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2024
- The Power of Derivatives in Portfolio Optimization under Affine GARCH models. Decisions in Economics and Finance, 2024 mehr…
- Bayesian learning in an Affine GARCH model with application to portfolio optimization. Working Paper submitted for publication 12 (1611), 2024 mehr…
- Optimal Consumption and Investment in General Affine GARCH Models. OR Spectrum, 2024 mehr…
- Do Jumps Matter in Discrete-Time Portfolio Optimization? Operations Research Perspectives, accepted for publication 13, 2024 mehr…
- Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution. Finance Research Letters 59 (104749), 2024 mehr…
- Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications. Working Paper submitted for publication, 2024 mehr…
- Optimal consumption and investment in general affine GARCH models. OR Spectrum, 2024 mehr…
- Mean–variance optimization under affine GARCH: A utility-based solution. Finance Research Letters 59 (104749), 2024 mehr…
- A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population. European Actuarial Journal, 2024 mehr…
- Analyzing Credit Spread Changes using Explainable Artifcial Intelligence. International Review of Financial Analysis 94 (103315), 2024 mehr…
- The Theory of Constant Proportion Performance Participation. Working Paper submitted for publication, 2024 mehr…
- Partial hedging in credit markets with structured derivatives: a quantitative approach using put options. Journal of Derivatives and Quantitative Studies, 2024 mehr…
- Is accumulation risk in cyber methodically underestimated? European Actuarial Journal, 2024 mehr…
2023
- Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. ASTIN Bulletin, 2023, 1-30 mehr…
- A Multi-Curve HJM Factor model for pricing and risk management. Quantitative Finance Vol. 23 (No. 11), 2023, 1659–1675 mehr…
- On the estimation of distributional household wealth – Solving under-reporting via optimization problems. European Central Bank Working Paper Series, 2023, 2865 mehr…
- Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model. Quantitative Finance, 2023, 1-21 mehr…
- Revisiting the 1/N-strategy: a neural network framework for optimal strategies. Decisions in Economics and Finance, 2023 mehr…
- Do Jumps Matter in Discrete-Time Portfolio Optimization? 2023, mehr…
- When copulas and smoothing met: An interview with Irène Gijbels. Dependence Modeling , 2023 mehr…
- COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data. Applied Sciences, Vol. 13, No. 7, 4554, 2023 mehr…
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence. Frontiers of Mathematical Finance, 2023 mehr…
- Dynamische Portfolio-Absicherung mit Frühwarnkomponente. Absolut Report 22 (3), 2023 mehr…
- SME default prediction using random forest including nonfinancial features: An empiricial analysis of German enterprises. Journal of the International Council for Small Business, 2023 mehr…
- Implementing Markovian models for extendible Marshall–Olkin distributions. Dependence Modeling, 2023 mehr…
- Risk mitigation services in cyber insurance: Optimal contract design and price structure. The Geneva Papers on Risk and Insurance—Issues and Practice, 2023 mehr…
2022
- Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes. Extremes, 2022 mehr…
- A corrected Clarke test for model selection and beyond. Journal of Econometrics, 2022 mehr…
- Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences. Journal of Multivariate Analysis, 2022 mehr…
- Vine copula based dependence modeling in sustainable finance. The Journal of Finance and Data Science, 2022 mehr…
- Testing for equality between conditional copulas given discretized conditioning events. Canadian Journal of Statistics, 2022 mehr…
- Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model. Working Paper submitted for publication, 2022 mehr…
- Optimal HARA Investments with terminal VaR constraints. Advances in Operations Research, Vol. 2022, Article ID 6357701, 2022, mehr…
- Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics. working paper submitted for publication, 2022 mehr…
- Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation. Mathematical Methods of Operations Research, 2022, 1-40 mehr…
- Closed-form portfolio optimization under GARCH models. Operations Research Perspectives 9, 2022, 1-13 mehr…
- 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 mehr…
- Portfolio Optimization with Wealth-Dependent Risk Constraints. Scandinavian Actuarial Journal (Vol. 3), 2022, 244-268 mehr…
- Stock Market Crisis Forecasting using Neural Networks with Input Factor Selection. Applied Sciences 12, 2022, 1-16 mehr…
- Explaining Aggregated Recovery Rates. Risks 10 (18), 2022, 1-30 mehr…
- 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 mehr…
- Stationary vine copula models for multivariate time series. Journal of Econometrics, 2022 mehr…
