Следене
Matthias Scherer
Matthias Scherer
Потвърден имейл адрес: tum.de - Начална страница
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Позовавания
Година
Simulating copulas: stochastic models, sampling algorithms, and applications
JF Mai, M Scherer
# N/A, 2017
2662017
CDO pricing with nested Archimedean copulas
M Hofert, M Scherer
Quantitative Finance 11 (5), 775-787, 2011
1442011
Lévy-frailty copulas
JF Mai, M Scherer
Journal of Multivariate Analysis 100 (7), 1567-1585, 2009
942009
Constructing hierarchical Archimedean copulas with Lévy subordinators
C Hering, M Hofert, JF Mai, M Scherer
Journal of Multivariate Analysis 101 (6), 1428-1433, 2010
712010
Reparameterizing Marshall–Olkin copulas with applications to sampling
JF Mai, M Scherer
Journal of Statistical Computation and Simulation 81 (1), 59-78, 2011
592011
Financial Engineering with Copulas Explained
JF Mai, M Scherer
Palgrave Macmillan, 2014
482014
H-extendible copulas
JF Mai, M Scherer
Journal of Multivariate Analysis 110, 151-160, 2012
392012
Capturing parameter risk with convex risk measures
KF Bannör, M Scherer
European Actuarial Journal 3 (1), 97-132, 2013
352013
A note on first-passage times of continuously time-changed Brownian motion
P Hieber, M Scherer
Statistics & Probability Letters 82 (1), 165-172, 2012
332012
A tractable multivariate default model based on a stochastic time-change
JF Mai, M Scherer
International Journal of Theoretical and Applied Finance 12 (02), 227-249, 2009
332009
Exchangeable exogenous shock models
JF Mai, S Schenk, M Scherer
Bernoulli 22 (2), 1278-1299, 2016
312016
Multivariate hierarchical copulas with shocks
F Durante, M Hofert, M Scherer
Methodology and Computing in Applied Probability 12 (4), 681-694, 2010
282010
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
J Ruf, M Scherer
Journal of Computational Finance 14 (3), 127, 2011
262011
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
P Hieber, R Korn, M Scherer
European Actuarial Journal 5 (1), 11-28, 2015
252015
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
G Bernhart, ME Anel, JF Mai, M Scherer
Metrika 76 (2), 179-203, 2013
242013
Dynamic credit portfolio modelling in structural models with jumps
R Kiesel, M Scherer
Preprint, Universität Ulm, 2007
242007
Bivariate extreme-value copulas with discrete Pickands dependence measure
JF Mai, M Scherer
Extremes 14 (3), 311-324, 2011
222011
Parametric model risk and power plant valuation
K Bannör, R Kiesel, A Nazarova, M Scherer
Energy Economics 59, 423-434, 2016
21*2016
CIID frailty models and implied copulas
JF Mai, M Scherer, R Zagst
Copulae in Mathematical and Quantitative Finance, 201-230, 2013
212013
Efficiently pricing barrier options in a Markov-switching framework
P Hieber, M Scherer
Journal of computational and applied mathematics 235 (3), 679-685, 2010
182010
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