schmidt, W., 1994. Stochastic integration for some rough non-adapted processes, Mathematische Nachrichten Vol. 169(1), pp. 149-183.
Liese, F., Schmidt, W., 1993. A Note on the Convergence of Integral Functionals of Diffusion Processes: an application to strong convergence, Mathematische Nachrichten Vol. 161(1), pp. 283-289.
Engelbert, H., Schmidt, W., 1991. Strong Markov continuous local martingales and solutions of one-dimensional stochastic differential equations (Part III), Mathematische Nachrichten Vol. 151(1), pp. 149-197.
Engelbert, H., Schmidt, W., 1990. On a generalization of the theorem of P. Levy, Stochastics and Stochastics Reports Vol. 29(1), pp. 75-88.
Schmidt, W., 1990. On semimartingale diffusions and stochastic differential equations, Stochastics and Stochastics Reports Vol. 29(3), pp. 407-424.
Schmidt, W., 1989. On stochastic differential equations with reflecting barriers, Mathematische Nachrichten Vol. 142(1), pp. 135-148.
Engelbert, H., Schmidt, W., 1989. Strong Markov continuous local martingales and solutions of one-dimensional stochastic differential equations (Part II), Mathematische Nachrichten Vol. 144(1), pp. 241-281.
Engelbert, H., Schmidt, W., 1987. On the behaviour of certain Bessel functionals: an application to stochastic differential equations, Mathematische Nachrichten Vol. 131(1), pp. 219-234.
Engelbert, H., Schmidt, W., 1985. 0-1-Gesetze für die Konvergenz von Integralfunktionen gewisser Semimartingale, Mathematische Nachrichten Vol. 123(1), pp. 177-185.
Engelbert, H., Schmidt, W., 1985. On solutions of one-dimensional stochastic differential equations without drift, Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete Vol. 68(3), pp. 287-314.
Engelbert, H., Schmidt, W., 1984. On exponential local martingales connected with diffusion processes, Mathematische Nachrichten Vol. 119(1), pp. 97-115.
Engelbert, H., Schmidt, W., 1981. Zero-one law for certain functionals of the Wiener process and some applications, Comptes-rendus de l'Académie Bulgare des Sciences Vol. 34(6), pp. 759-762.
Becker, C., Schmidt, W., 2015. How past market movements affect correlation and volatility, Journal of International Money and Finance Vol. 50, pp. 78-107.
Overbeck, L., Schmidt, W., 2015. Multivariate Markov Families of Copulas, Dependence Modeling Vol. 3(1), pp. 159-171.
Mayer, P., Packham, N., Schmidt, W., 2015. Static hedging under maturity mismatch, Finance and Stochastics Vol. 19(3), pp. 509-539.
Packham, N., Schloegl, L., Schmidt, W., 2013. Credit gap risk in a first passage time model with jumps, Quantitative Finance Vol. 13(12), pp. 1871-1889.
Becker, C., Schmidt, W., 2013. Stressing Correlations and Volatilities: a Consistent Modeling Approach, Journal of Empirical Finance Vol. 21, pp. 174-194.
Schmidt, W., 2011. Interest rate term structure modelling, European Journal of Operational Research Vol. 214(1), pp. 1-14.
Packham, N., Schmidt, W., 2010. Latin hypercube sampling with dependence and applications in finance, Journal of Computational Finance Vol. 13(3), pp. 81-111.
Overbeck, L., Schmidt, W., 2005. Modeling Default Dependence with Threshold Models, Journal of Derivatives Vol. 12(4), pp. 10-19.
Schmidt, W., Ward, I., 2002. Pricing Default Baskets, Risk Vol. 15(1), pp. 111-114.
Schmidt, W., 1997. On a general class of one-factor models for the term structure of interest rates, Finance and Stochastics Vol. 1(1), pp. 3-24.
Liese, F., Schmidt, W., 1994. On the strong convergence, contiguity and entire separation of diffusion processes, Stochastics and Stochastics Reports Vol. 50(3/4), pp. 185-203.
Imkeller, P., Schmidt, W., 1994. Stochastic integration for some rough non-adapted processes, Mathematische Nachrichten Vol. 169(1), pp. 149-183.
