Prof. Dr. Rudi Zagst

Prof. Dr. Rudi Zagst

Technical University of Munich

Chair of Mathematical Finance (Prof. Zagst)

Postal address

Postal:
Parkring 11/II
85748 Garching b. München

Phone: (work pref) +49 (89) 289 - 17401
Fax: fax +49 (89) 289 - 17407
Room: 8101.02.101
zagst@tum.de

Short CV

Rudi Zagst studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at HypoVereinsbank AG. There, he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of RiskLab GmbH - Private Research Institute for Financial Studies in 1997.

Since 1992, Prof. Zagst has held various teaching assignments at the Universities of Augsburg, St. Gallen, Munich, Toronto, Ulm and Singapore. After completing his habilitation in 2000 at the University of Ulm, Prof. Zagst accepted a call to the Technical University of Munich as Professor of Mathematical Finance in 2001, where he is Head of the Department of Mathematical Finance and Head of the ERGO Center of Excellence in Insurance. His research focuses on financial engineering, risk and asset management.

In 2003, Prof. Zagst was appointed a second member of the Faculty of Economics. Since 2004 he has been Deputy Chairman of the joint elite degree program "Finance & Information Management" of the University of Augsburg and the Technical University of Munich. Prof. Zagst works on a voluntary basis in the Munich Financial Center Initiative (FPMI) of the Bavarian State Ministry of Economic Affairs, Regional Development and Energy, in the Advisory Board of the Bavarian Research Foundation and as the Executive Board member of Ecuadorhilfe Stuttgart e.V.

In 2007, Prof. Zagst was honored by the magazine Unicum Profession with the award "Professor of the Year 2007" for his commitment to a practical education of his students.

