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Wolfgang M. Schmidt

Frankfurt School of Finance & Management Gemeinnützige GmbH

Prof.

Sonnemannstraße 9-11

Frankfurt am Main, 60314

Germany

  • Frankfurt School of Finance & Management Gemeinnützige GmbH

SCHOLARLY PAPERS

18

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6,751

CITATIONS
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Top 20,169

in Total Papers Citations

15

Scholarly Papers (18)

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1.

Cross Currency Swap Valuation

Number of pages: 15 Posted: 09 Apr 2009
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 2,519 (2,820)
Citation 8

Abstract:

interest rate swap, cross currency swap, basis spread

2.

Stressing Correlations and Volatilities – A Consistent Modeling Approach

Number of pages: 29 Posted: 18 Sep 2011
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 451 (49,578)

Abstract:

Correlation, Volatility, Basel III, GARCH Models

3.

Modeling Downturn LGD in a Basel Framework

Number of pages: 32 Posted: 11 Feb 2014
Nina Brumma, Konrad Urlichs and Wolfgang M. Schmidt
Global Credit Data, d-fine GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 430 (29,620)

Abstract:

Loss given default, Basel accord, economic downturn

4.

Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options

Number of pages: 36 Posted: 10 Apr 2009 Last Revised: 25 Feb 2017
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 429 (44,524)
Citation 1

Abstract:

interest rate options, convexity, quanto adjustment, change

5.

Interest Rate Convexity and the Volatility Smile

Number of pages: 28 Posted: 10 Apr 2009
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 376 (58,161)

Abstract:

interest rate options, volatility smile, convexity, option

6.

Latin Hypercube Sampling with Dependence and Applications in Finance

Number of pages: 28 Posted: 18 Sep 2008 Last Revised: 02 Apr 2009
Natalie E. Packham and Wolfgang M. Schmidt
Berlin School of Economics and Law and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 289 (74,849)

Abstract:

Monte Carlo simulation, variance reduction, Latin hypercube sampling, stratified sampling

7.

Volatility, Correlation, and the Market Trend

Number of pages: 37 Posted: 05 Sep 2012 Last Revised: 10 Oct 2012
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 236 (82,761)

Abstract:

correlation, contagion, diversification, exceedance correlation, GARCH models, stochastic delay equations

8.

CVA/DVA Wrong Way Risk Put into Practice

Number of pages: 20 Posted: 01 May 2014 Last Revised: 17 Feb 2015
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 135 (116,325)

Abstract:

counterparty default, credit valuation adjustment (CVA), debt valuation adjustment (DVA), wrong way risk, correlation

9.

Credit Gap Risk in a First Passage Time Model with Jumps

Centre for Practical Quantitative Finance Working Paper No. 22
Number of pages: 39 Posted: 19 Nov 2009
Natalie E. Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 135 (158,624)
Citation 3

Abstract:

gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes

10.

Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk

Number of pages: 22 Posted: 15 Sep 2010 Last Revised: 08 Oct 2015
Stefan Kassberger, Martin Hellmich and Wolfgang M. Schmidt
Frankfurt School of Finance & Management gemeinnützige GmbH, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 133 (159,527)

Abstract:

credit default, structural model, credit default swap, hyper-exponential jump diffusion, spectrally negative Kou process, entropy-based calibration

11.

State-Dependent Dependencies: A Continuous-Time Dynamics for Correlations

Number of pages: 43 Posted: 01 Apr 2010 Last Revised: 08 Oct 2015
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 104 (207,018)
Citation 2

Abstract:

12.

Stressing Correlations and Volatilities - A Consistent Modeling Approach

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 28 Posted: 14 Oct 2011
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 102 (217,031)

Abstract:

correlation, volatility, Basel III, GARCH models

13.

Credit Dynamics in a First Passage Time Model with Jumps

CPQF Working Paper Series No. 21
Number of pages: 21 Posted: 23 Sep 2009 Last Revised: 13 Aug 2010
Natalie E. Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 97 (217,031)
Citation 1

Abstract:

gap risk, credit spreads, credit dynamics, first passage time models, Levy processes, general Ornstein-Uhlenbeck process

14.

Static Hedging Under Maturity Mismatch

Number of pages: 28 Posted: 14 Dec 2011 Last Revised: 04 Nov 2013
Philipp A. Mayer, Natalie E. Packham and Wolfgang M. Schmidt
Graz University of Technology, Berlin School of Economics and Law and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 57 (281,084)

Abstract:

static hedging, Levy processes, additive processes

15.

Value, Size, Momentum and the Average Correlation of Stock Returns

Number of pages: 46 Posted: 24 Nov 2015
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 0 (159,527)

Abstract:

Correlation, Fama-French factors, Momentum

16.

Multivariate Markov Families of Copulas

Number of pages: 19 Posted: 08 Oct 2015
Ludger Overbeck and Wolfgang M. Schmidt
University of Giessen and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 0 (366,006)

Abstract:

Markov process, copula, Chapman-Kolmogorov equation

17.

A Functional Libor Market Model: Implementation and Application to Exposure Measurement

Number of pages: 18 Posted: 08 Oct 2015
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 0 (313,235)

Abstract:

interest rate modelling, volatility smile/skew, Libor market model, Markov functional model, potential future exposure, counterparty default

18.

On a General Class of One-Factor Models for the Term Structure of Interest Rates

FINANCE AND STOCHASTICS, Vol. I, No. 1, 1997
Posted: 02 Apr 1997
Wolfgang M. Schmidt
Frankfurt School of Finance & Management Gemeinnützige GmbH

Abstract:

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