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Cross asset portfolio derivatives
Höcht, Stephan; Scherer, Matthias; Seegerer, Philip - In: Alternative investments and strategies : credit, …, (pp. 175-197). 2010
Persistent link: https://www.econbiz.de/10008655203
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Simulating copulas : stochastic models, sampling algorithms, and applications
Mai, Jan-Frederik; Scherer, Matthias - 2012
This tome provides the reader with a background on simulating copulas and multivariate distribution in general. It unifies the scattered literature on the simulation of various families of copulas as well as on different construction principles
Persistent link: https://www.econbiz.de/10010372811
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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A tractable multivariate default model based on a stochastic time-change
Mai, Jan-Frederik; Scherer, Matthias - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 227-249
Persistent link: https://www.econbiz.de/10003855783
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Financial engineering with copulas explained
Mai, Jan-Frederik; Scherer, Matthias - 2014
Persistent link: https://www.econbiz.de/10011386753
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Simulating copulas : stochastics models, sampling algorithms, and applications
Mai, Jan-Frederik; Scherer, Matthias - 2017 - 2nd edition
Persistent link: https://www.econbiz.de/10011955373