Publikationen in Fachzeitschriften

2019

  • Chen, A.; Hieber, P.; Lämmlein, L.: Regulatory measures for distressed insurance undertakings: A comparative study. Scandinavian Actuarial Journal (forthcoming), 2019 mehr…
  • Hieber, P.; Natolski, J.; Werner, R.: Fair valuation of cliquet-stlye return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal (forthcoming), 2019 mehr…
  • Bertrand, P.; Kraus, J.; Zagst, R.: Option-Based Performance Participation. Journal of Banking and Finance (105), 2019, 44-61 mehr…
  • Bienek, T.; Scherer, M.: Valuation of Contingent Guarantees using Least-Squares Monte Carlo. ASTIN Bulletin: The Journal of the IAA 49 (1), 2019, 31-56 mehr…
  • Chen, A.; Hieber, P.; Klein, J.: Tonuity: A novel individual-oriented retirement plan (forthcoming). ASTIN Bulletin 49 (1), 2019, 5-30 mehr…
  • Chen, A.; Hieber, P.; Nguyen, T.: Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research Vol. 273 (No. 3), 2019, 1119-1135 mehr…
  • Engel, J.; Pagano, A.; Scherer, M.: Reconstructing the topology of financial networks from degree distributions and reciprocity. Journal of Multivariate Analysis (172), 2019, 210-222 mehr…
  • Engel, Janina; Pagano, Andrea; Scherer, Matthias: A block-structured model for banking networks across multiple countries. Working Paper, 2019 mehr…
  • Gräler, Benedikt; Hüttner, Amelie; Scherer, Matthias: Geostatistical modeling of financial data: Estimation of large covariance matrices and imputation of missing data. Working paper, 2019 mehr…
  • Scherer, M.; Sloot, H.: Exogenous shock models: Analytical characterization and probabilistic construction. Forthcoming in Metrika, 2019 mehr…
  • Sloot, H.; Scherer, M.: A probabilistic view on semilinear copulas. Working Paper, 2019 mehr…

2018

  • Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.: Robust Multivariate Portfolio Choice With Stochastic Covariance In Presence Of Ambiguity. Quantitative Finance, 2018 mehr…
  • Bienek, T.; Scherer, M.: Hedging and Valuation of Contingent Guarantees. Working Paper, 2018 mehr…
  • Chen, A.; Hieber, P.; Rach, M.: Optimal retirement products under money and mortality illusion. Lehrstuhl für Finanzmathematik, 2018, mehr…
  • Deelstra, G.; Devolder, P.; Gnameho, K.; Hieber, P.: Valuation of hybrid financial and actuarial products: a universal 3-step method. Lehrstuhl für Finanzmathematik, 2018, mehr…
  • Engel, J.; Wahl, M.; Zagst, R.: Forecasting turbulence in the Asian and European stock market using regime-switching models. Quantitative Finance and Economics 2 (2), 2018, 388-406 mehr…
  • Escobar, M.; Havrylenko, Y.; Zagst, R.: Optimal First-Loss Fee Structures in Hedge Funds. Lehrstuhl für Finanzmathematik, 2018, mehr…
  • Escobar-Anel, M.; Lichtenstern, A.; Zagst, R.: Behavioral Portfolio Insurance Strategies. submitted for publication, 2018, mehr…
  • Escobar-Anel, M.; Lichtenstern, A.; Zagst, R.: Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion. submitted for publication, 2018, mehr…
  • Fernández, L.; Scherer; M.: Emil J. Gumbel's last course on the "Statistical theory of extreme values'': a conversation with Tuncel M. Yegulalp. Extremes 21 (1), 2018, 97-113 mehr…
  • Hieber, P.: Pricing exotic options in a regime switching economy: A Fourier transform method. Review of Derivatives Research (Vol. 21), 2018, 231-252 mehr…
  • Hoehn, V.; Escobar, M.; Seco, L.; Zagst, R.: Optimal fee structures in hedge funds. Journal of Asset Management Vol. 19 (No. 7), 2018, 522–542 mehr…
  • Höcht, S.; Min, A.; Wieczorek, J.; Zagst, R.: Explaining Aggregated Recovery Rates. Working Paper, submitted for publication, 2018 mehr…
  • Hüttner, A.; Mai, J-F.;: Sharp analytical lower bounds for the price of a convertible bond. The Journal of Derivatives 26 (2), 2018, 7-18 mehr…
  • Hüttner, A.; Mai, J-F.; Mineo, S.: Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? Dependence Modeling, 2018 mehr…
  • Hüttner, A.; Mai, J-F.;: Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property. Journal of Statistical Computation and Simulation , 2018 mehr…
  • Krause, D.; Scherer, M.; Schwinn, J.; Werner, R.: Membership testing for Bernoulli and tail-dependence matrices. Journal of Multivariate Analysis (168), 2018, 240-260 mehr…
  • Lichtenstern, A.; Shevchenko, P; Zagst, R.: Optimal consumption and investment decisions under time-varying preferences. Working Paper, submitted for publication, 2018, mehr…
  • Mai, J.-F.; Scherer, M.: Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws. Lehrstuhl für Finanzmathematik, 2018, mehr…