Courses

Continuous Time Finance (FIM) (SS 2022)
Financial Mathematics 2 (SS 2022)
Discrete Time Finance (FIM) (WS 2021/22)
Investment Strategies (WS2021/22)
Statistics for Business Administration (SS 2021)
Portfolio Analysis (SS 2021)
Fixed Income Markets (WS 2020/21)
Applied Risk Management (WS 2020/21)
Portfolio Analysis (SS 2020)
Applied Capital Markets (FIM) (WS 2019/20)
Investment Strategies (WS 2019/20)
Discrete Time Finance (FIM) (WS 2018/19)
Advanced Seminar: Innovations in Mathematical Finance and Actuarial Sciences (WS 2018/19)
Fixed Income Markets (WS 2018/19)
Continuous Time Finance (FIM) (SS 2018)
Portfolio Analysis (SS 2018)
Advanced Seminar: Investment strategies and multivariate rank correlation measures (SS 2018)
Applied Capital Markets (FIM) (WS 2017/18)
Discrete Time Finance (FIM) (WS 2017/18)
Investment Strategies (WS 2017/18)
Advanced Seminar: Selected topics on modeling of term structures and pricing of interest rate derivatives (WS 2017/18)
Portfolio Analysis (SS 2017)
Continuous Time Finance (FIM) (SS 2017)
Advanced Seminar Selected topics on investment, option pricing and FAVAR models (WS 2016/17)
Fixed Income Markets (WS 2016/17)
Discrete Time Finance (FIM) (WS 2016/17)
Advanced Seminar: Investment Strategies and Option Pricing (SS 2016)
Portfolio Analysis (SS 2016)
Continuous Time Finance (FIM) (SS 2016)
Investment Strategies (WS 2015/16)
Discrete Time Finance (FIM) (WS 2015/16)
Applied Capital Markets (FIM) (WS 2015/16)
Oberseminar Finanz- und Versicherungsmathematik LMU and TUM (WS 2015/16)
Continuous Time Finance für FIM (SS 2015)
Portfolio Analysis (SS 2015)
Advanced Seminar: Selected topics in quantitative finance (SS 2015)
Discrete Time Finance für FIM (WS 2013/14)
Applied Capital Markets für FIM (WS 2013/14)
Portfolio Analysis (SS 2013)
Seminar Selected topics in fixed income markets (SS 2013)
Discrete Time Finance für FIM (WS 2012/13)
Fixed Income Markets (WS 2012/13)
Hauptseminar Selected Topics in Mathematical Finance (WS 2012/13)
Portfolio Analysis (SS 2012)
Discrete Time Finance für FIM (SS 2012)
Hauptseminar Investment Strategies (SS 2012)
Discrete Time Finance (WS 2011/12)
Investment Strategies (WS 2011/12)
Applied Capital Markets für FIM (WS 2011/12)
Fixed Income Markets (SS 2011)
Discrete Time Finance für FIM (SS 2011)
Discrete Time Finance für FIM (SS 2010)
Discrete Time Finance (WS 2009/10)
Fixed Income Markets (WS 2009/10)
Hauptseminar Fundamentale Ideen der Finanzmathematik (WS 2009/10)
Kapitalmarkttheorie II: Continuous Time Finance (SS 2009)
Discrete Time Finance für FIM (SS 2009)
Hauptseminar Modellierung von Kontrahentenrisiken (SS 2009)
Kapitalmarkttheorie I: Discrete Time Finance (WS 2008/09)
Fixed Income Markets für FIM (WS 2008/09)
Stochastic Modelling of Electricity and Related Markets (WS 2008/09)
Discrete Time Finance für FIM (SS 2008)
Portfolio Theory and Asset Pricing (SS 2008)
Seminar Fixed Income Derivatives (SS 2008)
Fixed Income Markets (WS 2007/08)
Seminar Professional Risk Management and Fixed Income Markets für FIM (WS 2007/08)
Seminar Quantitative Risk Management (WS 2007/08)
Discrete Time Finance für FIM (SS 2007)
Continuous Time Finance (SS 2007)
Fixed Income Markets für FIM (WS 2006/07)
Kapitalmarkttheorie I: Discrete Time Finance (WS 2006/07)
Portfoliotheorie (SS 2006)
Discrete Time Finance für FIM (SS 2006)
Seminar Investment- und Handelsstrategien (SS 2006)
Fixed Income Markets für FIM (WS 2005/06)
Capital Market Theory I: Discrete Time Finance für FIM (SS 2005)
Capital Market Theory II: Continuous Time Finance (WS 2004/05)
Seminar Empirical Finance und Kapitalmärkte (WS 2004/05)
Capital Market Theory I: Discrete Time Finance (SS 2004)
Seminar Ausgewählte Kapitel aus der Portfolio Theorie (SS 2004)
Portfolio Theory and Asset Pricing (WS 2003/04)
Seminar Ausgewählte Kapitel aus dem Risiko-Management (WS 2003/04)
Fixed Income Markets (SS 2003)
Hauptseminar Advanced Credit Risk Analysis (SS 2003)
Capital Market Theory (WS 2002/03)
Hauptseminar Banking & Finance (WS 2002/03)
Portfolio and Investment Analysis (SS 2002)
Seminar Einführung in die Finanzmathematik - Diskrete Zeitmodelle (SS 2002)
Einführung in die Wahrscheinlichkeitrechnung und Statistik (Stochastik I) (WS 2001/02)

Books

2020

Zagst, R.; Huber, M.
Fit für die Geldanlage – Chancen ergreifen und Risiken vermeiden
Finanzbuchverlag, 232 Seiten

2018

Glau, K.; Linders, D.; Min, A.; Scherer, M.; Schneider, L.; Zagst, R.
Innovations in Insurance, Risk- and Asset Management
World Scientific, 450 pages

2016

Glau, K.; Grbac, Z. Scherer, M.; Zagst, R. (Eds.)
Innovations in Derivatives Markets
Springer, 449 pages

2015

Glau, K.; Scherer, M.; Zagst, R. (Eds.)
Innovations in Quantitative Risk Management
Springer, 438 pages

2010

Kiesel, R.; Scherer, M.; Zagst, R. (Eds.)
Alternative Investments and Strategies
World Scientific, Singapore, 416 pages

Zagst, R.; Krimm, T.; Hörter, S.; Menzinger, B.
Responsible Investing
Finanzbuchverlag, München, 360 pages

2009

Zagst, R.; Goldbrunner, J.; Schlosser, A.
Zu nahe an der Sonne - Die größten Pleiten der Finanzgeschichte
Finanzbuchverlag, Munich, 896 pages

