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Biere, A. und M. Scherer (2009):
The robust calibration of a structural-default model with jumps
| Abstract |
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Durante, F, Hofert, M. und M. Scherer (2009):
Multivariate hierarchical copulas with shocks
| Abstract |
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Ernst, C., M. Grossmann, S. Höcht, S. Minden, M. Scherer und R. Zagst (2009):
Portfolio selection under changing market conditions
| Abstract |
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Escobar, M., P. Hieber, M. Scherer und L. Seco (2009):
Portfolio optimization in a multidimensional structural-default model with a focus on private equity
| Abstract |
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Hering, C., M. Hofert, J. Mai und M. Scherer (2009):
Constructing nested Archimedean copulas with Lévy subordinators
| Abstract |
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Höcht, S., M. Scherer and P. Seegerer (2009):
Cross Asset Portfolio Derivatives
| Abstract |
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Kiesel, R. und M. Scherer (2009):
Portfolio Models: the structural approach
| Abstract |
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Mai, J. und M. Scherer (2009):
A tractable multivariate default model based on a stochastic time-change
| Abstract |
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Mai, J. und M. Scherer (2009):
Bivariate extreme-value copulas with discrete Pickands measure
| Abstract |
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Mai, J. und M. Scherer (2009):
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
| Abstract |
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Mai, J. und M. Scherer (2009):
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
| Abstract |
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Mai, J. und M. Scherer (2009):
Levy-Frailty Copulas
| Abstract |
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Mai, J. und M. Scherer (2009):
On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas
| Abstract |
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Mai, J. und M. Scherer (2009):
Pricing k-th to default swaps in a Lévy-time framework
| Abstract |
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Mai, J. und M. Scherer (2009):
Reparameterizing Marshall-Olkin copulas with applications to high-dimensional sampling
| Abstract |
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Mai, J. und M. Scherer (2009):
The Pickands representation of survival Marshall-Olkin copulas
| Abstract |
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Scherer, M. und R. Zagst (2009):
Jarrow-Lando-Turnbull model
| Abstract |
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Hofert, M. und M. Scherer (2008):
CDO pricing with nested Archimedean copulas
| Abstract |
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Scherer, M. und R. Zagst (2008):
Modeling and pricing credit derivatives
| Abstract |
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Kiesel, R. und M. Scherer (2007):
Credit portfolio modelling in structural models with jumps
| Abstract |
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Ruf, J. und M. Scherer (2006):
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
| Abstract |