Liese, F., Schmidt, W., 1993. A Note on the Convergence of Integral Functionals of Diffusion Processes: an application to strong convergence, Mathematische Nachrichten Vol. 161(1), pp. 283-289.
Engelbert, H., Schmidt, W., 1991. Strong Markov continuous local martingales and solutions of one-dimensional stochastic differential equations (Part III), Mathematische Nachrichten Vol. 151(1), pp. 149-197.
Engelbert, H., Schmidt, W., 1990. On a generalization of the theorem of P. Levy, Stochastics and Stochastics Reports Vol. 29(1), pp. 75-88.
Schmidt, W., 1990. On semimartingale diffusions and stochastic differential equations, Stochastics and Stochastics Reports Vol. 29(3), pp. 407-424.
Schmidt, W., 1989. On stochastic differential equations with reflecting barriers, Mathematische Nachrichten Vol. 142(1), pp. 135-148.
Engelbert, H., Schmidt, W., 1989. Strong Markov continuous local martingales and solutions of one-dimensional stochastic differential equations (Part II), Mathematische Nachrichten Vol. 144(1), pp. 241-281.
Engelbert, H., Schmidt, W., 1987. On the behaviour of certain Bessel functionals: an application to stochastic differential equations, Mathematische Nachrichten Vol. 131(1), pp. 219-234.
Engelbert, H., Schmidt, W., 1985. 0-1-Gesetze für die Konvergenz von Integralfunktionen gewisser Semimartingale, Mathematische Nachrichten Vol. 123(1), pp. 177-185.
Engelbert, H., Schmidt, W., 1985. On solutions of one-dimensional stochastic differential equations without drift, Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete Vol. 68(3), pp. 287-314.
Engelbert, H., Schmidt, W., 1984. On exponential local martingales connected with diffusion processes, Mathematische Nachrichten Vol. 119(1), pp. 97-115.
Engelbert, H., Schmidt, W., 1981. Zero-one law for certain functionals of the Wiener process and some applications, Comptes-rendus de l'Académie Bulgare des Sciences Vol. 34(6), pp. 759-762.
Schmidt, W., Engelbert, H., 1995, On the representation theorem for additive functionals, in: Dirichlet Forms and Stochastic Processes, Berlin: de Gruyter, pp. 113-125.
Schmidt, W., 1993, On the decomposition of strong Markov continuous semimartingales, in: Hans-Jürgen Engelbert, Ioanis Karatzas, Michael Röckner (eds): Stochastic Processes and Optimal Control, Yverdon: Gordon and Breach, pp. 165-176.
Engelbert, H., Schmidt, W., 1988, Continuous local martingales: strong Markov property, solutions of stochastic differential equations, and the interplay between them, in: Stochastic systems and optimization, Berlin, Heidelberg: Springer, pp. 48-74.
Engelbert, H., Schmidt, W., 1985, On one-dimensional stochastic differential equations with generalized drift, in: Michel Métivier (ed): Stochastic Differential Systems, Berlin, Heidelberg: Springer, pp. 143-155.
Engelbert, H., Schmidt, W., 1981, On the behaviour of certain functionals of the Wiener process and applications to stochastic differential equations, in: M. Arató, D. Vermes, A. V. Balakrishnan (eds): Stochastic Differential Systems, Berlin, Heidelberg: Springer, pp. 47-55.
Schmidt, W., 1993, On the decomposition of strong Markov continuous semimartingales, in: Hans-Jürgen Engelbert, Ioanis Karatzas, Michael Röckner (eds): Stochastic Processes and Optimal Control, Yverdon: Gordon and Breach, pp. 165-176.
Engelbert, H., Schmidt, W., 1988, Continuous local martingales: strong Markov property, solutions of stochastic differential equations, and the interplay between them, in: Stochastic systems and optimization, Berlin, Heidelberg: Springer, pp. 48-74.
Engelbert, H., Schmidt, W., 1985, On one-dimensional stochastic differential equations with generalized drift, in: Michel Métivier (ed): Stochastic Differential Systems, Berlin, Heidelberg: Springer, pp. 143-155.