2017

  • Bollmann, L.; Scherer, M.: Modeling Influenza-Like Illness Activity in the United States. North American Actuarial Journal 21 (3), 2017, 323-342 mehr…
  • Brummer, L.; Wahl, M.; Zagst, R.: Liability Driven Investments with a Link to Behavioral Finance. Working Paper, submitted for publication, 2017 mehr…
  • Denk, K.; Djerroud, B.; Seco, L.; Shakourifar, M.; Zagst, R.: Option-Like Properties in the Distribution of Hedge Fund Returns. submitted for publication, 2017 mehr…
  • Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: My introduction to copulas - An interview with Roger Nelsen. Dependence Modeling (5), 2017, 88-98 mehr…
  • Escobar, M.; Götz, B.; Zagst, R.: Two Asset-Barrier Option under Stochastic Volatility. Applied Mathematical Finance 24 (6), 2017, 520–546 mehr…
  • Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R.: Portfolio optimization under Solvency II. Working Paper, submitted for publication, 2017 mehr…
  • Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R.: Vulnerable Exotic Derivatives. Journal of Derivatives 24 (3), 2017, 84-102 mehr…
  • Escobar, M.; Neykova, D.; Zagst, R.: HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance 17 (11), 2017, 1715-1733 mehr…
  • Fernández, L.; Scherer, M.: Simulating Lévy-frailty copulas built from alpha-stable Lévy-subordinators. Working Paper, 2017 mehr…
  • Hieber, P.: Cliquet-style return guarantees in a regime switching Lévy model. Insurance Mathematics and Economics (Vol. 72), 2017, 138-147 mehr…
  • Ivanov, E.; Min, A.; Ramsauer, F.: Copula-Based Factor Models for Multivariate Asset Returns. Econometrics, 2017 mehr…
  • Jaser, M.; Haug, S.; Min, A.: A simple non-parametric goodness-of-fit test for elliptical copulas. Dependence Modeling (5), 2017, 330–353 mehr…
  • Leonhardt, D.; Ware, A.; Zagst, R.: A cointegrated regime-switching model approach with jumps for commodity futures prices. Risks 5 (3), 2017, 1-19 mehr…
  • Lichtenstern, A., Escobar, M., Zagst, R.: Behavioral Finance driven Investment Strategies. submitted for publication, 2017 mehr…
  • Mai, J.-F.; Schenk, S.; Scherer, M.: Two Novel Characterizations of Self-Decomposability on the Half-Line. Journal of Theoretical Probability 30 (1), 2017, 365–383 mehr…
  • Schlick, O.; Wahl, M.; Zagst, R.: Finanzmathematische Frühwarnsysteme in der Aktienallokation institutioneller Anleger. Absolut Report 16 (6), 2017, 42-49 mehr…
  • Zagst, R; Zou, B.: Optimal investment with transaction costs under cumulative prospect theory in discrete time. Mathematics and Financial Economics 11 (4), 2017, 393-421 mehr…

2016

  • Bannör, K. F.; Kiesel, R.; Nazarova, A.; Scherer, M.: Parametric Model Risk and Power Plant Valuation. Energy Economics , 2016, 423-434 mehr…
  • Bannör, K. F.; Schulz, T.: A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps. International Journal of Theoretical and Applied Finance 19 (8), 2016, - mehr…
  • Bi, M.; Escobar, M.; Goetz, B.; Zagst, R.: Principal Component Models with Stochastic Mean-Reverting levels. Pricing and Covariance surface improvements. Applied Stochastic Models in Business and Industry 32 (5), 2016, 585-606 mehr…
  • Bienek, T.; Wahl, M.; Zagst, R.: Optimierung in stetiger Zeit – Dynamische Portfoliooptimierung. RISIKO MANAGER (6), 2016, 32-36 mehr…
  • Brigo, D.; Mai, J.-F.; Scherer, M.: Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law. Statistics and Probability Letters, 2016, 60-66 mehr…
  • Brunner, B.; Krayzler, M.; Zagst, R.: Closed-form solutions for Guaranteed Minimum Accumulation Benefits. European Actuarial Journal 6 (1), 2016, 197-231 mehr…
  • Burkovska, O.; Gaß, M.; Glau,K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.: Calibration to American Options: Numerical Investigation of the de-Americanization. Working Paper, 2016 mehr…
  • Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.: Model reduction for calibration of American options. Working Paper, 2016 mehr…
  • Chen, A.; Hieber, P.: Optimal Asset Allocation in Life Insurance: The Impact of Regulation. ASTIN Bulletin No. 3 (Vol. 46), 2016, 605-626 mehr…
  • Criens, D.; Glau, K.: Martingale Property in Terms of Semimartingale Problems. Working Paper, 2016 mehr…
  • Criens, D.; Glau, K.; Grbac, Z.: Martingale Property of Exponential Semimartingales: A Note on Explicit Conditions and Applications to Financial Models. Working Paper, 2016, - mehr…
  • Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: Stat Trek - An interview with Christian Genest. Dependence Modeling (4), 2016, 109 - 122 mehr…
  • Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: Distributions with given marginals: the beginnings. Dependence Modeling (4), 2016, 237–250 mehr…
  • Escobar, M.; Krause, D.; Zagst, R.: Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options. Review of Derivatives Research 19 (3), 2016, 165-200 mehr…
  • Escobar, M.; Krayzler, M.; Ramsauer, F.; Saunders, D.; Zagst, R.: Incorporation of stochastic policyholder behaviour in analytical pricing of GMABs and GMDBs. Risks 4 (4), 2016, 1-36 mehr…
  • Escobar, M.; Rudolph, B.; Zagst, R.: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions. Transactions on Mathematical Software, accepted for publication 42 (4/33), 2016, - mehr…
  • Fernández, L.; Scherer, M.: Emil J. Gumbel - Ein Statistiker der Extreme. RISIKO MANAGER (05/2016), 2016, 33-39 mehr…
  • Gaß, M., Glau, K., Mair, M.: Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing (first version 2015). Working Paper, 2016 mehr…
  • Gaß, M.; Glau, K.: A Flexible Galerkin Scheme for Option Pricing in Lévy Models. Working Paper, 2016 mehr…
  • Gaß, M.; Glau, K.: Convergence Analysis of Galerkin Methods for Option Pricing in Time-inhomogeneous Lévy models. Working Paper, 2016 mehr…
  • Gaß, M.; Glau, K.: Convergence Analysis of Galerkin Methods for Non-Coercive Linear Parabolic PIDEs. Working Paper, 2016 mehr…
  • Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.: Chebyshev Interpolation for Parametric Option Pricing (first version 2015). Working Paper, 2016 mehr…
  • Glau, K.: Feynman-Kac Formula for Lévy Processes with Discontinuous Killing Rate. Finance and Stochastics (20/4), 2016, 1021–1059 mehr…
  • Glau, K.; Grbac, Z.; Papapantoleon, A.: A Unified View on LIBOR Models. accepted for publication in the Festschrift in honour of Ernst Eberlein, 2016 mehr…
  • Glau, K.; Mahlstedt, M.: Improved error bound for multivariate Chebyshev polynomial interpolation. Working Paper, 2016 mehr…
  • Glau, Kathrin: Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations. SIAM Journal Theory of Probability and Its Application (60/3), 2016, 383–406 mehr…
  • Hüttner, A.; Scherer, M.: A note on the valuation of CDS options and extension risk in a structural model with jumps. Journal of Financial Engineering 03 (02), 2016 mehr…
  • Kyng, T.; Konstandatos, O.; Bienek, T.: Valuation of employee stock options using the exercise multiple approach and life tables. Insurance: Mathematics and Economics 68, 2016, 17–26 mehr…
  • Mahlstedt, M; Zagst, R.: Inflation protected investment strategies. Risks 4 (2), 2016, 1-21 mehr…
  • Mai, J.-F.; Schenk, S.; Scherer, M.: Analyzing model robustness via distortion of the stochastic root: A Dirichlet prior approach. Statistics & Risk Modeling 32 (3-4), 2016, 177–195 mehr…
  • Mai, J.-F.; Schenk, S.; Scherer, M.: Exchangeable exogenous shock models. Bernoulli 22 (2), 2016, 1278-1299 mehr…
  • Olivares, P.; Reuß, A.; Seco, L.; Zagst, R.: Risk Management and Portfolio Selection using α-stable Regime Switching Models. Applied Mathematical Sciences 10 (12), 2016, 549 - 582 mehr…
  • Scherer, M.; Schulz, T.: Extremal dependence for bilateral credit valuation adjustments. International Journal of Theoretical and Applied Finance (IJTAF) 19 (7), 2016 mehr…