Zagst, R.; Huber, M.
Zertifikate spielend beherrschen
Finanzbuchverlag, Munich, 239 pages

2002

Zagst, R.
Interest Rate Management
Springer Finance, Springer Verlag, Heidelberg, 341 pages

1992

Zagst, R.
Blackwell-Informativität in stochastischen Kontrollmodellen (Dissertation)
Universitätsverlag Ulm, 111 pages

Publications in Journals

2024

Escobar M., Molter M. and Zagst R.: The Power of Derivatives in Portfolio Optimization under Affine GARCH models. Decisions in Economics and Finance, 2024 more…
Escobar M., Speck M., and Zagst R.: Bayesian learning in an Affine GARCH model with application to portfolio optimization. Working Paper submitted for publication 12 (1611), 2024 more…
Escobar M., Spies B., and Zagst R.: Optimal Consumption and Investment in General Affine GARCH Models. OR Spectrum, 2024 more…
Escobar M., Spies B., and Zagst R.: Do Jumps Matter in Discrete-Time Portfolio Optimization? Operations Research Perspectives, accepted for publication 13, 2024 more…
Escobar M., Spies B., and Zagst R.: Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution. Finance Research Letters 59 (104749), 2024 more…
Escobar M., Yang Y.J., and Zagst R.: Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications. Working Paper submitted for publication, 2024 more…
Heger J., Min A., and Zagst R.: Analyzing Credit Spread Changes using Explainable Artifcial Intelligence. International Review of Financial Analysis 94 (103315), 2024 more…
Khemka G.,Lim W., and Zagst R.: The Theory of Constant Proportion Performance Participation. Working Paper submitted for publication, 2024 more…

2023

Bienek T., Deelstra G., Lichtenstern A. and Zagst R.: A Multi-Curve HJM Factor model for pricing and risk management. Quantitative Finance Vol. 23 (No. 11), 2023, 1659–1675 more…
Escobar M., Kschonnek M. and Zagst R.: Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model. Quantitative Finance, 2023, 1-21 more…
Escobar M., Theilacker L. and Zagst R.: Revisiting the 1/N-strategy: a neural network framework for optimal strategies. Decisions in Economics and Finance, 2023 more…
Kschonnek M., Dobrovolska I., Protzer U. and Zagst R.: COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data. Applied Sciences, Vol. 13, No. 7, 4554, 2023 more…
Schlick O., Wahl M., and R. Zagst: Dynamische Portfolio-Absicherung mit Frühwarnkomponente. Absolut Report 22 (3), 2023 more…

2022

Escobar M., Havrylenko Y. and Zagst R.: Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model. Working Paper submitted for publication, 2022 more…
Escobar M., Keller M., and Zagst R.: Optimal HARA Investments with terminal VaR constraints. Advances in Operations Research, Vol. 2022, Article ID 6357701, 2022, more…
Escobar M., Kschonnek M. and Zagst R.: Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation. Mathematical Methods of Operations Research, 2022, 1-40 more…
Escobar M.; Gollart M.; Zagst R.: Closed-form portfolio optimization under GARCH models. Operations Research Perspectives 9, 2022, 1-13 more…
Escobar M.; Havrylenko Y.; Kschonnek M.; Zagst R.: Decrease of capital guarantees in life insurance products: can reinsurance stop it? Insurance: Mathematics and Economics Vol. 105, 14-40 (Insurance: Mathematics and Economics), 2022 more…
Escobar, M.; Wahl, M.; Zagst, R.: Portfolio Optimization with Wealth-Dependent Risk Constraints. Scandinavian Actuarial Journal (Vol. 3), 2022, 244-268 more…
Fuchs F.; Wahl M.; Zagst R. and X. Zheng: Stock Market Crisis Forecasting using Neural Networks with Input Factor Selection. Applied Sciences 12, 2022, 1-16 more…
Höcht, S.; Min, A.; Wieczorek, J.; Zagst, R.: Explaining Aggregated Recovery Rates. Risks 10 (18), 2022, 1-30 more…
Lichtenstern A. and Zagst R.: Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees. European Actuarial Journal 12 (1), 2022, 647-700 more…

