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Optimal life-cycle consumption and investment decisions under age-dependent risk preferences

Lichtenstern, Andreas; Shevchenko, Pavel V.; Zagst, Rudi - In: Mathematics and financial economics 15 (2021) 2, pp. 275-313

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Behavioral portfolio insurance strategies

Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: Financial markets and portfolio management 34 (2020) 4, pp. 353-399

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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

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Vulnerable exotic derivatives

Escobar, Marcos; Mahlstedt, Mirco; Panz, Sven; Zagst, Rudi - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 84-102

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Two asset-barrier option under stochastic volatility

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

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Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity

Bergen, V.; Escobar, Marcos; Rubtsov, A.; Zagst, Rudi - In: Quantitative finance 18 (2018) 8, pp. 1265-1294

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Stochastic covariance and dimension reduction in the pricing of basket options

Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200

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Innovations in insurance, risk- and asset management : conference at the Technical University of Munich, 5 - 7 April 2017

Scherer, Matthias - Innovations in Insurance, Risk- and Asset Management … - 2019

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Option-Based performance participation

Zagst, Rudi; Kraus, Julia; Bertrand, Philippe - In: Journal of banking & finance 105 (2019), pp. 44-61

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Portfolio optimization under Solvency II

Escobar, Marcos; Kriebel, Paul; Wahl, Markus; Zagst, Rudi - In: Decision making and risk/return optimization in …, (pp. 193-227). 2019

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