2015

  • Die Copulae fanden mich ... RISIKO MANAGER (17), 2015, 23-28 mehr…
  • Benth, F. E.; Di Nunno, G.; Khedher, A.; Schmeck, M. D.: Pricing of spread options on a bivariate jump market and stability to model risk. Applied Mathematical Finance 22 (1), 2015, 28-62 mehr…
  • Bernhart, B.; Fernández, L.; Mai, J.-F.; Schenk, S.; Scherer M.: A survey of dynamic representations and generalizations of the Marshall–Olkin distribution. Proceedings in Mathematics & Statistics, 2015, 1-13 mehr…
  • Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.: The density of distributions from the Bondesson class. Journal of Computational Finance 18 (3), 2015, 99-128 mehr…
  • Bernhart, G.; Mai, J.-F.; Scherer, M.: On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Dependence Modeling (3), 2015, 29–46 mehr…
  • Daveloose, C.; Khedher, A.; Vanmaele, M.: Quantification of model risk in quadratic hedging in finance. submitted paper, 2015 mehr…
  • Daveloose, C.; Khedher, A.; Vanmaele, M.: Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting. submitted paper, 2015 mehr…
  • Durante, F.; Puccetti, G.; Scherer, M.: Building bridges between Mathematics, Insurance and Finance. Dependence Modeling (3), 2015, 17-28 mehr…
  • Durante, F.; Puccetti, G.; Scherer, M.: A Journey from Statistics and Probability to Risk Theory. Dependence Modeling (3), 2015, 182-195 mehr…
  • Escobar, M.; Götz, B., Neykova, D.; Zagst, R.: Pricing two-asset Barrier Options under Stochastic Correlation via Perturbation. International Journal of Theoretical and Applied Finance 18 (3), 2015, 1-44 mehr…
  • Escobar, M.; Neykova, D.; Zagst, R.: Portfolio Optimization in Affine Models with Markov Switching. International Journal of Theoretical and Applied Finance 18 (5), 2015, 1-46 mehr…
  • Escobar, M.; Neykova, D.; Zagst, R.: Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples. Annals of Finance 11 (3), 2015, 503-530 mehr…
  • Escobar, M.; Panz, S.; Zagst, R.: Pricing multiple barrier derivatives under stochastic volatility. Working Paper, 2015 mehr…
  • Fernández, L.; Mai, J.-F.; Scherer M.: The mean of Marshall-Olkin dependent exponential random variables. Proceedings in Mathematics & Statistics, 2015, 33-50 mehr…
  • Gaß, M., Glau, K.: Parametric Integration by Magic Point Empirical Interpolation. Working Paper, 2015 mehr…
  • Gaß, M., Glau, K.: Parametric Integration by Magic Point Empirical Interpolation. Working Paper , 2015 mehr…
  • Hieber, P.; Korn, R.; Scherer, M.: Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. European Actuarial Journal 5 (1), 2015, 11-28 mehr…
  • Khedher, A.; Vanmaele, M.: Discretisation of FBSDEs driven by CÀDLÀG martingales. Submitted paper, 2015 mehr…
  • Krause, D.; Scherer, M.: Bernoulli and tail-dependence matrices: A simple numerical test. Working Paper, 2015 mehr…
  • Steinrücke, L.; Swishchuk, A.; Zagst, R.: The Markov-switching Jump Diffusion LIBOR Market Model. Quantitative Finance 15 (3), 2015, 455-476 mehr…

