Escobar, M.; Götz, B.; Zagst, R.
Closed form pricing of two-asset barrier options with stochastic covariance
Applied Mathematical Finance
2014
21
4
363-397

Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.
Forecasting market turbulences using regime-switching models
Financial Markets and Portfolio Management
2014
28
2
139-164

Kolbe, A.; Zagst, R.
Valuation of Reverse Mortgages under (limited) Default Risk
European Journal of Finance
2010
16
4
305-327

Schlösser, A.; Zagst, R.
The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis
European Actuarial Journal
2013
3
407-438

Höcht, S.; Zagst, R.
Pricing Distressed CDOs with Stochastic Recovery
Review of Derivatives Research
2010
13
3
219-244