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Jan-Frederik Mai, Aleksandra Blagoeva, Matthias Scherer
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence
2021
Mai, Jan-Frederik; Scherer, Matthias
On the structure of exchangeable extreme-value copulas
Journal of Multivariate Analysis
2020
Mai, Jan-Frederik; Scherer, Matthias
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
Latin American Journal of Probability and Mathematical Statistics
2019
16
1 - 29
Hüttner, A.; Mai, J-F.;
Sharp analytical lower bounds for the price of a convertible bond
The Journal of Derivatives
2018
26
2
7-18
Hüttner, A.; Mai, J-F.;
Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
Journal of Statistical Computation and Simulation
2018
Hüttner, A.; Mai, J-F.; Mineo, S.
Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?
Dependence Modeling
2018
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