Fraunhofer-Gesellschaft

Publica

Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten.
2020Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
Erlwein-Sayer, Christina; Grimm, Stefanie; Ruckdeschel, Peter; Sass, Jörn; Sayer, Tilman
Journal Article
2016Portfolio strategies and estimation in a hidden Markov model using state dependent, state independent or no correlation
Erlwein-Sayer, Christina; Grimm, Stefanie; Ruckdeschel, Peter; Sass, Jörn; Sayer, Tilman
Journal Article
2015From model to application: Calibration to market data
Sayer, Tilman; Wenzel, Jörg
Book Article
2015Joining the Heston and a three-factor short rate model: A closed-form approach
Horsky, Roman; Sayer, Tilman
Journal Article
2015Option pricing in practice - Heston's stochastic volatility model
Desmettre, Sascha; Korn, Ralf; Sayer, Tilman
Book Article