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Pricing of derivatives on commodity indices

Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International review of financial analysis 29 (2013), pp. 143-151

Persistent link: https://www.econbiz.de/10010244113

Arbitrage-free estimation of the risk-neutral density from the implied volatility smile

Brunner, Bernhard; Hafner, Reinhold - In: The journal of computational finance 7 (2003) 1, pp. 75-106

Persistent link: https://www.econbiz.de/10001805446

Portfolio optimization under volatility and shortfall constraints

Kalin, Dieter; Zagst, Rudi - 1995

Persistent link: https://www.econbiz.de/10000955547

The risk appetite of private equity sponsors

Braun, Reiner; Engel, Nico; Hieber, Peter; Zagst, Rudi - In: Journal of empirical finance 18 (2011) 5, pp. 815-832

Persistent link: https://www.econbiz.de/10009492043

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

Portfolio optimization : volatility constraints versus shortfall constraints

Kalin, Dieter; Zagst, Rudi - In: OR-Spektrum : quantitative approaches in management 21 (1999) 1/2, pp. 97-122

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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

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