- Detection of Interacting Variables for Generalized Linear Models via Neural Networks. Working Paper submitted for publication, 2022 mehr…
2021
- Detecting departures from meta-ellipticity for multivariate stationary time series. Dependence Modeling, 2021 mehr…
- Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data. Forecasting 3, 2021, 56-90 mehr…
- Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities. European Actuarial Journal, 2021 mehr…
- A block-structured model for banking networks across multiple countries. Journal of Network Theory in Finance, 2021 mehr…
- Closed-form portfolio optimization under GARCH models. 2021, mehr…
- Expected Utility Theory on General Affine GARCH Models. Applied Mathematical Finance 28 (6), 2021, 477-507 mehr…
- Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models. Empirical Economics, 2021 mehr…
- Editorial to the special issue on Behavioral Insurance: Mathematics and Economics. Insurance: Mathematics and Economics 101, 2021, 1-5 mehr…
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics 15, 2021, 275-313 mehr…
- The Standard Formula of Solvency II: A critical discussion. European Actuarial Journal (11), 2021, 3-20 mehr…
- Hawkes Processes in Insurance: Risk Model, Application to Empirical Data and Optimal Investment. Insurance: Mathematics and Economics 101, 2021, 107-124 mehr…
- A comprehensive model for cyber risk based on marked point processes and its application to insurance. European Actuarial Journal, 2021 mehr…
2020
- Option-Like Properties in the Distribution of Hedge Fund Returns. Frontiers of Engineering Management 7 (2), 2020, 275–286 mehr…
- Optimal Fees in Hedge Funds with First-Loss Compensation. Jounal of Banking and Finance 118, 2020 mehr…
- Pricing multiple barrier derivatives under stochastic volatility. Journal of Computational Finance 24 (2), 2020, 77-101 mehr…
- Behavioral Portfolio Insurance Strategies. Financial Markets and Portfolio Management (34), 2020, 353-399 mehr…
- Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion. International Journal of Theoretical and Applied Finance 23 (7), 2020 mehr…
- Insurance applications of dependence modeling: An interview with Edward (Jed) Frees. Dependence Modeling , 2020 mehr…
- The gentleman copulist: An interview with Carlo Sempi. Dependence Modeling , 2020 mehr…
- Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. Journal of Banking and Finance, 2020 mehr…
- On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity. Computational Statistics , 2020 mehr…
- On the structure of exchangeable extreme-value copulas. Journal of Multivariate Analysis, 2020 mehr…
- Modeling Recovery Rates of Small- and Medium-Sized Entities in the US. Mathematics 8 (11), 2020 mehr…
- The deFinetti representation of generalised Marshall–Olkin sequences. Dependence Modeling 8, 2020, 107-118 mehr…
- A probabilistic view on semilinear copulas. Information Sciences 512, 2020, 258-276 mehr…
2019
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal Issue 6, 2019 mehr…
- Option-Based Performance Participation. Journal of Banking and Finance (105), 2019, 44-61 mehr…
- Valuation of Contingent Guarantees using Least-Squares Monte Carlo. ASTIN Bulletin: The Journal of the IAA 49 (1), 2019, 31-56 mehr…
- Complexity reduction for calibration to American options. Journal of Computational Finance 23 (1), 2019, 25-60 mehr…
- Tonuity: A novel individual-oriented retirement plan. ASTIN Bulletin 49 (1), 2019, 5-30 mehr…
- Regulatory measures for distressed insurance undertakings: A comparative study. Scandinavian Actuarial Journal, 2019 mehr…
- 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…
- Reconstructing the topology of financial networks from degree distributions and reciprocity. Journal of Multivariate Analysis (172), 2019, 210-222 mehr…
- Portfolio optimization under Solvency II. Annals of Operations Research 281, 2019, 193–227 mehr…
- Parametric Integration by Magic Point Empirical Interpolation. IMA Journal of Numerical Analysis 39 (1), 2019, 315–341 mehr…
- The world of vines - An Interview with Claudia Czado. Dependence Modeling , 2019 mehr…
- Improved error bound for multivariate Chebyshev polynomial interpolation. International Journal of Computer Mathematics 96(11), 2019, 2302-2314 mehr…
- 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 (16), 2019, 1 - 29 mehr…
- Editorial for the Special Issue on Dependence Models. Journal of Multivariate Analysis, 2019 mehr…
- Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components. Econometrics , 2019 mehr…
- Exogenous shock models: Analytical characterization and probabilistic construction. Metrika 82 (8), 2019, 931-966 mehr…
- Finanzmathematische Frühwarnsysteme in der Aktienallokation institutioneller Anleger. Absolut spezial (Juli), 2019, 52-63 mehr…
- Wenn die nächste Krise droht - Können finanzmathematische Modelle in die Zukunft sehen? Versicherungswirtschaft 74 (11), 2019, 78-81 mehr…