2014

  • Artinger, H.; Krayzler, M.; Zagst, R.: Longevity Risk Assessment for Defined-Benefit Pension Plans. Insitutional Investors Journals, Special Issues 2014 (1), 2014, 88-98 mehr…
  • Bannör, K. F.; Scherer, M.: On the calibration of distortion risk measures to bid-ask prices. Quantitative Finance 14 (7), 2014, 1217-1228 mehr…
  • Bernhart, G.; Mai, J.-F.: A note on the numerical evaluation of the Hartman-Watson density and distribution function. working paper, 2014, - mehr…
  • Daveloose, C.; Khedher, A.; Vanmaele, M.: Robustness of quadratic hedging strategies in finance via fourier transforms. submitted paper, 2014, - mehr…
  • Di Nunno, G.; Khedher, A.; Vanmaele, M.: Robustness of quadratic hedging strategies via backward stochastic differential equations. accepted for publication in Applied Mathematics and Optimization, 2014, - mehr…
  • Eberlein, E.; Glau, K.: Variational Solutions of the Pricing PIDE for European Options in Lévy Models. Applied Mathematical Finance (21/5), 2014, 417-450 mehr…
  • Escobar, M.; Götz, B.; Neykova, D.; Zagst, R.: Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance 21 (6), 2014, 555-594 mehr…
  • Escobar, M.; Götz, B.; Zagst, R.: Closed form pricing of two-asset barrier options with stochastic covariance. Applied Mathematical Finance 21 (4), 2014, 363-397 mehr…
  • Escobar, M.; Hieber, P.; Scherer, M.: Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research 17 (2), 2014, 191–216 mehr…
  • Escobar, M.; Krause, D.; Zagst, R.: Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options. working paper, submitted for publication , 2014 mehr…
  • Glau, K.; Gaß, M.: Die PIDE-Methode. RISIKO MANAGER (25), 2014, 17-24 mehr…
  • Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.: Forecasting market turbulences using regime-switching models. Financial Markets and Portfolio Management 28 (2), 2014, 139-164 mehr…
  • Hauptmann, J.; Olivares, P.; Zagst, R.: Estimation of Risk Measures for Large Credit Portfolios. Journal of Credit Risk 10 (2), 2014, 3-37 mehr…
  • Hieber, P.: A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process. Methodology and Computing in Applied Probability 16 (3), 2014, 771-776 mehr…
  • Hieber, P.: Pricing exotic options under regime switching: A Fourier transform method. working paper, 2014, - mehr…
  • Hieber, P.: First-passage times of regime switching models. Statistics and Probability Letters 92, 2014, 148–157 mehr…
  • Hross, S.; Olivares, P.; Zagst, R.: Tail Approximations in Credit Portfolios using Large Deviations Techniques. Applied Mathematical Sciences 8 (22), 2014, 1071-1098 mehr…
  • Höcht, S.; Scherer, M.; Spitaler, P.: Pricing and hedging CDO tranches using latent one-factor models: An empirical study. The Capco Institute Journal of Financial Transformation 40, 2014, 49-64 mehr…
  • Khedher, A.; Scherer, M.: Was sind Lévy-Prozesse? RISIKO MANAGER (15), 2014, 6-13 mehr…
  • Khedher, A.; Scherer, M.; Schulz, T.: Statistische Eigenschaften und historische Parameterschätzung. RISIKO MANAGER (17), 2014, 8-14 mehr…
  • Khedher, A.; Schulz, T.: Optionsbewertung in exponentiellen Lévy-Modellen. Risiko Manager (20), 2014, 13-18 mehr…
  • Mai, J.-F.; Olivares, P.; Schenk, S.; Scherer, M.: A multivariate default model with spread and event risk. Applied Mathematical Finance 21 (1), 2014, 51-83 mehr…
  • Mai, J.-F.; Scherer, M.: Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Extremes 17 (1), 2014, 77-95 mehr…
  • Mai, J.-F.; Scherer, M.; Schulz, T.: Sequential modeling of dependent jump processes. Wilmott Magazine 2014 (70), 2014, 54-63 mehr…
  • Min, A.; Czado, C.: SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 mehr…
  • Schenk, S.: Optionspreisberechnung via Fast Fourier Transform (Teil 4). Risiko Manager (23), 2014, 6-12 mehr…

2013

  • Bannör, K. F.; Scherer, M.: A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing. Wilmott Magazine 2013 (65), 2013, 58-69 mehr…
  • Bannör, K. F.; Scherer, M.: Capturing parameter uncertainty with convex risk measures. European Actuarial Journal 3 (1), 2013, 97-132 mehr…
  • Benth, F. E.; Khedher, A.: Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion. submitted paper, 2013, - mehr…
  • Benth, F.E.; Di Nunno, G.; Khedher, A.: A note on convergence of option prices and their Greeks for Lévy models. Stochastics: An International Journal of Probability and Stochastic Processes 85 (6), 2013, 1015-1039 mehr…
  • Bernhardt, E.; Kolbe, A.; Zagst, R.: Optimal Portfolios with Mortgage-Backed Securities. Journal of Real Estate Portfolio Management 19 (2), 2013, 121-136 mehr…
  • Bernhart, G.; Escobar Anel, M.; Mai, J.-F.; Scherer, M.: Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications. Metrika 76 (2), 2013, 179-203 mehr…
  • Bernhart, G.; Mai, J.-F.: On convexity adjustments for stock derivatives due to stochastic repo margins. working paper, 2013, - mehr…
  • Di Nunno, G.; Khedher, A.; Vanmaele; M.: Robustness of locally risk-minimizing hedging strategies in finance via backward stochastic differential equations with jumps. Handelingen Contactforum "Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance", 2013Brussels, Belgium, 17-28 mehr…
  • Dirnstorfer, S.; Grau, A.; Zagst, R.: Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo. Open Journal of Statistics (OJS) 3 (6), 2013, 427-440 mehr…
  • Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.: Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics, 2013, - mehr…
  • Escobar, M.; Mitterreiter, M.; Saunders, D.; Seco, L.; Zagst, R.: Market Crises and the 1/N Asset-Allocation Strategy. The Journal of Investment Strategies 2 (4), 2013, 1-23 mehr…
  • Fernández, L.; Hieber, P.; Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications 19 (2), 2013, 107-141 mehr…
  • Hieber, P.; Scherer, M.: Modeling credit portfolio derivatives, including both a default and a prepayment feature. Applied Stochastic Models in Business and Industry 29 (5), 2013, 479-495 mehr…
  • Krayzler, M.; Rauch, J.; Zagst, R.: Pricing of Derivatives on Commodity Indices. International Review of Financial Analysis 29, 2013, 143 - 151 mehr…
  • Mai, J.-F.; Scherer, M: What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Statistics and Risk Modeling 30 (4), 2013, 287–306 mehr…
  • Mai, J.-F.; Scherer, M.: Sampling exchangeable and hierarchical Marshall-Olkin distributions. Communications in Statistics – Theory and Methods 42 (4), 2013, 619-632 mehr…
  • Mai, J.-F.; Scherer, M.: Extendibility of Marshall-Olkin distributions and inverse Pascal triangles. Brazilian Journal of Probability and Statistics 27 (3), 2013, 310–321 mehr…
  • Mai, J.-F.; Scherer, M.; Shenkman, N.: Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws. Journal of Multivariate Analysis 115, 2013, 457–480 mehr…
  • Saunders, D.; Seco, L.; Vogt, C.; Zagst, R.: A Fund of Hedge Funds under Regime Switching. The Journal of Alternative Investments 15 (4), 2013, 8-23 mehr…
  • Schlösser, A.; Zagst, R.: The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis. European Actuarial Journal 3, 2013, 407-438 mehr…

