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Bienek, T.; Scherer, M.
Valuation of Contingent Guarantees using Least-Squares Monte Carlo
Working Paper
2018
Engel, J.; Pagano, A.; Scherer, M.
Reconstructing Financial Networks with Exponential Random Graph Models
Working Paper
2018
Scherer, M.; Sloot, H.
Exogenous shock models: Analytical characterization and probabilistic construction
Working Paper
2018
Jaser, M.; Haug, S.; Min, A.
A simple non-parametric goodness-of-fit test for elliptical copulas
Dependence Modeling
2017
5
330–353
Bienek, T.; Scherer, M.
Portfolio Insurance with Lock-In
Working Paper
2018
Schlick, O.; Wahl, M.; Zagst, R.
Finanzmathematische Frühwarnsysteme in der Aktienallokation institutioneller Anleger
Absolut Report
2017
16
6
42-49
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R.
Portfolio optimization under Solvency II
Working Paper, submitted for publication
2017
Engel, J.; Wahl, M.; Zagst, R.
Forecasting turbulence in the Asian and European stock market using regime-switching models
Quantitative Finance and Economics, accepted for publication
2017
Krause, D.; Scherer, M.; Schwinn, J.; Werner, R.
Membership testing for Bernoulli and tail-dependence matrices
Working Paper
2017
Brigo, D.; Mai, J.-F.; Scherer, M.; Sloot, H.
Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall-Olkin distribution
Working Paper
2017
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