| Publication | Date of Publication | Type |
|---|
The negative basis: buy the bond or sell credit default swap protection?
International Journal of Theoretical and Applied Finance | 2026-02-23 | Paper |
Pricing CoCos with equity conversion covenant in a distressed market environment
International Journal of Theoretical and Applied Finance | 2024-12-06 | Paper |
Sharp bounds on the survival function of exchangeable min-stable multivariate exponential sequences
Dependence Modeling | 2024-05-31 | Paper |
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
Frontiers of Mathematical Finance | 2024-01-15 | Paper |
Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
Extremes | 2023-03-02 | Paper |
About the exact simulation of bivariate (reciprocal) Archimax copulas
Dependence Modeling | 2022-06-24 | Paper |
Correction to: ``Portfolio optimization for credit-risky assets under Marshall-Olkin dependence
Applied Mathematical Finance | 2021-11-15 | Paper |
Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
Journal of Multivariate Analysis | 2021-06-22 | Paper |
The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay
Dependence Modeling | 2021-01-14 | Paper |
The infinite extendibility problem for exchangeable real-valued random vectors
Probability Surveys | 2020-11-03 | Paper |
The infinite extendibility problem for exchangeable real-valued random vectors
Probability Surveys | 2020-11-03 | Paper |
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes
(available as arXiv preprint) | 2020-10-07 | Paper |
On the structure of exchangeable extreme-value copulas
Journal of Multivariate Analysis | 2020-09-29 | Paper |
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Dependence Modeling | 2020-05-12 | Paper |
Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
Applied Mathematical Finance | 2020-05-06 | Paper |
Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
Journal of Statistical Computation and Simulation | 2020-04-27 | Paper |
Canonical spectral representation for exchangeable max-stable sequences
Extremes | 2020-02-28 | Paper |
PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
| Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws | 2019-10-11 | Paper |
Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
(available as arXiv preprint) | 2019-10-11 | Paper |
Negative basis measurement: finding the holy scale
Innovations in Derivatives Markets | 2018-10-22 | Paper |
A multivariate default model with spread and event risk
Applied Mathematical Finance | 2018-09-11 | Paper |
Exact simulation of reciprocal Archimedean copulas
Statistics & Probability Letters | 2018-07-27 | Paper |
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios?
Dependence Modeling | 2018-06-27 | Paper |
Extreme-value copulas associated with the expected scaled maximum of independent random variables
Journal of Multivariate Analysis | 2018-05-17 | Paper |
Simulating Copulas
Series in Quantitative Finance | 2017-07-27 | Paper |
A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
Springer Proceedings in Mathematics & Statistics | 2017-07-05 | Paper |
The mean of Marshall-Olkin-dependent exponential random variables
Springer Proceedings in Mathematics & Statistics | 2017-07-05 | Paper |
Two novel characterizations of self-decomposability on the half-line
Journal of Theoretical Probability | 2017-04-12 | Paper |
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
Statistics & Risk Modeling | 2016-06-09 | Paper |
An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law
Synergies of Soft Computing and Statistics for Intelligent Data Analysis | 2016-05-13 | Paper |
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Statistics & Probability Letters | 2016-05-04 | Paper |
Exchangeable exogenous shock models
Bernoulli | 2016-04-01 | Paper |
Exchangeable exogenous shock models
Bernoulli | 2016-04-01 | Paper |
Bivariate extreme-value copulas with discrete Pickands dependence measure
Extremes | 2016-01-22 | Paper |
Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
Springer Proceedings in Mathematics & Statistics | 2015-07-03 | Paper |
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
Dependence Modeling | 2015-06-23 | Paper |
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
Extremes | 2014-12-17 | Paper |
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
Brazilian Journal of Probability and Statistics | 2014-11-12 | Paper |
A note on the Galambos copula and its associated Berstein function
Dependence Modeling | 2014-07-04 | Paper |
What makes dependence modeling challenging? Pitfalls and ways to circumvent them
Statistics & Risk Modeling | 2014-01-22 | Paper |
CIID frailty models and implied copulas
Copulae in Mathematical and Quantitative Finance | 2013-09-20 | Paper |
Sampling exchangeable and hierarchical Marshall-Olkin distributions
Communications in Statistics: Theory and Methods | 2013-05-13 | Paper |
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws
Journal of Multivariate Analysis | 2013-03-12 | Paper |
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
Metrika | 2013-02-21 | Paper |
Moment-based estimation of extendible Marshall-Olkin copulas
Metrika | 2013-02-06 | Paper |
\(H\)-extendible copulas
Journal of Multivariate Analysis | 2012-08-13 | Paper |
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
Series in Quantitative Finance | 2012-03-12 | Paper |
Reparameterizing Marshall–Olkin copulas with applications to sampling
Journal of Statistical Computation and Simulation | 2011-02-03 | Paper |
Constructing hierarchical archimedean copulas with Lévy subordinators
Journal of Multivariate Analysis | 2010-05-05 | Paper |
The Pickands representation of survival Marshall-Olkin copulas
Statistics & Probability Letters | 2010-03-01 | Paper |
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
Information Sciences | 2009-10-01 | Paper |
A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
International Journal of Theoretical and Applied Finance | 2009-08-03 | Paper |
Lévy-frailty copulas
Journal of Multivariate Analysis | 2009-06-09 | Paper |