2012

  • Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.: Modeling and Managing Portfolios including Listed Private Equity. Journal of Computers and Operations Research 39 (4), 2012, 753 - 764 mehr…
  • Benth, F. E.; Di Nunno, G.; Khedher, A.; Schmeck, M. D.: Pricing of spread options on a bivariate jump-market and stability to model risk. Handelingen Contactforum "Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance", 2012Brussels, Belgium, 37-44 mehr…
  • Benth, F.E.; Di Nunno, G.; Khedher, A.: Computation of Greeks in multi-factor models with applications to power and commodity markets. Journal of Energy Markets 5 (4), 2012, 3-31 mehr…
  • Benth, F.E.; Di Nunno, G.; Khedher, A.; Schmeck, M.D.: Pricing of spread options on a bivariate jump market and stability to model risk. submitted paper, 2012, - mehr…
  • Bernhart, G.; Mai, J.-F.: Consistent Modeling of Discrete Cash Dividends. working paper, 2012, - mehr…
  • Czado, C.; Kastenmeier, R.; Brechmann, E. C.; Min, A.: A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4, 2012, 278-305 mehr…
  • Czado, C.; Schepsmeier, U.; Min, A.: Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229–255 mehr…
  • Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.: Structural Credit Modeling under Stochastic Volatility. International Journal of Statistics and Probability 1 (1), 2012, 20 - 35 mehr…
  • Escobar, M.; Frielingsdorf, T.; Zagst, R.: Impact of Factor Models on Portfolio Risk Measures: A Structural Approach. Journal of Credit Risk 8 (2), 2012, 47-79 mehr…
  • Friederich, T.; Kraus, C.; Zagst, R.: ILLIX – A New Index for Quantifying Illiquidity. Journal of Financial Transformation 34, 2012, 183-193 mehr…
  • Glau, K.: A classification of Lévy processes via their symbols and its application to Finance. working paper, 2012, - mehr…
  • Hieber, P.; Scherer, M.: A note on first-passage times of continuously time-changed Brownian motion. Statistics and Probability Letters 82 (1), 2012, 165-172 mehr…
  • Khedher, A.: Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models. Stochastic Analysis and Applications 30 (3), 2012, 403–425 mehr…
  • Mai, J.-F.; Scherer, M.: H-extendible copulas. Journal of Multivariate Analysis 110, 2012, 151-160 mehr…
  • Scherer, M.; Schmid, L.; Schmidt, T.: Shot-noise driven multivariate default models. European Actuarial Journal 2 (2), 2012, 161-186 mehr…
  • Swishchuk, A.; Zagst, R.: Levy-Based Heath-Jarrow-Morton Interest Rate Derivatives: Change of Time Method and PIDEs. International Journal of Differential Equations and Applications 11 (1), 2012, 1-25 mehr…

2011

  • Benth, F.E.; Di Nunno, G.; Khedher, A.: Robustness of option prices and their deltas in markets modeled by jump-diffusions. Communications on Stochastic Analysis 5 (2), 2011, 285–307 mehr…
  • Bernhart, G.; Höcht, S.; Neugebauer, M.; Neumann, M.; Zagst, R.: Asset Correlations in Turbulent Markets and their Implications on Asset Management. Asia-Pacific Journal of Operational Research 28 (1), 2011, 1-23 mehr…
  • Braun, R.; Engel, N.; Hieber, P.; Zagst, R.: The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance 18 (5), 2011, 815–832 mehr…
  • Eberlein, E.; Glau, K.: PIDEs for Pricing European Options in Lévy Models - A Fourier Approach. , 2011 mehr…
  • Eberlein, E.; Glau, K.; Papapantoleon, A.: Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models. Advanced Mathematical Methods for Finance, 2011, 223-245 mehr…
  • Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.: An Intensity-based Approach for Equity Modeling. Applied Stochastic Models in Business and Industry 27 (6), 2011, 676-690 mehr…
  • Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.: A General Structural Approach for Credit Modeling under Stochastic Volatility. Journal of Financial Transformation 32, 2011, 123-132 mehr…
  • Escobar, M.; Hieber, P.; Scherer, M.; Seco, L.: Portfolio optimization in a multidimensional structural-default model with a focus on private equity. Journal of Private Equity 15 (1), 2011, 26–35 mehr…
  • Escobar, M.; Kiechle, A.; Seco, L.; Zagst, R.: Options on a CPPI Portfolio. International Mathematical Forum 6 (5), 2011, 229-262 mehr…
  • Glau, K.; Eberlein, E.: A Collection of Results on a Feynman-Kac Representation of Weak Solutions of PIDEs and on Pricing Barrier and Lookback Options in Lévy Models. Contactforum Actuarial and Financial Mathematics Conference, 2011, 2011, 29 - 39 mehr…
  • Hofert, M.; Scherer, M.: CDO pricing with nested Archimedean copulas. Quantitative Finance 11 (5), 2011, 775-787 mehr…
  • Kiesel, R.; Scherer, M.: Credit portfolio modelling in structural models with jumps. working paper, 2011, - mehr…
  • Kraus, J.; Bertrand, P.; Zagst, R.: Theory of Performance Participation Strategies. working paper, 2011, - mehr…
  • Mai, J.-F.; Scherer, M.: Reparameterizing Marshall-Olkin copulas with applications to sampling. Journal of Statistical Computation and Simulation 81 (1), 2011, 59-78 mehr…
  • Mai, J.; Scherer, M.: Bivariate extreme-value copulas with discrete Pickands dependence measure. Extremes 14 (4), 2011, 311-324 mehr…
  • Min, A.; Czado, C.: Bayesian model selection for multivariate copulas using pair-copula constructions. Canadian Journal of Statistics 39(2), 2011, 239-258 mehr…
  • Neumann, M.; Skiadopoulos, G.: Modeling the Dynamics of Higher Order Moments: Evidence from the S&P 500 Options. working paper, 2011, - mehr…
  • Ruf, J.; Scherer, M.: Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm. Journal of Computational Finance, 2011, - mehr…
  • Ruf, J.; Scherer, M.: Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm. Journal of Computational Finance 14 (3), 2011, 127-145 mehr…
  • Schlösser, A.; Zagst, R.: The Crash-NIG-Factor Copula Model: Risk Management of Credit Portfolios. Journal of Risk Management in Financial Institutions 4 (4), 2011, 392-418 mehr…
  • Zagst, R.; Kraus, J.: Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI. Annals of Operations Research 185 (1), 2011, 75-103 mehr…
  • Zhang, R.; Czado, C.; Min, A.: Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196-1214 mehr…

