Zagst, R.
Asset Liability Management: Integration oder Diversifikation?
Portfolio Institutionell
2008
4
20-22

Scheuenstuhl, G.; Zagst, R.
Integrated Portfolio Management with Options
European Journal of Operations Research
2008
185
3
1477-1500

Poeschik, M.; Zagst, R.
Inverse Portfolio Optimization under Constraints
The Journal of Asset Management
2008
9
3
239-253

Kolbe, A.; Zagst, R.
A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities
International Journal of Theoretical and Applied Finance
2008
11
6
635-656

Kallsen, J.; Vesenmayer, B.
COGARCH as a Continuous-Time Limit of GARCH(1,1)
Stochastic Processes and their Applications
2008
119
1
74-98

Muhle-Karbe, J., Kallsen, J.
Utility maximization in affine stochastic volatility models
The International Journal of Theoretical and Applied Finance
2008
13
3
459-477

Muhle-Karbe, J., Kallsen, J.
On Using Shadow Prices in Portfolio Optimization with Transaction Costs
The Annals of Applied Probability
2008
20
4
1341-1358

Muhle-Karbe, J., Kallsen, J.
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
Stochastic Processes and their Applications
2008
120
2
163-181

Höcht, S.; Zagst, R.
Loan Recovery Determinants: A Pan-European Study
working paper
2008
-

Höcht, S.; Kroneberg, A.; Zagst, R.
Explaining Aggregated Recovery Rates
working paper
2008
-