Biere, A.; Scherer, M.The robust calibration of a structural-default model with jumps945-954Proceedings of the 3rd International Conference on Risk Management and Global e-BusinessInha University, Incheon, Korea2009
Menzinger, B.; Schlosser, A.; Zagst, R.Asset Allocation with Credit Instrumentsworking paper2009-
Mai, J.; Scherer, M.Pricing k-th to default swaps in a Lévy-time frameworkJournal of Credit Risk20095355-70
Mai, J.; Scherer, M.Lévy-frailty copulasJournal of Multivariate Analysis200910071567-1585
Mai, J.; Scherer, M.Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensionsInformation Sciences2009179172872-2877
Mai, J.; Scherer, M.A tractable multivariate default model based on a stochastic time-changeInternational Journal of Theoretical and Applied Finance2009122227-249
Kolbe, A.; Zagst, R.Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form ApproximationApplied Mathematical Finance2009165401-427
Muhle-Karbe, J., Kallsen, J.; Voß, M.Pricing options on variance in affine stochastic volatility modelsMathematical Finance2009-
Muhle-Karbe, J., Kallsen, J.Method of Moment Estimation in Time-Changed Lévy Modelsworking paper2009-
Höcht, S.; Ng, K.H.; Wiesent, J.; Zagst, R.Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management PurposesInternational Journal of Contemporary Mathematical Sciences2009419895-916
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