PD Dr. Jan-Frederik Mai

Technical University of Munich
Chair of Mathematical Finance (Prof. Zagst)

 

 

 

Short CV

Jan-Frederik Mai studied Business Mathematics at the University of Ulm until October 2007. In June 2010, he received his doctorate from the Technical University of Munich on the valuation of portfolio credit derivatives using special multivariate exponential distributions. Since then, he has continued to research the mathematical foundations and extensions of this work and successfully completed his habilitation thesis on multivariate exponential distributions with a latent factor structure at the Technical University of Munich in January 2014. Since October 2010, he has been working in portfolio management at the Munich-based asset manager XAIA Investment.

Deputy Professor Risk & Insurance

PD Dr. Jan-Frederik Mai will be Deputy Professor for Risk & Insurance during the summer term 2018 at the Chair of Mathematical Finance and will hold the lecture in Continuous Time Finance. 

Publications in Journals

2019

  • Mai, Jan-Frederik; Scherer, Matthias: On the structure of exchangeable extreme-value copulas. Working Paper, 2019 more…
  • Mai, Jan-Frederik; Scherer, Matthias: Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws. Latin American Journal of Probability and Mathematical Statistics, 2019 more…

2018

  • 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 more…
  • Hüttner, A.; Mai, J-F.; Mineo, S.: Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? Dependence Modeling, 2018 more…
  • 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 more…

Book Contributions and Conference Proceedings

2018

  • Brigo, D.; Mai, J.-F.; Scherer, M.; Sloot, H.: Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall-Olkin distribution. In: Innovations in Insurance, Risk- and Asset Management. World Scientific , 2018 more…