Engelbert, H., Schmidt, W., 1981, On the behaviour of certain functionals of the Wiener process and applications to stochastic differential equations, in: M. Arató, D. Vermes, A. V. Balakrishnan (eds): Stochastic Differential Systems, Berlin, Heidelberg: Springer, pp. 47-55.
Assing, S., Schmidt, W., 1998. Continuous strong Markov processes in dimension one: a stochastic calculus approach, Berlin: Springer.
Becker, C., Schmidt, W., 2012, Stressen von Korrelationen: ein konsistentes, modellbasiertes Verfahren, in: FIRM (ed): Jahrbuch 2012, Frankfurt am Main: Frankfurter Institut für Risikomanagement und Regulierung, pp. 133-135.
Becker, C., Schmidt, W., 2012, Stressing correlations and volatilities: a consistent modeling approach, in: FIRM (ed): Yearbook 2012, Frankfurt am Main: Frankfurter Institut für Risikomanagement und Regulierung, pp. 63-65.
Schmidt, W., Ward, I., 2008, Pricing Default Baskets, in: Alexander Lipton (ed): Theory and Practice of Credit Risk Modelling, London: Risk Books, pp. 161-173.
Overbeck, L., Schmidt, W., 2005, Abhängigkeitsmodellierung mit transformierten Austrittszeiten, in: Hans-Peter Burghof, Sabine Henke, Bernd Rudolph, Philipp J Schönbucher (eds): Kreditderivate: Handbuch für die Bank- und Anlagepraxis, 2., überarb. Aufl., Stuttgart: Schäffer-Poeschel, pp. 739-750.
Schmidt, W., Ernst, D., Haug, M., 2004, Realoptionen: Spezialfragen für eine praxisorientierte Anwendung, in: Frank Richter, Christian Timmreck (eds): Unternehmensbewertung: Moderne Instrumente und Lösungsansätze, Stuttgart: Schäffer-Poeschel, pp. 397-420.
Schmidt, W., 1990, Weakly additive functionals and time changes of strong Markov processes, in: Marcus Dozzi, Hans-Jürgen Engelbert, David Nualart (eds): Stochastic Processes and Related Topics, Berlin: Akad.-Verl., pp. 145-152.
Becker, C., Schmidt, W., 2012, Stressing correlations and volatilities: a consistent modeling approach, in: FIRM (ed): Yearbook 2012, Frankfurt am Main: Frankfurter Institut für Risikomanagement und Regulierung, pp. 63-65.
Schmidt, W., Ward, I., 2008, Pricing Default Baskets, in: Alexander Lipton (ed): Theory and Practice of Credit Risk Modelling, London: Risk Books, pp. 161-173.
Overbeck, L., Schmidt, W., 2005, Abhängigkeitsmodellierung mit transformierten Austrittszeiten, in: Hans-Peter Burghof, Sabine Henke, Bernd Rudolph, Philipp J Schönbucher (eds): Kreditderivate: Handbuch für die Bank- und Anlagepraxis, 2., überarb. Aufl., Stuttgart: Schäffer-Poeschel, pp. 739-750.
Schmidt, W., Ernst, D., Haug, M., 2004, Realoptionen: Spezialfragen für eine praxisorientierte Anwendung, in: Frank Richter, Christian Timmreck (eds): Unternehmensbewertung: Moderne Instrumente und Lösungsansätze, Stuttgart: Schäffer-Poeschel, pp. 397-420.
Schmidt, W., 1990, Weakly additive functionals and time changes of strong Markov processes, in: Marcus Dozzi, Hans-Jürgen Engelbert, David Nualart (eds): Stochastic Processes and Related Topics, Berlin: Akad.-Verl., pp. 145-152.
Jokhadze, V., Schmidt, W., 2018. Measuring Model Risk in Financial Risk Management and Pricing.
Schmidt, W., 2012. Das Geschäft mit Derivaten und strukturierten Produkten: welche Rolle spielt die Bank?, CPQF Working Paper Series 33, Frankfurt am Main: Frankfurt School of Finance & Management.
