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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/10003903240

A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh

Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553

Persistent link: https://www.econbiz.de/10015374119

Portofolio selection under changing market conditions

Ernst, Cornelia; Grossmann, Martin; Höcht, Stephan; … - In: International journal of financial services management … 4 (2009/10) 1, pp. 48-63

Persistent link: https://www.econbiz.de/10003899314

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

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 15 (2011/12) 1, pp. 26-35

Persistent link: https://www.econbiz.de/10009410763

Alternative Investments and Strategies.

Kiesel, Rüdiger - 2010

Key Features:Combines up-to-date research and practical experience in a unique wayProvides theoretical insight and real-world expertise on new trading strategiesEmpowers practitioners with the latest theoretical insights on asset managementInternational experts from both academia and financial...

Persistent link: https://www.econbiz.de/10012689622

Portfolio optimization for credit-risky assets under Marshall–Olkin dependence

Mai, Jan-Frederik - In: Applied mathematical finance 26 (2019) 6, pp. 598-618

Persistent link: https://www.econbiz.de/10012210432

Hedging and valuation of contingent guarantees

Bienek, Tobias - 2019

Persistent link: https://www.econbiz.de/10012062235