30 citations · 44 across the 8 of their papers we have counts for
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q-fin.RM2015
Intragroup transfers, intragroup diversification and their risk assessment
Andreas Haier, Ilya Molchanov, Michael Schmutz
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. W…
q-fin.RM2012★ 2 cited
Quasi self-dual exponential Lévy processes
Thorsten Rheinländer, Michael Schmutz
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characteriza…
q-fin.RM2010★ 3 cited
Static replications with traffic light options
Michael Schmutz, Thomas Zürcher
It is well known that any sufficiently regular one-dimensional payoff function has an explicit static hedge by bonds, forward contracts and lots of vanilla options. We show that th…