2010

  • Benth, F.E.; Di Nunno, G.; Khedher, A.: Lévy models robustness and sensitivity. QP-PQ: Quantum Probability and White Noise Analysis, Proceedings of the 29th Conference in Hammamet, Tunisia, 1318, October 2008 25, 2010, 153–184 mehr…
  • Czado, C.; Zhang, R.; Min, A.: Efficient Maximum Likelihood Estimation of Copula based Meta t-distributions. Computational Statistics & Data Analysis 55 (3), 2010, 1196-1214 mehr…
  • Durante, F.; Hofert, M.; Scherer, M.: Multivariate hierarchical copulas with shocks. Methodology and Computing in Applied Probability 12 (4), 2010, 681-894 mehr…
  • Eberlein, E.; Glau, K.; Papapantoleon, A.: Analysis of Fourier Transform Valuation Formulas and Applications. Applied Mathematical Finance (17/3), 2010, 211–240 mehr…
  • Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfoliooptimierung in sich ändernden Marktphasen. Absolut|report 9 (6), 2010, 30-39 mehr…
  • Escobar, M.; Götz, B.; Seco, L.; Zagst, R.: Pricing of a CDO on Stochastically Correlated Underlyings. Quantitative Finance 10 (3), 2010, 265-277 mehr…
  • Escobar, M.; Götz, B.; Seco, L.; Zagst, R.: Pricing of a CDO Option on Stochastically Correlated Underlyings. Quantitative Finance 10 (3), 2010, 265-277 mehr…
  • Glau, K.; Vandaele, N.; Vanmaele, M.: Pricing and Hedging of Interest Rate Derivatives in a Lévy Driven Term Structure Model. Handelingen Contactforum Actuarial and Financial Mathematics Conference, 2010, 2010, 75 - 80 mehr…
  • Hering, C.; Hofert, M.; Mai, J.; Scherer, M.: Constructing hierarchical Archimedean copulas with Lévy subordinators. Journal of Multivariate Analysis 101 (6), 2010, 1428-1433 mehr…
  • Hering, C.; Mai, J.-F.: Moment-based estimation of extendible Marshall-Olkin copulas. working paper, 2010, - mehr…
  • Hieber, P.; Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics 235 (3), 2010, 679-685 mehr…
  • Hofert, M.; Scherer, M.; Zagst, R.: Modeling the Evolution of Implied CDO Correlations. Financial Markets and Portfolio Management 24 (3), 2010, 289-308 mehr…
  • Höcht, S.; Zagst, R.: Pricing Credit Derivatives under Stochastic Recovery in a Hybrid Model. Applied Stochastic Models in Business and Industry 26, 2010, 254-276 mehr…
  • Höcht, S.; Zagst, R.: Pricing Distressed CDOs with Stochastic Recovery. Review of Derivatives Research 13 (3), 2010, 219-244 mehr…
  • Kolbe, A.; Zagst, R.: Valuation of Reverse Mortgages under (limited) Default Risk. European Journal of Finance 16 (4), 2010, 305-327 mehr…
  • Mai, J.; Scherer, M.: The Pickands representation of survival Marshall-Olkin copulas. Statistics and Probability Letters 80 (5/6), 2010, 357-360 mehr…
  • Min, A.; Czado, C.: Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 mehr…
  • Min, A.; Czado, C.: Testing for zero-modification in count regression models. Statistica Sinica 20 (1), 2010, 323-341 mehr…
  • Min, A.; Holzmann, H.; Czado, C.: Model selection strategies for identifying relevant covariates in homescedastic linear models. Computational Statistics and Data Analysis 54 (12), 2010, 3194-3211 mehr…
  • Schöttle, K.; Werner, R.; Zagst, R.: Comparison and Robustification of Bayes and Black-Litterman Models. Mathematical Methods of Operations Research 71 (3), 2010, 453-475 mehr…
  • Schöttle, K.; Werner, R.; Zagst,R.: Robustification of Bayesian Portfolio Allocation. Rethinking Risk Measurement and Reporting, 2010, 829-854 mehr…
  • Smith, M.; Min, A.; Almeida,C.; Czado,C.: Modelling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 mehr…

2009

  • Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfolio Selection under Changing Market Conditions. International Journal of Financial Services Management 4 (1), 2009, 48-63 mehr…
  • Escobar, M.; A., Kiechle; L., Seco; Zagst, R.: The Price of Liquidity in Constant Leverage Strategies. RACSAM 103 (2), 2009, 373-385 mehr…
  • Escobar, M.; Götz, B.; Seco, L.; Zagst, R.: Pricing of Spread Options on Stochastically Correlated Underlyings. The Journal of Computational Finance 12 (3), 2009, 31-61 mehr…
  • Höcht, S.; Ng, K.H.; Wiesent, J.; Zagst, R.: Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes. International Journal of Contemporary Mathematical Sciences 4 (19), 2009, 895-916 mehr…
  • Kolbe, A.; Zagst, R.: Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation. Applied Mathematical Finance 16 (5), 2009, 401-427 mehr…
  • Mai, J.; Scherer, M.: Pricing k-th to default swaps in a Lévy-time framework. Journal of Credit Risk 5 (3), 2009, 55-70 mehr…
  • Mai, J.; Scherer, M.: Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions. Information Sciences 179 (17), 2009, 2872-2877 mehr…
  • Mai, J.; Scherer, M.: A tractable multivariate default model based on a stochastic time-change. International Journal of Theoretical and Applied Finance 12 (2), 2009, 227-249 mehr…
  • Mai, J.; Scherer, M.: Lévy-frailty copulas. Journal of Multivariate Analysis 100 (7), 2009, 1567-1585 mehr…
  • Menzinger, B.; Schlosser, A.; Zagst, R.: Asset Allocation with Credit Instruments. working paper, 2009, - mehr…
  • Muhle-Karbe, J., Kallsen, J.: Method of Moment Estimation in Time-Changed Lévy Models. working paper, 2009, - mehr…
  • Muhle-Karbe, J., Kallsen, J.; Voß, M.: Pricing options on variance in affine stochastic volatility models. Mathematical Finance, 2009, - mehr…
  • Schmid, B.; Zagst, R; Antes, S; el Moufatich, F.: Modeling and Pricing of Credit Derivatives Using Macro-Economic Information. Journal of Financial Transformation 26, 2009, 60-68 mehr…