Becker, C., Schmidt, W., 2011. Stressing Correlations and Volatilities: a Consistent Modeling Approach, New York: Social Science Research Network. (submitted)
Rehmet, A., Schmidt, W., Kassberger, S., 2011. Valuation of Credit Derivatives in One-Sided Jump Models.
Hellmich, M., Kassberger, S., Schmidt, W., 2010. Credit modelling under jump diffusions with exponentially distributed jumps: stable calibration, dynamics and gap risk, New York: Social Science Research Network.
Becker, C., Schmidt, W., 2010. State-Dependent Dependencies: a Continuous-Time Dynamics for Correlations, New York: Social Science Research Network. (submitted)
Schmidt, W., 2007. Default Swaps and Hedging Baskets, CPQF Working Paper Series 7, Frankfurt am Main: Frankfurt School of Finance & Management.
Boenkost, W., Schmidt, W., 2006. Interest Rate Convexity and the Volatility Smile, CPQF Working Paper Series 4, Frankfurt am Main: HfB - Business School of Finance & Management.
Boenkost, W., Schmidt, W., 2004. Cross currency swap valuation, CPQF Working Paper Series 2, Frankfurt am Main: HfB - Business School of Finance & Management.
Overbeck, L., Schmidt, W., 2003. Modeling Default Dependence with Threshold Models, Arbeitsberichte der Hochschule für Bankwirtschaft 41, Frankfurt am Main: Hochschule für Bankwirtschaft.
Boenkost, W., Schmidt, W., 2003. Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options, Arbeitsberichte der Hochschule für Bankwirtschaft 47, Frankfurt am Main: Hochschule für Bankwirtschaft.
Heidorn, T., Schmidt, W., 1998. LIBOR in Arrears: (Nachträgliche LIBOR-Feststellung), Arbeitsberichte der Hochschule für Bankwirtschaft 6, Frankfurt am Main: Hochschule für Bankwirtschaft.
Küchler, U., Schmidt, W., 1985. Stochastic differential equations for a class of quasidiffusions with natural scale, Preprint 98, Berlin: Humboldt-Univ. zu Berlin.
Schmidt, W., 2012. Das Geschäft mit Derivaten und strukturierten Produkten: welche Rolle spielt die Bank?, CPQF Working Paper Series 33, Frankfurt am Main: Frankfurt School of Finance & Management.
Becker, C., Schmidt, W., 2011. Stressing Correlations and Volatilities: a Consistent Modeling Approach, New York: Social Science Research Network. (submitted)
Rehmet, A., Schmidt, W., Kassberger, S., 2011. Valuation of Credit Derivatives in One-Sided Jump Models.
Hellmich, M., Kassberger, S., Schmidt, W., 2010. Credit modelling under jump diffusions with exponentially distributed jumps: stable calibration, dynamics and gap risk, New York: Social Science Research Network.
Becker, C., Schmidt, W., 2010. State-Dependent Dependencies: a Continuous-Time Dynamics for Correlations, New York: Social Science Research Network. (submitted)
Schmidt, W., 2007. Default Swaps and Hedging Baskets, CPQF Working Paper Series 7, Frankfurt am Main: Frankfurt School of Finance & Management.
Boenkost, W., Schmidt, W., 2006. Interest Rate Convexity and the Volatility Smile, CPQF Working Paper Series 4, Frankfurt am Main: HfB - Business School of Finance & Management.
Boenkost, W., Schmidt, W., 2004. Cross currency swap valuation, CPQF Working Paper Series 2, Frankfurt am Main: HfB - Business School of Finance & Management.
Overbeck, L., Schmidt, W., 2003. Modeling Default Dependence with Threshold Models, Arbeitsberichte der Hochschule für Bankwirtschaft 41, Frankfurt am Main: Hochschule für Bankwirtschaft.
Boenkost, W., Schmidt, W., 2003. Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options, Arbeitsberichte der Hochschule für Bankwirtschaft 47, Frankfurt am Main: Hochschule für Bankwirtschaft.
