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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

Consistent modeling of discrete cash dividends

Bernhart, German; Mai, Jan-Frederik - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 9-19

Persistent link: https://www.econbiz.de/10011399663

Pricing and hedging CDO tranches using latent one-factor models : an empirical study

Höcht, Stephan; Scherer, Matthias; Spitaler, Patrick - In: Journal / The Capco Institute : journal of financial … 40 (2014), pp. 49-64

Persistent link: https://www.econbiz.de/10011308123

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

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

Behavioral insurance : mathematics and economics

Laeven, Roger J. A. (ed.); Milevsky, Moshe Arye (ed.); … - 2021

Persistent link: https://www.econbiz.de/10012806095

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

Risk mitigation services in cyber insurance : optimal contract design and price structure

Zeller, Gabriela; Scherer, Matthias - In: The Geneva papers on risk and insurance - issues and … 48 (2023) 2, pp. 502-547

Persistent link: https://www.econbiz.de/10014326502

On the estimation of distributional household wealth : addressing under-reporting via optimization problems with invariant Gini coefficient

Engel, Janina; Ohlwerter, Dennis; Scherer, Matthias - 2023

The Household Finance and Consumption Survey (HFCS) provides valuable information for the monetary policy and financial stability purposes. The dataset shows, however, inconsistencies with National Account (NtlA) statistics, as the aggregated HFCS micro data do usually not match the...

Persistent link: https://www.econbiz.de/10014482886