The following pages link to R. Zagst (Q196870):
Displaying 50 items.
- Closed-form solutions for guaranteed minimum accumulation and death benefits (Q303739) (← links)
- Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- The crash-NIG factor model (Q487572) (← links)
- Pricing distressed CDOs with stochastic recovery (Q541587) (← links)
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI (Q635972) (← links)
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences (Q829333) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Comparison and robustification of Bayes and Black-Litterman models (Q992041) (← links)
- Portfolio optimization: Volatility constraints versus shortfall constraints (Q1283712) (← links)
- Portfolio optimization under credit risk (Q1424641) (← links)
- Optimal investment with transaction costs under cumulative prospect theory in discrete time (Q1687370) (← links)
- Modeling and managing portfolios including listed private equity (Q1762037) (← links)
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
- Optimal HARA investments with terminal VaR constraints (Q2153966) (← links)
- Decrease of capital guarantees in life insurance products: can reinsurance stop it? (Q2155835) (← links)
- Portfolio optimization under Solvency II (Q2288904) (← links)
- Integrated portfolio management with options (Q2464233) (← links)
- Using scenario analysis for risk management (Q2567527) (← links)
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment (Q2665846) (← links)
- Dynamic surplus optimization with performance- and index-linked liabilities (Q2677935) (← links)
- Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees (Q2677936) (← links)
- CIID Frailty Models and Implied Copulas (Q2849532) (← links)
- An intensity-based approach for equity modeling (Q2862438) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- (Q3097031) (← links)
- Pricing credit derivatives under stochastic recovery in a hybrid model (Q3103152) (← links)
- A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES (Q3168861) (← links)
- Empirical Evaluation of Hybrid Defaultable Bond Pricing Models (Q3523654) (← links)
- (Q3551415) (← links)
- Pricing a CDO on stochastically correlated underlyings (Q3557568) (← links)
- (Q3581635) (← links)
- (Q3581638) (← links)
- Pricing of spread options on stochastically correlated underlyings (Q3643087) (← links)
- Monotonicity and bounds for convex stochastic control models (Q4296294) (← links)
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity (Q4554494) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (Q4562477) (← links)
- Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (Q4620152) (← links)
- (Q4660477) (← links)
- The Markov-switching jump diffusion LIBOR market model (Q4683051) (← links)
- The effect of information in separable Bayesian semi-Markov control models and its application to investment planning (Q4845140) (← links)
- A new form of Jensen's inequality and its application to statistical experiments (Q4858168) (← links)
- Expected Utility Theory on General Affine GARCH Models (Q5041836) (← links)
- Portfolio optimization with wealth-dependent risk constraints (Q5073019) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Algorithm 963 (Q5270763) (← links)
- Two asset-barrier option under stochastic volatility (Q5373915) (← links)