2018
- Robust Multivariate Portfolio Choice With Stochastic Covariance In Presence Of Ambiguity. Quantitative Finance, 2018 mehr…
- Hedging and Valuation of Contingent Guarantees. Working Paper, 2018 mehr…
- Calibration to American Options: Numerical Investigation of the de-Americanization. Quantitative Finance 18 (7), 2018 mehr…
- Forecasting turbulence in the Asian and European stock market using regime-switching models. Quantitative Finance and Economics 2 (2), 2018, 388-406 mehr…
- 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…
- Chebyshev Interpolation for Parametric Option Pricing (first version 2015). Finance and Stochastics 22 (3), 2018, 7 mehr…
- Pricing exotic options in a regime switching economy: A Fourier transform method. Review of Derivatives Research (Vol. 21), 2018, 231-252 mehr…
- Optimal fee structures in hedge funds. Journal of Asset Management Vol. 19 (No. 7), 2018, 522–542 mehr…
- Sharp analytical lower bounds for the price of a convertible bond. The Journal of Derivatives 26 (2), 2018, 7-18 mehr…
- Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? Dependence Modeling, 2018 mehr…
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property. Journal of Statistical Computation and Simulation , 2018 mehr…
- Membership testing for Bernoulli and tail-dependence matrices. Journal of Multivariate Analysis (168), 2018, 240-260 mehr…
- Copulas, credit portfolios, and the broken heart syndrome. Dependence Modeling , 2018 mehr…
- To see or not to see - Können finanzmathematische Modelle in die Zukunft sehen? BAI Newsletter (2), 2018, 17-23 mehr…
2017
- Modeling Influenza-Like Illness Activity in the United States. North American Actuarial Journal 21 (3), 2017, 323-342 mehr…
- Liability Driven Investments with a Link to Behavioral Finance. Innovations in Risk, 2017 mehr…
- Distribuzioni con marginali assegnate: Gli Inizi - Un'intervista con Giorgio Dall'Aglio. Lettera Matematica, 2017 mehr…
- The Vine Philosopher - An interview with Roger Cooke. Dependence Modeling , 2017 mehr…
- My introduction to copulas - An interview with Roger Nelsen. Dependence Modeling (5), 2017, 88-98 mehr…
- Two Asset-Barrier Option under Stochastic Volatility. Applied Mathematical Finance 24 (6), 2017, 520–546 mehr…
- Vulnerable Exotic Derivatives. Journal of Derivatives 24 (3), 2017, 84-102 mehr…
- HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance 17 (11), 2017, 1715-1733 mehr…
- Simulating Lévy-frailty copulas built from alpha-stable Lévy-subordinators. Working Paper, 2017 mehr…
- Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing (first version 2015). SIAM Journal for Financial Mathematics 8 (1), 2017 mehr…
- Cliquet-style return guarantees in a regime switching Lévy model. Insurance Mathematics and Economics (Vol. 72), 2017, 138-147 mehr…
- Copula-Based Factor Models for Multivariate Asset Returns. Econometrics, 2017 mehr…
- A simple non-parametric goodness-of-fit test for elliptical copulas. Dependence Modeling (5), 2017, 330–353 mehr…
- A cointegrated regime-switching model approach with jumps for commodity futures prices. Risks 5 (3), 2017, 1-19 mehr…
- Two Novel Characterizations of Self-Decomposability on the Half-Line. Journal of Theoretical Probability 30 (1), 2017, 365–383 mehr…
- Finanzmathematische Frühwarnsysteme in der Aktienallokation institutioneller Anleger. Absolut Report 16 (6), 2017, 42-49 mehr…
- Optimal investment with transaction costs under cumulative prospect theory in discrete time. Mathematics and Financial Economics 11 (4), 2017, 393-421 mehr…
2016
- Parametric Model Risk and Power Plant Valuation. Energy Economics , 2016, 423-434 mehr…
- A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps. International Journal of Theoretical and Applied Finance 19 (8), 2016, - mehr…
- 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…
- Optimierung in stetiger Zeit – Dynamische Portfoliooptimierung. RISIKO MANAGER (6), 2016, 32-36 mehr…
- 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…
- Closed-form solutions for Guaranteed Minimum Accumulation Benefits. European Actuarial Journal 6 (1), 2016, 197-231 mehr…
- Optimal Asset Allocation in Life Insurance: The Impact of Regulation. ASTIN Bulletin No. 3 (Vol. 46), 2016, 605-626 mehr…
- Absolute Continuity of Semimartingale. Electronic Journal of Probability, 2016 mehr…
- Martingale Property of Exponential Semimartingales: A Note on Explicit Conditions and Applications to Financial Models. Applied Mathematical Finance, 2016, - mehr…
- Stat Trek - An interview with Christian Genest. Dependence Modeling , 2016 mehr…
- Distributions with given marginals: the beginnings. Dependence Modeling , 2016 mehr…
- Stat Trek - An interview with Christian Genest. Dependence Modeling (4), 2016, 109 - 122 mehr…
- Distributions with given marginals: the beginnings. Dependence Modeling (4), 2016, 237–250 mehr…
- Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options. Review of Derivatives Research 19 (3), 2016, 165-200 mehr…
- Incorporation of stochastic policyholder behaviour in analytical pricing of GMABs and GMDBs. Risks 4 (4), 2016, 1-36 mehr…
- Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions. Transactions on Mathematical Software, accepted for publication 42 (4/33), 2016, - mehr…
- Emil J. Gumbel - Ein Statistiker der Extreme. RISIKO MANAGER (05/2016), 2016, 33-39 mehr…
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models. SIAM Journal for Financial Mathematics, 2016 mehr…
- Convergence Analysis of Galerkin Methods for Option Pricing in Time-inhomogeneous Lévy models. Working Paper, 2016 mehr…
- Convergence Analysis of Galerkin Methods for Non-Coercive Linear Parabolic PIDEs. Working Paper, 2016 mehr…
- Feynman-Kac Formula for Lévy Processes with Discontinuous Killing Rate. Finance and Stochastics (20/4), 2016, 1021–1059 mehr…
- A Unified View on LIBOR Models. accepted for publication in the Festschrift in honour of Ernst Eberlein, 2016 mehr…
- Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations. SIAM Journal Theory of Probability and Its Application (60/3), 2016, 383–406 mehr…
- 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…
- Valuation of employee stock options using the exercise multiple approach and life tables. Insurance: Mathematics and Economics 68, 2016, 17–26 mehr…
- Inflation protected investment strategies. Risks 4 (2), 2016, 1-21 mehr…
- Analyzing model robustness via distortion of the stochastic root: A Dirichlet prior approach. Statistics & Risk Modeling 32 (3-4), 2016, 177–195 mehr…
- Exchangeable exogenous shock models. Bernoulli 22 (2), 2016, 1278-1299 mehr…
- Risk Management and Portfolio Selection using α-stable Regime Switching Models. Applied Mathematical Sciences 10 (12), 2016, 549 - 582 mehr…
- Extremal dependence for bilateral credit valuation adjustments. International Journal of Theoretical and Applied Finance (IJTAF) 19 (7), 2016 mehr…
2015
- Pricing of spread options on a bivariate jump market and stability to model risk. Applied Mathematical Finance 22 (1), 2015, 28-62 mehr…
- A survey of dynamic representations and generalizations of the Marshall–Olkin distribution. Proceedings in Mathematics & Statistics, 2015, 1-13 mehr…
- The density of distributions from the Bondesson class. Journal of Computational Finance 18 (3), 2015, 99-128 mehr…
- On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Dependence Modeling (3), 2015, 29–46 mehr…
- Quantification of model risk in quadratic hedging in finance. Stochastics of Environmental and Financial Economics, 2015 mehr…
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting. Stochastic Analysis and Applications, 2015 mehr…
- Die Copulae fanden mich ... RISIKO MANAGER (17), 2015, 23-28 mehr…
- Building bridges between Mathematics, Insurance and Finance. Dependence Modeling (3), 2015, 17-28 mehr…
- A Journey from Statistics and Probability to Risk Theory. Dependence Modeling (3), 2015, 182-195 mehr…
- Pricing two-asset Barrier Options under Stochastic Correlation via Perturbation. International Journal of Theoretical and Applied Finance 18 (3), 2015, 1-44 mehr…
- Portfolio Optimization in Affine Models with Markov Switching. International Journal of Theoretical and Applied Finance 18 (5), 2015, 1-46 mehr…
- Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples. Annals of Finance 11 (3), 2015, 503-530 mehr…
- The mean of Marshall-Olkin dependent exponential random variables. Proceedings in Mathematics & Statistics, 2015, 33-50 mehr…
- 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…
- Discretisation of FBSDEs driven by CÀDLÀG martingales. Journal of Mathematical Analysis and Applications, 2015 mehr…
- Bernoulli and tail-dependence matrices: A simple numerical test. Working Paper, 2015 mehr…
- The Markov-switching Jump Diffusion LIBOR Market Model. Quantitative Finance 15 (3), 2015, 455-476 mehr…
2014
- Longevity Risk Assessment for Defined-Benefit Pension Plans. Insitutional Investors Journals, Special Issues 2014 (1), 2014, 88-98 mehr…
- On the calibration of distortion risk measures to bid-ask prices. Quantitative Finance 14 (7), 2014, 1217-1228 mehr…
- A note on the numerical evaluation of the Hartman-Watson density and distribution function. working paper, 2014, - mehr…
- Robustness of quadratic hedging strategies in finance via fourier transforms. submitted paper, 2014, - mehr…
- Robustness of quadratic hedging strategies via backward stochastic differential equations. accepted for publication in Applied Mathematics and Optimization, 2014, - mehr…
- Variational Solutions of the Pricing PIDE for European Options in Lévy Models. Applied Mathematical Finance (21/5), 2014, 417-450 mehr…
- Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance 21 (6), 2014, 555-594 mehr…
