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Pricing distressed CDOs with stochastic recovery

Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244

Persistent link: https://www.econbiz.de/10008695890

Pricing of spread options on stochastically correlated underlyings

Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61

Persistent link: https://www.econbiz.de/10009534616

A general structural approach for credit modeling under stochastic volatility

Escobar, Marcos; Friedrich, Tim; Seco, Luis; Zagst, Rudi - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 123-132

Persistent link: https://www.econbiz.de/10009629244

Closed-form pricing of two-asset barrier options with stochastic covariance

Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397

Persistent link: https://www.econbiz.de/10010499671

Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594

Persistent link: https://www.econbiz.de/10010500871

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Using scenario analysis for risk management

Zagst, Rudi - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10001650473

The Markov-Switching Jump Diffusion Libor Market Model

Borchert, Lea - 2018

In this paper, we introduce an extension to the LIBOR Market model that is suitable to incorporate both sudden market shocks as well as changes in the overall economic climate into the interest rate dynamics. This is achieved by substituting the simple diffusion process of the original LIBOR...

Persistent link: https://www.econbiz.de/10012938239

Hawkes processes in insurance : risk model, application to empirical data and optimal investment

Sviščuk, Anatolij; Zagst, Rudi; Zeller, Gabriela - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 107-124

Persistent link: https://www.econbiz.de/10012793913

Two asset-barrier option under stochastic volatility

Goetz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 24 (2017) 5/6, pp. 520-546

Persistent link: https://www.econbiz.de/10011815295