Rudi Zagst

Technische Universität München (TUM) - Chair of Mathematical Finance

Professor

Parkring 11

Garching-Hochbrueck, 85748

Germany

SCHOLARLY PAPERS

14

DOWNLOADS

519

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (14)

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 218 (175,826)
Citation 5

Abstract:

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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
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 107 (313,945)

Abstract:

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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 79 (379,896)
Citation 4

Abstract:

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Credit risk, Markov switching, recovery rate

4.

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 48 (486,262)

Abstract:

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

5.

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

Number of pages: 35 Posted: 23 Nov 2020
Andreas Lichtenstern and Rudi Zagst
Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 46 (494,969)

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

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
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 21 (633,743)
Citation 2

Abstract:

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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 (808,754)
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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
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: 20 Jul 2020
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
anevis solutions GmbH, Ryerson University and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 0 (808,754)
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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
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
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
ETH Zurich, RiskLab, Department of Mathematics, 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
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: 85
1.

Closed-Form Solutions for Guaranteed Minimum Accumulation Benefits

Number of pages: 40 Posted: 19 Apr 2014
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 85

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Variable Annuities, Guaranteed Minimum Accumulation Benefit, Hybrid Model