Heidorn, T., Schmidt, W., 1998. LIBOR in Arrears: (Nachträgliche LIBOR-Feststellung), Arbeitsberichte der Hochschule für Bankwirtschaft 6, Frankfurt am Main: Hochschule für Bankwirtschaft.
Küchler, U., Schmidt, W., 1985. Stochastic differential equations for a class of quasidiffusions with natural scale, Preprint 98, Berlin: Humboldt-Univ. zu Berlin.
Mayer, P., Packham, N., Schmidt, W.
Static hedging under maturity mismatch
Becker, C., Schmidt, W.
Stressed Correlations and Volatilities: how to Fulfill Requirements of the Basel Committee
Schmidt, W.
Structured Interest Rate Products & Term Structure Modelling I-IV
Packham, N., Schmidt, W.
Monte Carlo Variance Reduction: a New Universal Method for Multivariate Problems
Schmidt, W., Wystup, U.
Instalment Options: a Closed-Form Solution and the Limiting Case
Schmidt, W.
Interest Rate Convexity and the Volatility Smile
Schmidt, W.
Modelling Default Dependence and Pricing Credit Baskets
Static hedging under maturity mismatch
| World Finance Conference, World Finance & Banking Symposium, 2012, Shanghai. | |
| German Finance Association (DGF), 19th Annual Meeting, 2012, Hannover. |
Becker, C., Schmidt, W.
Stressed Correlations and Volatilities: how to Fulfill Requirements of the Basel Committee
| Karlsruher Institut für Technologie, 12th Symposium on Finance, Banking, and Insurance, 2011, Karlsruhe. |
Schmidt, W.
Structured Interest Rate Products & Term Structure Modelling I-IV
| European Working Group on Quantitative Analysis in Financial Services, Eurobanking 2009, 2009, Düsseldorf. |
Packham, N., Schmidt, W.
Monte Carlo Variance Reduction: a New Universal Method for Multivariate Problems
| European Working Group on Quantitative Analysis in Financial Services, Eurobanking 2008, 2008, Maribor. |
Schmidt, W., Wystup, U.
Instalment Options: a Closed-Form Solution and the Limiting Case
| Center for Research on Optimization and Control, Workshop on Mathematical Control Theory and Finance, 2007, Lissabon. |
Schmidt, W.
Interest Rate Convexity and the Volatility Smile
| Nordea, Eurobanking Conference Copenhagen, 2005, Kopenhagen. |
Schmidt, W.
Modelling Default Dependence and Pricing Credit Baskets
| Ecole Polytechnique Fédérale, 5th Seminar on Stochastic Analysis, Random Fields and Applications, 2005, Ascona. |
Schmidt, W.
Default Swaps and Hedging Credit Baskets, Fraunhofer Institut für Techno- und Wirtschaftsmathematik, Forschungsseminar, 2008/06/18, Kaiserslautern.
Schmidt, W.
Modeling Challenges for Credit Derivatives, Deka Bank, Vorstellung der Forschungsaktivitäten der Frankfurt School, 2008/03/20, Frankfurt am Main.
Cremers, H., Schmidt, W., Truong, T., Wystup, U., Hellmich, M.
Mathematik für Finanzderivate, Hochschule für Bankwirtschaft, Praktika-Seminar, 15.-20.12.2001, Frankfurt am Main.
Default Swaps and Hedging Credit Baskets, Fraunhofer Institut für Techno- und Wirtschaftsmathematik, Forschungsseminar, 2008/06/18, Kaiserslautern.
Schmidt, W.
Modeling Challenges for Credit Derivatives, Deka Bank, Vorstellung der Forschungsaktivitäten der Frankfurt School, 2008/03/20, Frankfurt am Main.
Cremers, H., Schmidt, W., Truong, T., Wystup, U., Hellmich, M.
Mathematik für Finanzderivate, Hochschule für Bankwirtschaft, Praktika-Seminar, 15.-20.12.2001, Frankfurt am Main.
Wolfgang Schmidt
Professor of Quantitative Finance (Emeritus)
03672 413171
OFFICE HOURS
During the lecture period
By appointment
Room
3.06
OFFICE HOURS
During the lecture period
By appointment
Room
3.06