Scherer, M.; Schmid, L.; Schmidt, T.
Shot-noise driven multivariate default models
European Actuarial Journal
2012
2
2
161-186

Glau, K.
A classification of Lévy processes via their symbols and its application to Finance
working paper
2012
-

Swishchuk, A.; Zagst, R.
Levy-Based Heath-Jarrow-Morton Interest Rate Derivatives: Change of Time Method and PIDEs
International Journal of Differential Equations and Applications
2012
11
1
1-25

Escobar, M.; Frielingsdorf, T.; Zagst, R.
Impact of Factor Models on Portfolio Risk Measures: A Structural Approach
Journal of Credit Risk
2012
8
2
47-79

Mai, J.-F.; Scherer, M.
H-extendible copulas
Journal of Multivariate Analysis
2012
110
Mar
151-160

Hieber, P.; Scherer, M.
A note on first-passage times of continuously time-changed Brownian motion
Statistics and Probability Letters
2012
82
1
Jan
165-172

Czado, C.; Schepsmeier, U.; Min, A.
Maximum likelihood estimation of mixed C-vines with application to exchange rates
Statistical Modelling
2012
12
3
Jan
229–255

Friederich, T.; Kraus, C.; Zagst, R.
ILLIX – A New Index for Quantifying Illiquidity
Journal of Financial Transformation
2012
34
183-193

Czado, C.; Kastenmeier, R.; Brechmann, E. C.; Min, A.
A mixed copula model for insurance claims and claim sizes
Scandinavian Actuarial Journal
2012
4
278-305

Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.
Modeling and Managing Portfolios including Listed Private Equity
Journal of Computers and Operations Research
2012
39
4
753 - 764