2021

Defend, M.; Min, A.; Portelli, L.; Ramsauer, F.; Sandrini, F. & Zagst, R.: Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data. Forecasting 3, 2021, 56-90 more…
Desmettre S.; Wahl M.; Zagst R.: Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities. European Actuarial Journal, 2021 more…
Escobar M., Gollart M., and Zagst R.: Closed-form portfolio optimization under GARCH models. 2021, more…
Laeven R.J.A.; Milevsky M.A.; Scherer M.; Zagst R.; Zhou X.Y.: Editorial to the special issue on Behavioral Insurance: Mathematics and Economics. Insurance: Mathematics and Economics 101, 2021, 1-5 more…
Lichtenstern, A.; Shevchenko, P.; Zagst, R.: Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics 15, 2021, 275-313 more…
Swishchuk A.; Zagst R.; G. Zeller: Hawkes Processes in Insurance: Risk Model, Application to Empirical Data and Optimal Investment. Insurance: Mathematics and Economics 101, 2021, 107-124 more…

2020

Denk, K.; Djerroud, B.; Seco, L.; Shakourifar, M.; Zagst, R.: Option-Like Properties in the Distribution of Hedge Fund Returns. Frontiers of Engineering Management 7 (2), 2020, 275–286 more…
Escobar M., Havrylenko Y. ; R. Zagst: Optimal Fees in Hedge Funds with First-Loss Compensation. Jounal of Banking and Finance 118, 2020 more…
Escobar, M.; Panz, S.; Zagst, R.: Pricing multiple barrier derivatives under stochastic volatility. Journal of Computational Finance 24 (2), 2020, 77-101 more…
Escobar-Anel, M.; Lichtenstern, A.; Zagst, R.: Behavioral Portfolio Insurance Strategies. Financial Markets and Portfolio Management (34), 2020, 353-399 more…
Escobar-Anel, M.; Lichtenstern, A.; Zagst, R.: Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion. International Journal of Theoretical and Applied Finance 23 (7), 2020 more…
Min, A.; Scherer, M.; Schischke, A.; Zagst, R.: Modeling Recovery Rates of Small- and Medium-Sized Entities in the US. Mathematics 8 (11), 2020 more…

2019

Bertrand, P.; Kraus, J.; Zagst, R.: Option-Based Performance Participation. Journal of Banking and Finance (105), 2019, 44-61 more…
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R.: Portfolio optimization under Solvency II. Annals of Operations Research 281, 2019, 193–227 more…
Wahl, M.; Schlick, O. & Zagst, R.: Wenn die nächste Krise droht - Können finanzmathematische Modelle in die Zukunft sehen? Versicherungswirtschaft 74 (11), 2019, 78-81 more…

2018

Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.: Robust Multivariate Portfolio Choice With Stochastic Covariance In Presence Of Ambiguity. Quantitative Finance, 2018 more…
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 more…
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 more…
Wahl, M.; Schlick, O.; Zagst, R.: To see or not to see - Können finanzmathematische Modelle in die Zukunft sehen? BAI Newsletter (2), 2018, 17-23 more…

2017

Brummer, L.; Wahl, M.; Zagst, R.: Liability Driven Investments with a Link to Behavioral Finance. Innovations in Risk, 2017 more…
Escobar, M.; Götz, B.; Zagst, R.: Two Asset-Barrier Option under Stochastic Volatility. Applied Mathematical Finance 24 (6), 2017, 520–546 more…
Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R.: Vulnerable Exotic Derivatives. Journal of Derivatives 24 (3), 2017, 84-102 more…
Escobar, M.; Neykova, D.; Zagst, R.: HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance 17 (11), 2017, 1715-1733 more…
Leonhardt, D.; Ware, A.; Zagst, R.: A cointegrated regime-switching model approach with jumps for commodity futures prices. Risks 5 (3), 2017, 1-19 more…
Schlick, O.; Wahl, M.; Zagst, R.: Finanzmathematische Frühwarnsysteme in der Aktienallokation institutioneller Anleger. Absolut Report 16 (6), 2017, 42-49 more…
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 more…