- Closed form pricing of two-asset barrier options with stochastic covariance. Applied Mathematical Finance 21 (4), 2014, 363-397 mehr…
- Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research 17 (2), 2014, 191–216 mehr…
- Die PIDE-Methode. RISIKO MANAGER (25), 2014, 17-24 mehr…
- Forecasting market turbulences using regime-switching models. Financial Markets and Portfolio Management 28 (2), 2014, 139-164 mehr…
- Estimation of Risk Measures for Large Credit Portfolios. Journal of Credit Risk 10 (2), 2014, 3-37 mehr…
- 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…
- First-passage times of regime switching models. Statistics and Probability Letters 92, 2014, 148–157 mehr…
- Tail Approximations in Credit Portfolios using Large Deviations Techniques. Applied Mathematical Sciences 8 (22), 2014, 1071-1098 mehr…
- 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…
- Was sind Lévy-Prozesse? RISIKO MANAGER (15), 2014, 6-13 mehr…
- Statistische Eigenschaften und historische Parameterschätzung. RISIKO MANAGER (17), 2014, 8-14 mehr…
- Optionsbewertung in exponentiellen Lévy-Modellen. Risiko Manager (20), 2014, 13-18 mehr…
- A multivariate default model with spread and event risk. Applied Mathematical Finance 21 (1), 2014, 51-83 mehr…
- Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Extremes 17 (1), 2014, 77-95 mehr…
- Sequential modeling of dependent jump processes. Wilmott Magazine 2014 (70), 2014, 54-63 mehr…
- SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 mehr…
- Optionspreisberechnung via Fast Fourier Transform (Teil 4). Risiko Manager (23), 2014, 6-12 mehr…
2013
- A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing. Wilmott Magazine 2013 (65), 2013, 58-69 mehr…
- Capturing parameter uncertainty with convex risk measures. European Actuarial Journal 3 (1), 2013, 97-132 mehr…
- Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion. submitted paper, 2013, - mehr…
- 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…
- Optimal Portfolios with Mortgage-Backed Securities. Journal of Real Estate Portfolio Management 19 (2), 2013, 121-136 mehr…
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications. Metrika 76 (2), 2013, 179-203 mehr…
- On convexity adjustments for stock derivatives due to stochastic repo margins. working paper, 2013, - mehr…
- 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…
- Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo. Open Journal of Statistics (OJS) 3 (6), 2013, 427-440 mehr…
- Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics, 2013, - mehr…
- Market Crises and the 1/N Asset-Allocation Strategy. The Journal of Investment Strategies 2 (4), 2013, 1-23 mehr…
- Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications 19 (2), 2013, 107-141 mehr…
- 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…
- Pricing of Derivatives on Commodity Indices. International Review of Financial Analysis 29, 2013, 143 - 151 mehr…
- What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Statistics and Risk Modeling 30 (4), 2013, 287–306 mehr…
- Sampling exchangeable and hierarchical Marshall-Olkin distributions. Communications in Statistics – Theory and Methods 42 (4), 2013, 619-632 mehr…
- Extendibility of Marshall-Olkin distributions and inverse Pascal triangles. Brazilian Journal of Probability and Statistics 27 (3), 2013, 310–321 mehr…
- Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws. Journal of Multivariate Analysis 115, 2013, 457–480 mehr…
- A Fund of Hedge Funds under Regime Switching. The Journal of Alternative Investments 15 (4), 2013, 8-23 mehr…
- The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis. European Actuarial Journal 3, 2013, 407-438 mehr…
2012
- Modeling and Managing Portfolios including Listed Private Equity. Journal of Computers and Operations Research 39 (4), 2012, 753 - 764 mehr…
- 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…
- Computation of Greeks in multi-factor models with applications to power and commodity markets. Journal of Energy Markets 5 (4), 2012, 3-31 mehr…
- Pricing of spread options on a bivariate jump market and stability to model risk. submitted paper, 2012, - mehr…
- Consistent Modeling of Discrete Cash Dividends. working paper, 2012, - mehr…
- A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4, 2012, 278-305 mehr…
- Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229–255 mehr…
- Structural Credit Modeling under Stochastic Volatility. International Journal of Statistics and Probability 1 (1), 2012, 20 - 35 mehr…
- Impact of Factor Models on Portfolio Risk Measures: A Structural Approach. Journal of Credit Risk 8 (2), 2012, 47-79 mehr…
- ILLIX – A New Index for Quantifying Illiquidity. Journal of Financial Transformation 34, 2012, 183-193 mehr…
- A classification of Lévy processes via their symbols and its application to Finance. working paper, 2012, - mehr…
- A note on first-passage times of continuously time-changed Brownian motion. Statistics and Probability Letters 82 (1), 2012, 165-172 mehr…
