28 citations · 65 across the 13 of their papers we have counts for
13 papers
Performance attribution with respect to interest rates, FX, carry, and residual market risks
Jan-Frederik Mai
We develop a method to decompose the PnL of a portfolio of assets into four parts: (a) PnL due to FX rate changes, (b) PnL due to interest rate changes, (c) carry gain due to time…
Stochastic decomposition for -norm symmetric survival functions on the positive orthant
Jan-Frederik Mai, Ruodu Wang
We derive a stochastic representation for the probability distribution on the positive orthant whose association between components is minimal among all probability…
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes
Florian Brück, Jan-Frederik Mai, Matthias Scherer
We establish a one-to-one correspondence between (i) exchangeable sequences of random variables whose finite-dimensional distributions are minimum (or maximum) infinitely divisible…
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws (with erratum by Natalia Shenkman)
Jan-Frederik Mai, Matthias Scherer, Natalia Shenkman
Two stochastic representations of multivariate geometric distributions are analyzed, both are obtained by lifting the lack-of-memory (LM) property of the univariate geometric law t…
On the structure of exchangeable extreme-value copulas
Jan-Frederik Mai, Matthias Scherer
We show that the set of -variate symmetric stable tail dependence functions, uniquely associated with exchangeable -dimensional extreme-value copulas, is a simplex and determ…
The infinite extendibility problem for exchangeable real-valued random vectors
Jan-Frederik Mai
We survey known solutions to the infinite extendibility problem for (necessarily exchangeable) probability laws on , which is: Can a given random vector $\vec{X} = (X…
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
Jan-Frederik Mai, Matthias Scherer
The concept of a Lévy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the indep…
Canonical spectral representation for exchangeable max-stable sequences
Jan-Frederik Mai
The set of infinite-dimensional, symmetric stable tail dependence functions associated with exchangeable max-stable sequences of random variables with unit Fréchet margins is shown…
Extreme-value copulas associated with the expected scaled maximum of independent random variables
Jan-Frederik Mai
It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copul…
Exact Simulation of reciprocal Archimedean copulas
Jan-Frederik Mai
The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasin…
Exchangeable exogenous shock models
Jan-Frederik Mai, Steffen Schenk, Matthias Scherer
We characterize a comprehensive family of -variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, i…
Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
Damiano Brigo, Jan-Frederik Mai, Matthias Scherer
We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent…
Pricing bonds with optional sinking feature using Markov Decision Processes
Jan-Frederik Mai, Marc Wittlinger
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the n…