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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

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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

Modeling the evolution of implied CDO correlations

Hofert, Marius; Scherer, Matthias; Zagst, Rudi - In: Financial markets and portfolio management 24 (2010) 3, pp. 289-308

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Cross asset portfolio derivatives

Höcht, Stephan; Scherer, Matthias; Seegerer, Philip - In: Alternative investments and strategies : credit, …, (pp. 175-197). 2010

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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

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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

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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

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

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

The density of distributions from the Bondesson class

Bernhart, German; Mai, Jan-Frederik; Schenk, Steffen; … - In: The journal of computational finance 18 (2014/15) 3, pp. 99-128

Persistent link: https://www.econbiz.de/10011298895