- 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…
- H-extendible copulas. Journal of Multivariate Analysis 110, 2012, 151-160 mehr…
- Shot-noise driven multivariate default models. European Actuarial Journal 2 (2), 2012, 161-186 mehr…
- 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
- Robustness of option prices and their deltas in markets modeled by jump-diffusions. Communications on Stochastic Analysis 5 (2), 2011, 285–307 mehr…
- Asset Correlations in Turbulent Markets and their Implications on Asset Management. Asia-Pacific Journal of Operational Research 28 (1), 2011, 1-23 mehr…
- The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance 18 (5), 2011, 815–832 mehr…
- PIDEs for Pricing European Options in Lévy Models - A Fourier Approach. , 2011 mehr…
- Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models. Advanced Mathematical Methods for Finance, 2011, 223-245 mehr…
- An Intensity-based Approach for Equity Modeling. Applied Stochastic Models in Business and Industry 27 (6), 2011, 676-690 mehr…
- A General Structural Approach for Credit Modeling under Stochastic Volatility. Journal of Financial Transformation 32, 2011, 123-132 mehr…
- Portfolio optimization in a multidimensional structural-default model with a focus on private equity. Journal of Private Equity 15 (1), 2011, 26–35 mehr…
- Options on a CPPI Portfolio. International Mathematical Forum 6 (5), 2011, 229-262 mehr…
- 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…
- CDO pricing with nested Archimedean copulas. Quantitative Finance 11 (5), 2011, 775-787 mehr…
- Credit portfolio modelling in structural models with jumps. working paper, 2011, - mehr…
- Theory of Performance Participation Strategies. working paper, 2011, - mehr…
- Reparameterizing Marshall-Olkin copulas with applications to sampling. Journal of Statistical Computation and Simulation 81 (1), 2011, 59-78 mehr…
- Bivariate extreme-value copulas with discrete Pickands dependence measure. Extremes 14 (4), 2011, 311-324 mehr…
- Bayesian model selection for multivariate copulas using pair-copula constructions. Canadian Journal of Statistics 39(2), 2011, 239-258 mehr…
- Modeling the Dynamics of Higher Order Moments: Evidence from the S&P 500 Options. working paper, 2011, - mehr…
- Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm. Journal of Computational Finance, 2011, - mehr…
- 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…
- The Crash-NIG-Factor Copula Model: Risk Management of Credit Portfolios. Journal of Risk Management in Financial Institutions 4 (4), 2011, 392-418 mehr…
- Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI. Annals of Operations Research 185 (1), 2011, 75-103 mehr…
- Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196-1214 mehr…
2010
- 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…
- Efficient Maximum Likelihood Estimation of Copula based Meta t-distributions. Computational Statistics & Data Analysis 55 (3), 2010, 1196-1214 mehr…
- Multivariate hierarchical copulas with shocks. Methodology and Computing in Applied Probability 12 (4), 2010, 681-894 mehr…
- Analysis of Fourier Transform Valuation Formulas and Applications. Applied Mathematical Finance (17/3), 2010, 211–240 mehr…
- Portfoliooptimierung in sich ändernden Marktphasen. Absolut|report 9 (6), 2010, 30-39 mehr…
- Pricing of a CDO on Stochastically Correlated Underlyings. Quantitative Finance 10 (3), 2010, 265-277 mehr…
- Pricing of a CDO Option on Stochastically Correlated Underlyings. Quantitative Finance 10 (3), 2010, 265-277 mehr…
- 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…
- Constructing hierarchical Archimedean copulas with Lévy subordinators. Journal of Multivariate Analysis 101 (6), 2010, 1428-1433 mehr…
- Moment-based estimation of extendible Marshall-Olkin copulas. working paper, 2010, - mehr…
- Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics 235 (3), 2010, 679-685 mehr…
- Modeling the Evolution of Implied CDO Correlations. Financial Markets and Portfolio Management 24 (3), 2010, 289-308 mehr…
- Pricing Credit Derivatives under Stochastic Recovery in a Hybrid Model. Applied Stochastic Models in Business and Industry 26, 2010, 254-276 mehr…
- Pricing Distressed CDOs with Stochastic Recovery. Review of Derivatives Research 13 (3), 2010, 219-244 mehr…
- Valuation of Reverse Mortgages under (limited) Default Risk. European Journal of Finance 16 (4), 2010, 305-327 mehr…
- The Pickands representation of survival Marshall-Olkin copulas. Statistics and Probability Letters 80 (5/6), 2010, 357-360 mehr…
- Testing for zero-modification in count regression models. Statistica Sinica 20 (1), 2010, 323-341 mehr…
- Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 mehr…
- Model selection strategies for identifying relevant covariates in homescedastic linear models. Computational Statistics and Data Analysis 54 (12), 2010, 3194-3211 mehr…
