Matthias Scherer
Matthias Scherer
Vahvistettu sähköpostiosoite verkkotunnuksessa tum.de - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
Simulating copulas: stochastic models, sampling algorithms, and applications
JF Mai, M Scherer
# N/A, 2017
2422017
CDO pricing with nested Archimedean copulas
M Hofert, M Scherer
Quantitative Finance 11 (5), 775-787, 2011
1352011
Lévy-frailty copulas
JF Mai, M Scherer
Journal of Multivariate Analysis 100 (7), 1567-1585, 2009
902009
Constructing hierarchical Archimedean copulas with Lévy subordinators
C Hering, M Hofert, JF Mai, M Scherer
Journal of Multivariate Analysis 101 (6), 1428-1433, 2010
672010
Constructing hierarchical Archimedean copulas with Lévy subordinators
C Hering, M Hofert, JF Mai, M Scherer
Journal of Multivariate Analysis 101 (6), 1428-1433, 2010
672010
Reparameterizing Marshall–Olkin copulas with applications to sampling
JF Mai, M Scherer
Journal of Statistical Computation and Simulation 81 (1), 59-78, 2011
572011
H-extendible copulas
JF Mai, M Scherer
Journal of Multivariate Analysis 110, 151-160, 2012
372012
Financial Engineering with Copulas Explained
JF Mai, M Scherer
Palgrave Macmillan, 2014
352014
Capturing parameter risk with convex risk measures
KF Bannör, M Scherer
European Actuarial Journal 3 (1), 97-132, 2013
332013
Capturing parameter risk with convex risk measures
KF Bannör, M Scherer
European Actuarial Journal 3 (1), 97-132, 2013
332013
A tractable multivariate default model based on a stochastic time-change
JF Mai, M Scherer
International Journal of Theoretical and Applied Finance 12 (02), 227-249, 2009
312009
A note on first-passage times of continuously time-changed Brownian motion
P Hieber, M Scherer
Statistics & Probability Letters 82 (1), 165-172, 2012
302012
Exchangeable exogenous shock models
JF Mai, S Schenk, M Scherer
Bernoulli 22 (2), 1278-1299, 2016
272016
Multivariate hierarchical copulas with shocks
F Durante, M Hofert, M Scherer
Methodology and Computing in Applied Probability 12 (4), 681-694, 2010
272010
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
J Ruf, M Scherer
Journal of Computational Finance 14 (3), 127, 2011
252011
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
P Hieber, R Korn, M Scherer
European Actuarial Journal 5 (1), 11-28, 2015
232015
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
G Bernhart, ME Anel, JF Mai, M Scherer
Metrika 76 (2), 179-203, 2013
232013
Dynamic credit portfolio modelling in structural models with jumps
R Kiesel, M Scherer
Preprint, Universität Ulm, 2007
232007
Bivariate extreme-value copulas with discrete Pickands dependence measure
JF Mai, M Scherer
Extremes 14 (3), 311-324, 2011
202011
CIID frailty models and implied copulas
JF Mai, M Scherer, R Zagst
Copulae in Mathematical and Quantitative Finance, 201-230, 2013
192013
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Artikkelit 1–20