Matthias Scherer
Matthias Scherer
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TitleCited byYear
Simulating copulas: stochastic models, sampling algorithms, and applications
JF Mai, M Scherer
# N/A, 2017
204*2017
CDO pricing with nested Archimedean copulas
M Hofert, M Scherer
Quantitative Finance 11 (5), 775-787, 2011
1282011
Lévy-frailty copulas
JF Mai, M Scherer
Journal of Multivariate Analysis 100 (7), 1567-1585, 2009
842009
Constructing hierarchical Archimedean copulas with Lévy subordinators
C Hering, M Hofert, JF Mai, M Scherer
Journal of Multivariate Analysis 101 (6), 1428-1433, 2010
622010
Reparameterizing Marshall–Olkin copulas with applications to sampling
JF Mai, M Scherer
Journal of Statistical Computation and Simulation 81 (1), 59-78, 2011
522011
H-extendible copulas
JF Mai, M Scherer
Journal of Multivariate Analysis 110, 151-160, 2012
372012
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
292009
Financial Engineering with Copulas Explained
JF Mai, M Scherer
Palgrave Macmillan, 2014
282014
Capturing parameter risk with convex risk measures
KF Bannör, M Scherer
European Actuarial Journal 3 (1), 97-132, 2013
282013
Capturing parameter risk with convex risk measures
KF Bannör, M Scherer
European Actuarial Journal 3 (1), 97-132, 2013
282013
Multivariate hierarchical copulas with shocks
F Durante, M Hofert, M Scherer
Methodology and Computing in Applied Probability 12 (4), 681-694, 2010
272010
A note on first-passage times of continuously time-changed Brownian motion
P Hieber, M Scherer
Statistics & Probability Letters 82 (1), 165-172, 2012
252012
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
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
222011
Exchangeable exogenous shock models
JF Mai, S Schenk, M Scherer
Bernoulli 22 (2), 1278-1299, 2016
212016
CIID frailty models and implied copulas
JF Mai, M Scherer, R Zagst
Copulae in Mathematical and Quantitative Finance, 201-230, 2013
192013
Bivariate extreme-value copulas with discrete Pickands dependence measure
JF Mai, M Scherer
Extremes 14 (3), 311-324, 2011
192011
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
182015
Efficiently pricing barrier options in a Markov-switching framework
P Hieber, M Scherer
Journal of computational and applied mathematics 235 (3), 679-685, 2010
152010
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