- Comparison and Robustification of Bayes and Black-Litterman Models. Mathematical Methods of Operations Research 71 (3), 2010, 453-475 mehr…
- Robustification of Bayesian Portfolio Allocation. Rethinking Risk Measurement and Reporting, 2010, 829-854 mehr…
- Modelling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 mehr…
2009
- Portfolio Selection under Changing Market Conditions. International Journal of Financial Services Management 4 (1), 2009, 48-63 mehr…
- The Price of Liquidity in Constant Leverage Strategies. RACSAM 103 (2), 2009, 373-385 mehr…
- Pricing of Spread Options on Stochastically Correlated Underlyings. The Journal of Computational Finance 12 (3), 2009, 31-61 mehr…
- 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…
- Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation. Applied Mathematical Finance 16 (5), 2009, 401-427 mehr…
- Pricing k-th to default swaps in a Lévy-time framework. Journal of Credit Risk 5 (3), 2009, 55-70 mehr…
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions. Information Sciences 179 (17), 2009, 2872-2877 mehr…
- A tractable multivariate default model based on a stochastic time-change. International Journal of Theoretical and Applied Finance 12 (2), 2009, 227-249 mehr…
- Lévy-frailty copulas. Journal of Multivariate Analysis 100 (7), 2009, 1567-1585 mehr…
- Asset Allocation with Credit Instruments. working paper, 2009, - mehr…
- Method of Moment Estimation in Time-Changed Lévy Models. working paper, 2009, - mehr…
- Pricing options on variance in affine stochastic volatility models. Mathematical Finance, 2009, - mehr…
- Modeling and Pricing of Credit Derivatives Using Macro-Economic Information. Journal of Financial Transformation 26, 2009, 60-68 mehr…
2008
- What Drives PE? Analyses of Success Factors for Private Equity Funds. Journal of Private Equity 11 (4), 2008, 63-85 mehr…
- Empirical Evaluation of Hybrid Defaultable Bond Pricing Models. Applied Mathematical Finance 15 (3), 2008, 219-249 mehr…
- A Counterexample Concerning the Variance-Optimal Martingale Measure. Mathematical Finance 18 (2), 2008, 305-316 mehr…
- Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation. Mathematical Finance 18 (3), 2008, 473-492 mehr…
- 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…
- Explaining Aggregated Recovery Rates. working paper, 2008, - mehr…
- Asset Liability Managment in Financial Planning. The Journal of Wealth Management 11 (2), 2008, 29-46 mehr…
- Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits. International Journal of Service Sciences 1 (1), 2008, 36-68 mehr…
- Loan Recovery Determinants: A Pan-European Study. working paper, 2008, - mehr…
- COGARCH as a Continuous-Time Limit of GARCH(1,1). Stochastic Processes and their Applications 119 (1), 2008, 74-98 mehr…
- 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…
- On Using Shadow Prices in Portfolio Optimization with Transaction Costs. The Annals of Applied Probability 20 (4), 2008, 1341-1358 mehr…
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Stochastic Processes and their Applications 120 (2), 2008, 163-181 mehr…
- Utility maximization in affine stochastic volatility models. The International Journal of Theoretical and Applied Finance 13 (3), 2008, 459-477 mehr…
- Inverse Portfolio Optimization under Constraints. The Journal of Asset Management 9 (3), 2008, 239-253 mehr…
- Integrated Portfolio Management with Options. European Journal of Operations Research 185 (3), 2008, 1477-1500 mehr…
- Asset Liability Management: Integration oder Diversifikation? Portfolio Institutionell 4, 2008, 20-22 mehr…
2007
- A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modelling and Derivative Pricing. Applied Mathematical Finance 14 (2), 2007, 153-169 mehr…
- Hedging by Sequential Regression Revisited. Mathematical Finance 19 (4), 2007, 591-617 mehr…
- On the Structure of General Mean-Variance Hedging Strategies. The Annals of Probability 35 (4), 2007, 1479-1531 mehr…
- 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…
- 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…
- Portfolio Optimization Under Liquidity Cost. International Journal of Pure and Applied Mathematics 39 (2), 2007, 221-238 mehr…
- Calibration of correlation matrices - SDP or not SDP. working paper, 2007, - mehr…
- Integrated Modelling of Stock and Bond Markets. International Journal of Finance 19 (1), 2007, 4252-4277 mehr…
2006
- 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…
- Zertifikate - Mehrwert für Privatanleger? Zeitschrift für das gesamte Kreditwesen 59 (22), 2006, 1235-1239 mehr…
- Variance-Optimal Hedging for Processes with Stationary Independent Increments. The Annals of Applied Probability 16 (2), 2006, 853-885 mehr…
- A Short Note on the Efficient Implementation of the NIG Distribution. working paper, 2006, - mehr…
