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| Publications 2006 |
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Heiden, M. (2006), Commodities as an Asset Class, Diploma Thesis |
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Gong, X./Huber, M./Lanzinner, S./Zagst, R. (2006), Zertifikate - Mehrwert für Privatanleger?, Zeitschrift für das gesamte Kreditwesen, 22, pp. 1235-1239 |
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Scheuenstuhl, G./Zagst, R. (2006), Integrated Portfolio Management with Options, accepted for publication in: European Journal of Operations Research |
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Dirnstorfer, S./Grau, A./Zagst, R. (2006), Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo, Working Paper, submitted to: Review of Derivatives Research |
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Kolbe, A./Zagst, R. (2006), A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities, Working Paper, submitted to: International Journal of Theoretical and Applied Finance |
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Schmid, B./Zagst, R./Antes, S. (2006), Pricing of Credit Derivatives, Working Paper, submittet to: International Journal of Theoretical and Applied Finance |
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Zagst, R./Höcht, S. (2006), Comparing Default Probability Models, Working Paper, submitted to: Journal of Credit Risk |
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Hafner, R./Scheuenstuhl, G. (2006), Aligning contrary goals, Global Pensions, November 2006 - www.globalpensions.com |
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Hafner, R./Scheuenstuhl, G. (2006), Anlagepolitik an Verbindlichkeiten ausrichten, Finanz und Wirtschaft, 30.09.2006 - www.finanzundwirtschaft.net |
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Hafner, R./Mader, W. (2006), The Need for a Dynamic Approach to Liability Driven Investing (LDI),
OECD, Pension Markets in Focus, issue 3 (October 2006),
Financial Affairs Division, p. 16 |
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Volatility als Asset-Klasse
Handbuch Alternative Investments II, 2006, Gabler Verlag
(Hafner, R./Wallmeier, M.) |
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(Brunner, B./Hafner, R. (2006), Modelling Hedge Fund Returns: An Asset Allocation Perspective,
Hedge Funds and Managed Futures - A Handbook for Institutional Investors, Risk Books |
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(Mader, W./Miehle, Ch. (2006), Basel II - Mindestanforderungen: Alternativen bei der Unterlegung von Verbriefungen,
Zeitschrift für das gesamte Kreditwesen, 5/2006, pp. 232-237 |
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(Kehrbaum, J./Scheuenstuhl, G. (2006), Asset-Liability-Management,
Praktiker-Handbuch Asset-Management, Verlag Schäffer-Poeschel, pp. 185-203 |
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(Brunner, B./Steiner, M. (2006), Marktgerechte Bewertung von Power-Optionen,
Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen,
Springer Verlag, pp. 493-518 |
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