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Parametric model risk and power plant valuation

Bannör, Karl; Kiesel, Rüdiger; Nazarova, Anna; … - In: Energy economics 59 (2016), pp. 423-434

Persistent link: https://www.econbiz.de/10011699734

Extremal dependence for bilateral credit valuation adjustments

Scherer, Matthias; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-21

Persistent link: https://www.econbiz.de/10011568865

A note on the valuation of CDS options and extension risk in a structural model with jumps

Hüttner, Amelie; Scherer, Matthias - In: International journal of financial engineering 3 (2016) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011577113

Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

Persistent link: https://www.econbiz.de/10011588323

Modeling influenza-like illness activity in the United States

Bollmann, Laslo; Scherer, Matthias - In: North American actuarial journal 21 (2017) 3, pp. 323-342

Persistent link: https://www.econbiz.de/10011858055

Valuation of contingent Guarantees using least-squares Monte Carlo

Bienek, T.; Scherer, Matthias - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 31-56

Persistent link: https://www.econbiz.de/10012105338

Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data

Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521061

Editorial to the special issue on behavioral insurance : mathematics and economics

Laeven, Roger J. A.; Milevsky, Moshe Arye; Scherer, Matthias - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10012793905

Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation

Glau, Kathrin (contributor); Grbac, Zorana (contributor); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

Persistent link: https://www.econbiz.de/10014013649

Relative arbitrage : Sharp time horizons and motion by curvature

Larsson, Martin; Ruf, Johannes - In: Mathematical Finance 31 (2021) 3, pp. 885-906

Persistent link: https://www.econbiz.de/10012538282