- On Utility-Based Derivative Pricing with and without Intermediate Trades. Statistics and Decisions 24 (4), 2006, 415-434 mehr…
- Characterization of Dependence of Multidimensional Lévy Processes Using Lévy Copulas. Journal of Multivariate Analysis 97 (7), 2006, 1551-1572 mehr…
- Pricing of Credit Derivatives. International Journal of Theoretical and Applied Finance, 2006, - mehr…
- Towards Reliable Efficient Frontiers. Journal of Asset Management 7 (2), 2006, 128-141 mehr…
- Consistency of Robust Portfolio Estimators. working paper, 2006, - mehr…
- Cascading - an Adjusted Exchange Method for Robust Conic Programming. Central European Journal of Operations Research 16 (2), 2006, 179-189 mehr…
2004
- Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 mehr…
- Sigma-Localization and Sigma-Martingales. Theory of Probability and its Applications 48 (1), 2004, 152-163 mehr…
- Pricing Derivatives of American and Game Type in Incomplete Markets. Finance and Stochastics 8 (2), 2004, 261-284 mehr…
- Three-Factor Defaultable Term Structure Models. International Journal of Pure and Applied Mathematics 17 (2), 2004, 249-285 mehr…
2003
- Risk Management Based on Stochastic Volatility. Journal of Risk 5 (2), 2003, 19-44 mehr…
- A Complete Explicit Solution to the Log-Optimal Portfolio Problem. The Annals of Applied Probability 13 (2), 2003, 774-799 mehr…
- Optimization: Bridging the Gap between Conceptual and Preliminary Design. Aerospace Science and Technology 5 (8), 2003, 541-554 mehr…
- Portfolio Optimization Under Credit Risk. Computational Statistics 18 (3), 2003, 317-338 mehr…
2002
- Derivative Pricing Based on Local Utility Maximization. Finance and Stochastics 6 (1), 2002, 115-140 mehr…
- The Cumulant Process and Esscher's Change of Measure. Finance and Stochastics 6 (4), 2002, 397-428 mehr…
- Using Scenario Analysis for Risk Management. Journal of the German Statistical Society (AStA) 86, 2002, 97-117 mehr…
2001
- A Note on the Log-Optimal Portfolio Problem. Technical Report 32, Math. Fakultät, Univ. Freiburg i. Br. , 2001, - mehr…
- Time Change Representation of Stochastic Integrals. Theory of Probability and Its Applications 46 (3), 2001, 522-528 mehr…
- Public Private Partnership: Zwei Welten - ein Ziel. Stiftung Sponsoring 5 (1), 2001, 37-38 mehr…
- Asset und Liability Management unter Berücksichtigung von Kreditrisiken. Solutions 5 (2), 2001, 17-22 mehr…
2000
- Optimal Portfolios for Logarithmic Utility. Stochastic Processes and their Applications 89 (1), 2000, 31-48 mehr…
- Optimal Portfolios for Exponential Lévy Processes. Mathematical Methods of Operations Research 51 (3), 2000, 357-374 mehr…
- A Three-Factor Defaultable Term Structure Model. The Journal of Fixed Income 10 (2), 2000, 63-79 mehr…
1999
- Portfolio Optimization: Volatility versus Shortfall Constraints. OR Spektrum 21 (1/2), 1999, 97-122 mehr…
- 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…
- A Utility Maximization Approach to Hedging in Incomplete Markets. Mathematical Methods of Operations Research 50 (2), 1999, 321-338 mehr…
- Stochastische Optimierung. Solutions 1 (3), 1999, 17-24 mehr…
1998
- Duality Links between Portfolio Optimization and Derivative Pricing. Preprint Nr. 40, Mathematische Fakultät Universität Freiburg i. Br., 1998, - mehr…
- Option Pricing in ARCH-type Models. Mathematical Finance 8 (1), 1998, 13-26 mehr…
- Hedging Barrier Options with Standard Products. risklab research paper No. 9805, 1998, - mehr…
- Benchmark Optimization for Complex Interest-Rate Portfolios. risklab research paper No. 9801, 1998, - mehr…
- Do You Regret? Asset Allocation bei beschränktem erwarteten Verlustpotential. Solutions 2 (2), 1998, 7-14 mehr…
- Portfolio Optimization Under Limited Value at Risk. risklab research paper No. 9802, 1998, - mehr…
1997
- Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 2: Methoden mit approximativer Bewertung. Solutions 1 (2), 1997, 13-21 mehr…
- Effiziente Value at Risk Berechnung für Rentenportfolios. Finanzmarkt und Portfolio Management 11 (2), 1997, 165-178 mehr…
- 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…
- Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 1: Methoden mit vollständiger Bewertung. Solutions 1 (1), 1997, 11-16 mehr…
- Downside Up: Optimierung komplexer Zinsportfolios bei beschränktem Verlustpotential. Solutions 1 (3/4), 1997, 13-22 mehr…
1996
- Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors. Finanzmarkt und Portfolio Management 10 (1), 1996, 45-52 mehr…
1995
- 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…
- 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…
- 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
- Monotonocity and Bounds for Convex Stochastic Control Models. ZOR - Methods and Models of Operations Research 39 (2), 1994, 187-207 mehr…
1990
- Learning Effects in Economic Models Under Uncertainty. Methods and Models of Operations Research 63, 1990, 115-118 mehr…