Technische Universität München (TUM) - Chair of Mathematical Finance
Bank loan, credit risk, recovery rate
optimal life-cycle consumption and investment, time-varying risk aversion, HARA utility function, martingale method
Credit risk, Markov switching, recovery rate
Surplus Optimization, Asset-Liability Management, Performance Participation, Stochastic Liabilities, Random Utility, Martingale Method
Pension investments, post-retirement phase, optimal portfolio, buffer mechanism, pension adjustments, HARA utility function, policy function iteration
Risk Appetite, Equity Volatility, Private Equity
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barrier options, multiple barriers, default risk, structured products, stochastic volatility, stochastic covariance.
File name: SSRN-id2789574.pdf
credit portfolios, saddle point techniques, value-at-risk
LIBOR Market Model, Jump Diffusion, Markov Switching, Heath-Jarrow-Morton Model, Pricing, Parameter Estimation
Commodity index, Derivative pricing, Model calibration, Replication portfolio, Volatility surface
CDO, Implied correlation, Gaussian copula model
Alternative Investments, Portfolio Selection, Trading Strategy, Product Innovations, CPPI, Portfolio Optimization, Portfolio Insurance
Variable Annuities, Guaranteed Minimum Accumulation Benefit, Hybrid Model
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