2016

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 more…
Bienek, T.; Wahl, M.; Zagst, R.: Optimierung in stetiger Zeit – Dynamische Portfoliooptimierung. RISIKO MANAGER (6), 2016, 32-36 more…
Brunner, B.; Krayzler, M.; Zagst, R.: Closed-form solutions for Guaranteed Minimum Accumulation Benefits. European Actuarial Journal 6 (1), 2016, 197-231 more…
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 more…
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 more…
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, - more…
Mahlstedt, M; Zagst, R.: Inflation protected investment strategies. Risks 4 (2), 2016, 1-21 more…
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 more…

2015

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 more…
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 more…
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 more…
Steinrücke, L.; Swishchuk, A.; Zagst, R.: The Markov-switching Jump Diffusion LIBOR Market Model. Quantitative Finance 15 (3), 2015, 455-476 more…

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 more…
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 more…
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 more…
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 more…
Hauptmann, J.; Olivares, P.; Zagst, R.: Estimation of Risk Measures for Large Credit Portfolios. Journal of Credit Risk 10 (2), 2014, 3-37 more…
Hross, S.; Olivares, P.; Zagst, R.: Tail Approximations in Credit Portfolios using Large Deviations Techniques. Applied Mathematical Sciences 8 (22), 2014, 1071-1098 more…

2013

Bernhardt, E.; Kolbe, A.; Zagst, R.: Optimal Portfolios with Mortgage-Backed Securities. Journal of Real Estate Portfolio Management 19 (2), 2013, 121-136 more…
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 more…
Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.: Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics, 2013, - more…
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 more…
Krayzler, M.; Rauch, J.; Zagst, R.: Pricing of Derivatives on Commodity Indices. International Review of Financial Analysis 29, 2013, 143 - 151 more…
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 more…
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 more…

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 more…
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 more…
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 more…
Friederich, T.; Kraus, C.; Zagst, R.: ILLIX – A New Index for Quantifying Illiquidity. Journal of Financial Transformation 34, 2012, 183-193 more…
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 more…

2011

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 more…
Braun, R.; Engel, N.; Hieber, P.; Zagst, R.: The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance 18 (5), 2011, 815–832 more…
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 more…
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 more…
Escobar, M.; Kiechle, A.; Seco, L.; Zagst, R.: Options on a CPPI Portfolio. International Mathematical Forum 6 (5), 2011, 229-262 more…
Kraus, J.; Bertrand, P.; Zagst, R.: Theory of Performance Participation Strategies. working paper, 2011, - more…
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 more…
Zagst, R.; Kraus, J.: Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI. Annals of Operations Research 185 (1), 2011, 75-103 more…

2010

Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfoliooptimierung in sich ändernden Marktphasen. Absolut|report 9 (6), 2010, 30-39 more…
Escobar, M.; Götz, B.; Seco, L.; Zagst, R.: Pricing of a CDO on Stochastically Correlated Underlyings. Quantitative Finance 10 (3), 2010, 265-277 more…
Hofert, M.; Scherer, M.; Zagst, R.: Modeling the Evolution of Implied CDO Correlations. Financial Markets and Portfolio Management 24 (3), 2010, 289-308 more…
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 more…
Höcht, S.; Zagst, R.: Pricing Distressed CDOs with Stochastic Recovery. Review of Derivatives Research 13 (3), 2010, 219-244 more…
Kolbe, A.; Zagst, R.: Valuation of Reverse Mortgages under (limited) Default Risk. European Journal of Finance 16 (4), 2010, 305-327 more…
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 more…
Schöttle, K.; Werner, R.; Zagst,R.: Robustification of Bayesian Portfolio Allocation. Rethinking Risk Measurement and Reporting, 2010, 829-854 more…

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 more…
Escobar, M.; A., Kiechle; L., Seco; Zagst, R.: The Price of Liquidity in Constant Leverage Strategies. RACSAM 103 (2), 2009, 373-385 more…
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 more…
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 more…
Kolbe, A.; Zagst, R.: Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation. Applied Mathematical Finance 16 (5), 2009, 401-427 more…
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 more…

