Rudi Zagst

Technische Universität München (TUM) - Chair of Mathematical Finance

Professor

Parkring 11

Garching-Hochbrueck, 85748

Germany

  • Technische Universität München (TUM) - Chair of Mathematical Finance

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    • Tel: +49 89 289 17400
SCHOLARLY PAPERS

14

DOWNLOADS

656

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (14)

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1.

Loan Recovery Determinants -- A Pan-European Study

Number of pages: 35 Posted: 31 May 2014
Stephan Höcht and Rudi Zagst
Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 253 (193,467)
Citation 5

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Bank loan, credit risk, recovery rate

2.

Optimal Life-Cycle Consumption and Investment Decisions Under Age-Dependent Risk Preferences

A. Lichtenstern, P.V.Shevchenko, R. Zagst (2020). Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics. DOI 10.1007/s11579-020-00276-9.
Number of pages: 39 Posted: 21 Nov 2018 Last Revised: 31 Jul 2020
Andreas Lichtenstern, Pavel V. Shevchenko and Rudi Zagst
Technische Universität München (TUM) - Chair of Mathematical Finance, Macquarie University - Department of Actuarial Studies and Business Analytics and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 129 (348,959)

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optimal life-cycle consumption and investment, time-varying risk aversion, HARA utility function, martingale method

3.

Explaining Aggregated Recovery Rates

Number of pages: 35 Posted: 31 May 2014
Stephan Höcht, Ada Kroneberg and Rudi Zagst
Technische Universität München (TUM), Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 89 (451,561)
Citation 4

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Credit risk, Markov switching, recovery rate

4.

Optimal Investment Strategies for Pension Funds with Regulation-Conform Dynamic Pension Payment Management in the Absence of Guarantees

European Actuarial Journal
Number of pages: 35 Posted: 23 Nov 2020 Last Revised: 01 Nov 2021
Andreas Lichtenstern and Rudi Zagst
Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 77 (492,361)

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Pension investments, post-retirement phase, optimal portfolio, buffer mechanism, pension adjustments, HARA utility function, policy function iteration

5.

Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Number of pages: 34 Posted: 12 May 2020 Last Revised: 24 May 2021
Sascha Desmettre, Markus Wahl and Rudi Zagst
Johannes Kepler University Linz, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 71 (515,279)

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Surplus Optimization, Asset-Liability Management, Performance Participation, Stochastic Liabilities, Random Utility, Martingale Method

6.

The Risk Appetite of Private Equity Sponsors

Journal of Empirical Finance, Vol. 18, No. 5, pp. 815-832
Number of pages: 35 Posted: 19 Jan 2011 Last Revised: 25 Aug 2019
Reiner Braun, Nico Engel, Peter Hieber and Rudi Zagst
Technische Universität München (TUM) - TUM School of Management, Technische Universität München - Center for Entrepreneurial and Financial Studies, Université de Lausanne and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 37 (686,040)
Citation 2

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Risk Appetite, Equity Volatility, Private Equity

7.

Pricing Multiple Barrier Derivatives Under Stochastic Volatility

Journal of Computational Finance, Vol. 24, No. 2
Number of pages: 26 Posted: 03 Feb 2021
Marcos Escobar, Sven Panz and Rudi Zagst
Western University, Goethe University Frankfurt - Faculty of Economics and Business Administration and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 0 (980,445)
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barrier options, multiple barriers, default risk, structured products, stochastic volatility, stochastic covariance.

8.

Behavioral Portfolio Insurance Strategies

Financial Markets and Portfolio Management
Posted: 05 Aug 2019 Last Revised: 20 Jul 2020
Marcos Escobar, Andreas Lichtenstern and Rudi Zagst
Ryerson University, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance

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9.

Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion

International Journal of Theoretical and Applied Finance
Posted: 05 Aug 2019 Last Revised: 30 Oct 2021
Marcos Escobar, Andreas Lichtenstern and Rudi Zagst
Ryerson University, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance

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10.

Estimation of Risk Measures for Large Credit Portfolios

Journal of Credit Risk, Vol. 10, No. 2, 2014
Number of pages: 36 Posted: 04 Jun 2016
Johannes Hauptmann, Pablo Olivares and Rudi Zagst
anevis solutions GmbH, Ryerson University and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 0 (980,445)
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credit portfolios, saddle point techniques, value-at-risk

11.

The Markov-Switching Jump Diffusion Libor Market Model

Posted: 14 Nov 2013 Last Revised: 04 Jun 2018
Lea Borchert, Rudi Zagst and Anatoliy V. Swishchuk
University of Mannheim, Technische Universität München (TUM) - Chair of Mathematical Finance and University of Calgary

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LIBOR Market Model, Jump Diffusion, Markov Switching, Heath-Jarrow-Morton Model, Pricing, Parameter Estimation

12.

Pricing of Derivatives on Commodity Indices

International Review of Financial Analysis, Vol. 29, 2013
Posted: 28 Aug 2012 Last Revised: 05 Apr 2014
Johannes Rauch, Mikhail Krayzler, Bernhard Brunner and Rudi Zagst
University of Sussex - School of Business, Management and Economics, Technische Universität München (TUM) - Chair of Mathematical Finance, University of Augsburg - Department of Finance and Banking and Technische Universität München (TUM) - Chair of Mathematical Finance

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Commodity index, Derivative pricing, Model calibration, Replication portfolio, Volatility surface

13.

Modeling the Evolution of Implied CDO Correlations

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Posted: 03 Sep 2010
Marius Hofert, Matthias A. Scherer and Rudi Zagst
The University of Hong Kong, Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance

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CDO, Implied correlation, Gaussian copula model

14.

Alternative Investments and Strategies

ALTERNATIVE INVESTMENTS AND STRATEGIES, World Scientific Publishing, 2010
Posted: 28 Jul 2010
Ruediger Kiesel, Rudi Zagst and Matthias A. Scherer
University of Duisburg-Essen - Faculty of Economic Science, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM)

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Alternative Investments, Portfolio Selection, Trading Strategy, Product Innovations, CPPI, Portfolio Optimization, Portfolio Insurance

Other Papers (1)

Total Downloads: 105
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1.

Closed-Form Solutions for Guaranteed Minimum Accumulation Benefits

Number of pages: 40 Posted: 19 Apr 2014
Mikhail Krayzler, Rudi Zagst and Bernhard Brunner
Technische Universität München (TUM) - Chair of Mathematical Finance, Technische Universität München (TUM) - Chair of Mathematical Finance and University of Augsburg - Department of Finance and Banking
Downloads 105

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Variable Annuities, Guaranteed Minimum Accumulation Benefit, Hybrid Model