2008

  • Aigner, P.; Albrecht, S.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.: What Drives PE? Analyses of Success Factors for Private Equity Funds. Journal of Private Equity 11 (4), 2008, 63-85 mehr…
  • Antes, S.; Ilg, M.; Schmid, B.; Zagst, R.: Empirical Evaluation of Hybrid Defaultable Bond Pricing Models. Applied Mathematical Finance 15 (3), 2008, 219-249 mehr…
  • Cerny, A.; Kallsen, J.: A Counterexample Concerning the Variance-Optimal Martingale Measure. Mathematical Finance 18 (2), 2008, 305-316 mehr…
  • Cerny, A.; Kallsen, J.: Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation. Mathematical Finance 18 (3), 2008, 473-492 mehr…
  • Denker, M.; Min, A.: A central limit theorem for measurements on the logarithmic scale and its application to dimension estimates. Journal of Multivariate Analysis 99 (4), 2008, 665-683 mehr…
  • Höcht, S.; Kroneberg, A.; Zagst, R.: Explaining Aggregated Recovery Rates. working paper, 2008, - mehr…
  • Höcht, S.; Ng, K.H.; Roesch, C.; Zagst, R.: Asset Liability Managment in Financial Planning. The Journal of Wealth Management 11 (2), 2008, 29-46 mehr…
  • Höcht, S.; Ng, K.H.; Wolf, J.; Zagst, R.: Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits. International Journal of Service Sciences 1 (1), 2008, 36-68 mehr…
  • Höcht, S.; Zagst, R.: Loan Recovery Determinants: A Pan-European Study. working paper, 2008, - mehr…
  • Kallsen, J.; Vesenmayer, B.: COGARCH as a Continuous-Time Limit of GARCH(1,1). Stochastic Processes and their Applications 119 (1), 2008, 74-98 mehr…
  • Kolbe, A.; Zagst, R.: A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities. International Journal of Theoretical and Applied Finance 11 (6), 2008, 635-656 mehr…
  • Muhle-Karbe, J., Kallsen, J.: On Using Shadow Prices in Portfolio Optimization with Transaction Costs. The Annals of Applied Probability 20 (4), 2008, 1341-1358 mehr…
  • Muhle-Karbe, J., Kallsen, J.: Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Stochastic Processes and their Applications 120 (2), 2008, 163-181 mehr…
  • Muhle-Karbe, J., Kallsen, J.: Utility maximization in affine stochastic volatility models. The International Journal of Theoretical and Applied Finance 13 (3), 2008, 459-477 mehr…
  • Poeschik, M.; Zagst, R.: Inverse Portfolio Optimization under Constraints. The Journal of Asset Management 9 (3), 2008, 239-253 mehr…
  • Scheuenstuhl, G.; Zagst, R.: Integrated Portfolio Management with Options. European Journal of Operations Research 185 (3), 2008, 1477-1500 mehr…
  • Zagst, R.: Asset Liability Management: Integration oder Diversifikation? Portfolio Institutionell 4, 2008, 20-22 mehr…

2007

  • Benth, F.; Meyer-Brandis, T.; Kallsen, J.: A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modelling and Derivative Pricing. Applied Mathematical Finance 14 (2), 2007, 153-169 mehr…
  • Cerny, A.; Kallsen, J.: Hedging by Sequential Regression Revisited. Mathematical Finance 19 (4), 2007, 591-617 mehr…
  • Cerny, A.; Kallsen, J.: On the Structure of General Mean-Variance Hedging Strategies. The Annals of Probability 35 (4), 2007, 1479-1531 mehr…
  • Czado, C.; V., Erhardt; A., Min; S., Wagner: Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 mehr…
  • Höcht, S.; Zagst, R.: Generalized Maximum Expected Utility Models for Default Risk - A Comparison of Models with Different Dependence Structures. Journal of Credit Risk 3 (3), 2007, 3-24 mehr…
  • Kalin, D.; Zagst, R.: Portfolio Optimization Under Liquidity Cost. International Journal of Pure and Applied Mathematics 39 (2), 2007, 221-238 mehr…
  • Schöttle, K.; Werner, R.: Calibration of correlation matrices - SDP or not SDP. working paper, 2007, - mehr…
  • Zagst, R.; Meyer, T.; Hagedorn, H.: Integrated Modelling of Stock and Bond Markets. International Journal of Finance 19 (1), 2007, 4252-4277 mehr…

2006

  • Czado, C.; Kolbe, A.: Model-based Quantification of the Volatility of Options at Transaction Level with Extended Count Regression Models. Applied Stochastic Models in Business and Industry 23 (1), 2006, 1-21 mehr…
  • Gong, X.; Huber, M.; Lanzinner, S.; Zagst, R.: Zertifikate - Mehrwert für Privatanleger? Zeitschrift für das gesamte Kreditwesen 59 (22), 2006, 1235-1239 mehr…
  • Hubalek, F.; Kallsen, J.; Krawczyk, L.: Variance-Optimal Hedging for Processes with Stationary Independent Increments. The Annals of Applied Probability 16 (2), 2006, 853-885 mehr…
  • Kalemanova, A.; Werner, R.: A Short Note on the Efficient Implementation of the NIG Distribution. working paper, 2006, - mehr…
  • Kallsen, J.; Kühn, C.: On Utility-Based Derivative Pricing with and without Intermediate Trades. Statistics and Decisions 24 (4), 2006, 415-434 mehr…
  • Kallsen, J.; Tankov, P.: Characterization of Dependence of Multidimensional Lévy Processes Using Lévy Copulas. Journal of Multivariate Analysis 97 (7), 2006, 1551-1572 mehr…
  • Schmid, B.; Zagst, R.; Antes, S.: Pricing of Credit Derivatives. International Journal of Theoretical and Applied Finance, 2006, - mehr…
  • Schöttle, K.; Werner, R.: Towards Reliable Efficient Frontiers. Journal of Asset Management 7 (2), 2006, 128-141 mehr…
  • Schöttle, K.; Werner, R.: Consistency of Robust Portfolio Estimators. working paper, 2006, - mehr…
  • Werner, R.: Cascading - an Adjusted Exchange Method for Robust Conic Programming. Central European Journal of Operations Research 16 (2), 2006, 179-189 mehr…

2004

  • Holzman, H.; S., Koch; A., Min: Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 mehr…
  • Kallsen, J.: Sigma-Localization and Sigma-Martingales. Theory of Probability and its Applications 48 (1), 2004, 152-163 mehr…
  • Kallsen, J.; Kühn, C.: Pricing Derivatives of American and Game Type in Incomplete Markets. Finance and Stochastics 8 (2), 2004, 261-284 mehr…
  • Zagst, R.; Roth, J.: Three-Factor Defaultable Term Structure Models. International Journal of Pure and Applied Mathematics 17 (2), 2004, 249-285 mehr…

