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Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70
Persistent link: https://www.econbiz.de/10009932474
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Die Welt ist nicht normal (verteilt) : Modellierung von Abhängigkeiten
Mai, Jan-Frederik; Scherer, Matthias - In: Risiko-Manager (2012) 25/26, pp. 1,6-11
Persistent link: https://www.econbiz.de/10010058400
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Approximation of skewed and leptokurtic return distributions
Scherer, Matthias; Rachev, Svetlozar T.; Kim, Young Shin; … - In: Applied financial economics 22 (2012) 16, pp. 1305-1317
Persistent link: https://www.econbiz.de/10009959892
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Portfolio optimization in a multidimensional structural-default model with a focus on private equity
Escobar, Marcos; Hieber, Peter; Scherer, Matthias; … - In: The journal of private equity : JPE ; strategies and … 15 (2011/12) 1, pp. 26-35
Persistent link: https://www.econbiz.de/10009932975
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Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
Ruf, Johannes; Scherer, Matthias - In: The journal of computational finance 14 (2011) 3, pp. 127-127
Persistent link: https://www.econbiz.de/10008928327