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 more…
Antes, S.; Ilg, M.; Schmid, B.; Zagst, R.: Empirical Evaluation of Hybrid Defaultable Bond Pricing Models. Applied Mathematical Finance 15 (3), 2008, 219-249 more…
Höcht, S.; Kroneberg, A.; Zagst, R.: Explaining Aggregated Recovery Rates. working paper, 2008, - more…
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 more…
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 more…
Höcht, S.; Zagst, R.: Loan Recovery Determinants: A Pan-European Study. working paper, 2008, - more…
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 more…
Poeschik, M.; Zagst, R.: Inverse Portfolio Optimization under Constraints. The Journal of Asset Management 9 (3), 2008, 239-253 more…
Scheuenstuhl, G.; Zagst, R.: Integrated Portfolio Management with Options. European Journal of Operations Research 185 (3), 2008, 1477-1500 more…
Zagst, R.: Asset Liability Management: Integration oder Diversifikation? Portfolio Institutionell 4, 2008, 20-22 more…

2007

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 more…
Kalin, D.; Zagst, R.: Portfolio Optimization Under Liquidity Cost. International Journal of Pure and Applied Mathematics 39 (2), 2007, 221-238 more…
Zagst, R.; Meyer, T.; Hagedorn, H.: Integrated Modelling of Stock and Bond Markets. International Journal of Finance 19 (1), 2007, 4252-4277 more…

2006

Gong, X.; Huber, M.; Lanzinner, S.; Zagst, R.: Zertifikate - Mehrwert für Privatanleger? Zeitschrift für das gesamte Kreditwesen 59 (22), 2006, 1235-1239 more…

2004

Zagst, R.; Roth, J.: Three-Factor Defaultable Term Structure Models. International Journal of Pure and Applied Mathematics 17 (2), 2004, 249-285 more…

2003

Zagst, R.; Kehrbaum, J.; Schmid, B.: Portfolio Optimization Under Credit Risk. Computational Statistics 18 (3), 2003, 317-338 more…

2002

Zagst, R.: Using Scenario Analysis for Risk Management. Journal of the German Statistical Society (AStA) 86, 2002, 97-117 more…

2001

Zagst, R.: Public Private Partnership: Zwei Welten - ein Ziel. Stiftung Sponsoring 5 (1), 2001, 37-38 more…
Zagst, R.; Kehrbaum, J.; Schmid, B.: Asset und Liability Management unter Berücksichtigung von Kreditrisiken. Solutions 5 (2), 2001, 17-22 more…

2000

Schmid, B.; Zagst, R.: A Three-Factor Defaultable Term Structure Model. The Journal of Fixed Income 10 (2), 2000, 63-79 more…

1999

Kalin, D.; Zagst, R.: Portfolio Optimization: Volatility versus Shortfall Constraints. OR Spektrum 21 (1/2), 1999, 97-122 more…
Zagst, R.: Stochastische Optimierung. Solutions 1 (3), 1999, 17-24 more…

1998

Mayer, S.; Zagst, R.: Hedging Barrier Options with Standard Products. risklab research paper No. 9805, 1998, - more…
Zagst, R.: Benchmark Optimization for Complex Interest-Rate Portfolios. risklab research paper No. 9801, 1998, - more…
Zagst, R.: Do You Regret? Asset Allocation bei beschränktem erwarteten Verlustpotential. Solutions 2 (2), 1998, 7-14 more…
Zagst, R.; Kehrbaum, J.: Portfolio Optimization Under Limited Value at Risk. risklab research paper No. 9802, 1998, - more…

1997

Zagst, R.: Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 2: Methoden mit approximativer Bewertung. Solutions 1 (2), 1997, 13-21 more…
Zagst, R.: Effiziente Value at Risk Berechnung für Rentenportfolios. Finanzmarkt und Portfolio Management 11 (2), 1997, 165-178 more…
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, - more…
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 more…
Zagst, R.; Kehrbaum, J.: Downside Up: Optimierung komplexer Zinsportfolios bei beschränktem Verlustpotential. Solutions 1 (3/4), 1997, 13-22 more…

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 more…

1995

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 more…
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 more…

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 more…

1990

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

Book Contributions and Conference Proceedings

2018

Brummer, L.; Wahl, M.; Zagst, R.: Liability Driven Investments with a Link to Behavioral Finance – Chapter 11. In: In: Glau, K.; Linders, D.; Min, A.; Scherer, M.; Schneider, L.; Zagst, R. (Eds.) (Ed.): Innovations in Insurance, Risk- and Asset Management. World Scientific , 2018, 275 - 311 more…

