Smarter Approaches to Guarantees

Project M

Brunner, B., Krayzler, M. (2015)

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Structural Credit Modeling Under Stochastic Volatility

International Journal of Statistics and Probability, Vol. 1, No.1

Escobar, M./Friederich, T./ Krayzler, M./Seco, L./ Zagst, R. (2012)

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Pricing and risk management of synthetic CDOs

Springer, Lecture Notes in Economic and Mathematical Systems”, ISBN-10: 3642156088

Schlösser, A. (2010)

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Marktgerechte Bewertung von Optionen

DUV, Wiesbaden

Brunner, B. (2010)

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Modeling and Pricing of Credit Derivatives Using Macro-Economic Information

Working Paper

Schmid, B ./Zagst, R./Antes, St./El Moufatich, F. (2009)

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Die Verfahrensheterogenität in der Performance-Messung von Anlageportfolios - Ein Überblick über traditionelle und moderne Maße sowie aktuelle Trends

in Journal für Betriebswirtschaft, Vol. 59, No. 2-3, November 2009, S. 95-122 (Springer Verlag, Heidelberg)

Schulz, M./Steiner, M. (2009)

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What Drives PE?: Analyses of Success Factors for Private Equity Funds

Working Paper, HVB Stiftungsinstitut für Finanzmathematik

Aigner, P./Albrecht, S./ Beyschlag, G./ Friederich, T./ Kalepky, (2008)

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Rethinking the herd: Are increasing correlations between markets unhinging the principle of diversification?

in Project M,#01, Allianz Global Investors AG, International Pensions, p. 12-13

Schmitt, C. (2008)

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The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing

The Journal of Derivatives, Volume 14, Number 3, Spring 2007

Kalemanova, A./Schmid, B./Werner, R. (2007)

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Fit for Leverage

Working Paper

Höcht, S./Wiesent, J./Zagst, R. (2007)

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Valuation of Mortgage-Backed-Securities and Mortgage Derivatives: A Closed-Form Approximation

Working Paper, submitted to: Journal of Banking and Finance

Kolbe, A./Zagst, R. (2007)

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Pricing of Spread Options on Stochastically Correlated Underlyings

Working Paper, submitted to: The Journal of Computational Finance

Escobar, M./Götz, B./Seco, L./Zagst, R. (2007)

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Pricing of a CDO on Stochastically Correlated Underlyings

Working Paper, submitted to: Quantitative Finance

Escobar, M./Götz, B./Seco, L./Zagst, R. (2007)

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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

Kolbe, A./Zagst, R. (2006)

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Pricing of Credit Derivatives

Working Paper, submittet to: International Journal of Theoretical and Applied Finance

Schmid, B./Zagst, R./Antes, S. (2006)

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Comparing Default Probability Models

Working Paper, submitted to: Journal of Credit Risk

Zagst, R./Höcht, S. (2006)

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The Normal inverse Gaussian distribution for synthetic CDO pricing

Working Paper, wp 05-03

Kalemanova, A./Schmid, B./Werner, R. (2005)

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Den Charakteristika gerecht werden

Den Charakteristika gerecht werden, Finanz Business (Juli 2005)

Brunner, B./Hafner, R. (2005)

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A Factor-Based Stochastic Implied Volatility Model

Working Paper, wp 05-01

Hafner, R./Schmid, B. (2005)

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Ein stochastisches Modell zur Ertragsoptimierung bei Versicherungen

Versicherung im Umbruch – Werte schaffen, Risiken managen, Kunden gewinnen, Springer Verlag, pp. 415-442

Garschhammer, C./Zagst, R. (2005)

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Credit Risk Pricing Models

Springer Finance, Springer, Heidelberg

Schmid, B. (2004)

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Arbitrage-Free Estimation of the Risk-Neutral Density from the Implied Volatility Smile

Journal of Computational Finance, Vol.7, No.1 (Fall 2003)

Brunner, B./Hafner, R. (2003)

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Index Tracking under Transaction Costs: Rebalancing Passive Portfolios

The Euromoney Global Portfolio Trading Handbook 2003/04, pp. 19-27

Hafner, R./Pütz, A./Werner, R. (2003)

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Using Scenario Analysis for Risk Management

Journal of the German Statistical Society (AStA) 86, pp. 97-117

Zagst, R. (2002)

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The Dynamics of DAX Implied Volatilities

International Quarterly Journal of Finance, Vol. 1, pp. 1-27

Hafner, R./Wallmeier, M. (2001)

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