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Hüttner, A.; Mai, J-F.;
Sharp analytical lower bounds for the price of a convertible bond
Forthcoming in Journal of Derivatives
2018
Hüttner, A.; Mai, J-F.
Simulating realistic correlation matrices for financial applications: Correlation matrices with the Perron-Frobenius property
2018
Hüttner, A.; Mai, J-F.; Mineo, S.
Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?
Dependence Modeling
2018
Steinbach, Sarah Andrea
ALM-Optimization using Core-Satellite Decomposition and Robustification
Masterarbeit
2018
Fehlhaber, Jessica
Analysis and Optimization of the calculation of the correlation in the XVA-System of the BayernLB
Bachelorarbeit
2018
Pham, V.S. and Chong, C.
Volterra-type Ornstein-Uhlenbeck processes in space and time.
Stochastic Processes and their Applications
2018
128
9
Sep
3082-3117
Escobar, M.; Havrylenko, Y.; Zagst, R.
Optimal First-Loss Fee Structures in Hedge Funds
2018
do Rego Sousa, T., Haug, S., and Klüppelberg, C.
Indirect Inference for Lévy-driven continuous-time GARCH models
Preprint
2018
Aug
Lichtenstern, A.; Shevchenko, P; Zagst, R.
Optimal consumption and investment decisions under time-varying preferences
2018
Escobar-Anel, M.; Lichtenstern, A.; Zagst, R.
Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion
2018
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