2014

Steinrücke, L.; Swishchuk, A.; Zagst, R.: The LIBOR Market Model: A Markov-switching Jump Diffusion Extension. In: Elliot, R.; Mamon, R. (Ed.): Hidden Markov Models in Finance: Further Developments and Applications. Springer US, 2014, 85-116 more…

2012

Mai, J.-F.; Scherer, M; Zagst, R.: CIID Default Models and Implied Copulas. In: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012. Springer Verlag, 2012, 201-230 more…
Zagst, R.: Mehrstufige Konsum- und Investmentplanung. In: Frick R., P. Gantenbein and P. Reichling (Ed.): Asset Management. Haupt-Verlag, 2012, 133-143 more…

2011

Hauptmann, J.; Zagst, R.: Systemic Risk. In: Quantitative Financial Risk Management. Springer-Verlag, Berlin, 2011, - more…

2010

Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.: Listed Private Equity in a Portfolio Context. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 21-49 more…
Escobar, M.; Götz, B.; Zagst, R.: Pricing Certificates under Issuer Risk. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 123-146 more…
Escobar, M.; Krämer, S.; Scheibl, F.; Seco, L.; Zagst, R.: Hedge Funds as Knock-out Options. In: Menéndez, S.C.; F Pérez, J.L. (Ed.): Contemporary Mathematics (Mathematics in Finance), Vol.515. American Mathematical Society, 2010, 1-15 more…
Hross, S.; Vogt, C.; Zagst, R.: Socially Responsible Investments. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 3-20 more…
Menzinger, B.; Schloesser, A.; Zagst, R.: Asset Allocation with Credit Instruments. In: Kiesel R., M. Scherer, and R. Zagst (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, - more…
Scherer, M.; Zagst, R.: Jarrow-Lando-Turnbull model. In: Cont, R. (Ed.): Encyclopedia of Quantitative Finance. Wiley, 2010, 985-987 more…
Scherer, M.; Zagst, R.: Modeling and pricing credit derivatives. In: Menéndez, S.C.; F Pérez, J.L. (Ed.): Contemporary Mathematics (Mathematics in Finance). American Mathematical Society, 2010, 111-146 more…

2008

Schmitt, C.; Zagst, R.: VaR and Risk Measures. In: Melnick, E.; Everitt, B. (Ed.): Encyclopedia of Quantitative Risk Assessment and Analysis. John Wiley, Chichester, UK, 2008, 1823-1830 more…

2007

Ng, K.H.; Zagst, R.; Höcht, S.; Wolf, J.: Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits. In: International Conference on Management Innovation. Universe Academic Press, 2007, - more…

2004

Garschhammer, C.; Zagst, R.: Ein stochastisches Modell zur Ertragsoptimerung bei Versicherungen. In: Spremann, K. (Ed.): Versicherung im Umbruch - Werte schaffen, Risiken managen, Kunden gewinnen. Springer Verlag, Heidelberg, 2004, 415-442 more…

2000

Scheuenstuhl, G.; Zagst, R.: Portfoliosteuerung bei beschränktem Verlustrisiko. In: Johanning, L.; Rudolph, B. (Ed.): Handbuch Risiko Management. Uhlenbruch Verlag, 2000, Band 1, 941-972 more…

1997

Scheuenstuhl, G.; Zagst, R.: Asymmetrische Renditestrukturen und ihre Optimierung im Portfolio Management mit Optionen. In: Kutscher, C.; Schwarz, G. (Ed.): Aktives Portfolio Management. Verlag Neue Züricher Zeitung, Zürich, 1997, 153-174 more…
Zagst, R.: Modernes Risikomanagement komplexer Rentenportfolios. In: Kleeberg, J.M.; Rehkugler, H. (Ed.): Handbuch Portfolio Management. Uhlenbruch Verlag, Bad Soden, 1997, 743-774 more…

1996

Scheuenstuhl, G.; Zagst, R.: Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints. In: Albrecht, P. (Ed.): Aktuarielle Ansätze für Finanzrisiken, Vol. II. Verlag Versicherungswirtschaft, 1996, 1497-1517 more…