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researcher

Jan-Frederik Mai

13 papers hereh-index 15867 citations93 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author5
  • first author6
  • middle author2

Across the 13 of 13 papers where every author was matched, so the position is known.

fields
  • math.PR5
  • stat.ME3
  • math.ST2
  • q-fin.RM2
  • q-fin.PR1

identity via Semantic Scholar / OpenAlex

activity
20132023
most citedExchangeable exogenous shock models

28 citations · 65 across the 13 of their papers we have counts for

collaborators
Showing q-fin.PRShow all

1 paper · 1 filter

q-fin.PR2013

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.