2003

  • Eberlein, E.; Kallsen, J.; Kristen, J.: Risk Management Based on Stochastic Volatility. Journal of Risk 5 (2), 2003, 19-44 mehr…
  • Goll, T.; Kallsen, J.: A Complete Explicit Solution to the Log-Optimal Portfolio Problem. The Annals of Applied Probability 13 (2), 2003, 774-799 mehr…
  • Hörnlein, H.; Kocvara, M.; Werner, R.: Optimization: Bridging the Gap between Conceptual and Preliminary Design. Aerospace Science and Technology 5 (8), 2003, 541-554 mehr…
  • Zagst, R.; Kehrbaum, J.; Schmid, B.: Portfolio Optimization Under Credit Risk. Computational Statistics 18 (3), 2003, 317-338 mehr…

2002

  • Kallsen, J.: Derivative Pricing Based on Local Utility Maximization. Finance and Stochastics 6 (1), 2002, 115-140 mehr…
  • Kallsen, J.; A., Shiryaev: The Cumulant Process and Esscher's Change of Measure. Finance and Stochastics 6 (4), 2002, 397-428 mehr…
  • Zagst, R.: Using Scenario Analysis for Risk Management. Journal of the German Statistical Society (AStA) 86, 2002, 97-117 mehr…

2001

  • Goll, T.; Kallsen, J.: A Note on the Log-Optimal Portfolio Problem. Technical Report 32, Math. Fakultät, Univ. Freiburg i. Br. , 2001, - mehr…
  • Kallsen, J.; A., Shiryaev: Time Change Representation of Stochastic Integrals. Theory of Probability and Its Applications 46 (3), 2001, 522-528 mehr…
  • Zagst, R.: Public Private Partnership: Zwei Welten - ein Ziel. Stiftung Sponsoring 5 (1), 2001, 37-38 mehr…
  • Zagst, R.; Kehrbaum, J.; Schmid, B.: Asset und Liability Management unter Berücksichtigung von Kreditrisiken. Solutions 5 (2), 2001, 17-22 mehr…

2000

  • Goll, T.; Kallsen, J.: Optimal Portfolios for Logarithmic Utility. Stochastic Processes and their Applications 89 (1), 2000, 31-48 mehr…
  • Kallsen, J.: Optimal Portfolios for Exponential Lévy Processes. Mathematical Methods of Operations Research 51 (3), 2000, 357-374 mehr…
  • Schmid, B.; Zagst, R.: A Three-Factor Defaultable Term Structure Model. The Journal of Fixed Income 10 (2), 2000, 63-79 mehr…

1999

  • Kalin, D.; Zagst, R.: Portfolio Optimization: Volatility versus Shortfall Constraints. OR Spektrum 21 (1/2), 1999, 97-122 mehr…
  • Kallsen, J.: A Stochastic Differential Equation with a Unique (up to Indistinguishability) but not Strong Solution. Séminaire de Probabilités XXXIII, Lecture Notes in Mathematics, Berlin, Springer 1709, 1999, 315-326 mehr…
  • Kallsen, J.: A Utility Maximization Approach to Hedging in Incomplete Markets. Mathematical Methods of Operations Research 50 (2), 1999, 321-338 mehr…
  • Zagst, R.: Stochastische Optimierung. Solutions 1 (3), 1999, 17-24 mehr…

1998

  • Kallsen, J.: Duality Links between Portfolio Optimization and Derivative Pricing. Preprint Nr. 40, Mathematische Fakultät Universität Freiburg i. Br., 1998, - mehr…
  • Kallsen, J.; M., Taqqu: Option Pricing in ARCH-type Models. Mathematical Finance 8 (1), 1998, 13-26 mehr…
  • Mayer, S.; Zagst, R.: Hedging Barrier Options with Standard Products. risklab research paper No. 9805, 1998, - mehr…
  • Zagst, R.: Benchmark Optimization for Complex Interest-Rate Portfolios. risklab research paper No. 9801, 1998, - mehr…
  • Zagst, R.: Do You Regret? Asset Allocation bei beschränktem erwarteten Verlustpotential. Solutions 2 (2), 1998, 7-14 mehr…
  • Zagst, R.; Kehrbaum, J.: Portfolio Optimization Under Limited Value at Risk. risklab research paper No. 9802, 1998, - mehr…

1997

  • Zagst, R.: Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 2: Methoden mit approximativer Bewertung. Solutions 1 (2), 1997, 13-21 mehr…
  • Zagst, R.: Effiziente Value at Risk Berechnung für Rentenportfolios. Finanzmarkt und Portfolio Management 11 (2), 1997, 165-178 mehr…
  • Zagst, R.; Gopalan, G.; Schmid, W.: Estimation of the Term Structure and its Application to Risk Management. Discussion Paper No. 103, Europa-Universität VIADRINA, Frankfurt (Oder), Fakultät für Wirtschaftswissenschaften, 1997, - mehr…
  • Zagst, R.; Kehrbaum, J.: Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 1: Methoden mit vollständiger Bewertung. Solutions 1 (1), 1997, 11-16 mehr…
  • Zagst, R.; Kehrbaum, J.: Downside Up: Optimierung komplexer Zinsportfolios bei beschränktem Verlustpotential. Solutions 1 (3/4), 1997, 13-22 mehr…

1996

  • Zagst, R.; Hermann, F.; Schmid, W.: Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors. Finanzmarkt und Portfolio Management 10 (1), 1996, 45-52 mehr…

1995

  • Kallsen, J.; Taqqu, M.: Option Pricing in ARCH-type Models: with Detailed Proofs. Technical Report No. 10, Freiburger Zentrum für Datenanalyse und Modellbildung, Universität Freiburg i. Br. / Mathematical Finance 8 (1), 1995, 13-26 mehr…
  • Nonnenmacher, D., F., J.; Zagst, R.: A New Form of Jensen's Inequality and its Application to Statistical Experiments. Journal of the Australian Mathematical Society, Series B 36 (4), 1995, 389-398 mehr…
  • Zagst, R.: The Effect of Information in Separable Bayesian Semi-Markov Control Models and its Application to Investment Planning. Mathematical Methods of Operations Research 41 (3), 1995, 277-288 mehr…

1994

  • Rieder, U.; Zagst, R.: Monotonocity and Bounds for Convex Stochastic Control Models. ZOR - Methods and Models of Operations Research 39 (2), 1994, 187-207 mehr…

1990

  • Zagst, R.: Learning Effects in Economic Models Under Uncertainty. Methods and Models of Operations Research 63, 1990, 115-118 mehr…