VIF Working Paper Series



    • [VIF 32] Eberhard Mayerhofer, A characterization of non-central Wishart distributions , Preprint 2010 (Download)
    • [VIF31] Eberhard Mayerhofer, A note on the affine transform formula for affine diffusions, didactic note, 2010 (pdf)
    • [VIF30] Eberhard Mayerhofer, Oliver Pfaffel and Robert Stelzer, On strong solutions for positive definite jump--diffusions, 2009 (pdf)
    • [VIF29] Christa Cuchiero, Damir Filipovic, Eberhard Mayerhofer and Josef Teichmann, Affine Processes on Positive Semidefinite Matrices, 2009 (pdf)
    • [VIF28] Damir Filipovic, Michael Kupper and Nicolas Vogelpoth, Approaches to conditional risk, 2009 (pdf)
    • [VIF27] Stefan Tappe, Existence of affine realizations for Lévy term structure models, 2009 (pdf)
    • [VIF26] Stefan Tappe, An alternative approach on the existence of affine realizations for HJM term structure models, 2009 (pdf)
    • [VIF25] Stefan Tappe, A note on stochastic integrals as L^2-curves, 2009 (pdf)
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    • [VIF24] Eberhard Mayerhofer, Constructing the transition laws of affine processes: A simplified point of view, didactic note, 2009 (pdf)
    • [VIF23] Eberhard Mayerhofer, Johannes Muhle-Karbe and Alexander G. Smirnov, A characterization of the martingale property of exponentially affine processes, 2009 (pdf)
    • [VIF22] Damir Filipovic, Nils Friewald, and Stefan Pichler, An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters, 2009 (pdf)
    • [VIF21] Damir Filipovic and Thorsten Schmidt, Pricing and Hedging of CDOs: A Top Down Approach, 2009 (pdf)
    • [VIF20] Damir Filipovic, Robert Kremslehner, and Alexander Muermann, Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation, 2009 (pdf)
    • [VIF19] Martin Keller-Ressel, Eberhard Mayerhofer and Alexander Smirnov, On convexity of solutions of ordinary differential equations, 2009 (pdf)
    • [VIF18] Stefan Tappe, Stochastic invariance of closed, convex sets with respect to jump-diffusions, 2009 (pdf)
    • [VIF17] Barbara Rüdiger and Stefan Tappe, Stability Results for Term Structure Models driven by Lévy Processes, 2009 (pdf)
    • [VIF16] Damir Filipovic, Stefan Tappe and Josef Teichmann, Term Structure Models driven by Wiener Process and Poisson Measures: Existence and Positivity, 2009 (pdf)
    • [VIF15] Uwe Küchler and Stefan Tappe, Option Pricing in Bilateral Gamma Stock Models, 2009 (pdf)
    • [VIF14] Damir Filipovic and Eberhard Mayerhofer, Affine Diffusion Processes: Theory and Applications, Radon Series Comp. Appl. Math 8, 1–40, 2009 (pdf)
    • [VIF13] Christa Cuchiero and Eberhard Mayerhofer, A generalization of matrix Riccati differential equations: Existence and comparison results, 2008 (pdf)
    • [VIF12] Damir Filipovic, Stefan Tappe and Josef Teichmann, Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics, 2008 (pdf)
    • [VIF11] Michael Kupper and Walter Schachermayer, Representation Results for Law Invariant Time Consistent Functions, 2008
    • [VIF10] Michael Kupper and Nicolas Vogelpoth, Complete L0-normed modules and automatic continuity of monotone convex functions, 2008 (pdf)
    • [VIF9] Damir Filipovic, Michael Kupper and Nicolas Vogelpoth, Separation and Duality in Locally L0-Convex Modules, Journal of Functional Analysis 256, 3996-4029, 2009 (Working Paper Version)
    • [VIF8] Christa Cuchiero, Damir Filipovic and Josef Teichmann, Affine Models, forthcoming in Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. (pdf)
    • [VIF7] Damir Filipovic, Ludger Overbeck and Thorsten Schmidt, Dynamic CDO Term Structure Modelling, 2008 (pdf)
    • [VIF6] Damir Filipovic, Multi-Level Risk Aggregation, 2008 (pdf)
    • [VIF5] Damir Filipovic and Andreas Kunz, Realizable Group Diversification Effects, Life & Pensions, May 2008 (pdf)
    • [VIF4] Shabbir Ahmed, Damir Filipovic and Gregor Svindland, A Note on Natural Risk Statistics , forthcoming in Operations Research Letters (pdf)
    • [VIF3] Damir Filipovic and Gregor Svindland, Optimal Capital and Risk Allocations for Law- and Cash-Invariant Convex Functions, Finance and Stochastics 12, 423-439, 2008 (pdf)
    • [VIF2] Damir Filipovic and Gregor Svindland, Convex Risk Measures Beyond Bounded Risks, or The Canonical Model Space for Law-Invariant Convex Risk Measures is L^1, 2008 (pdf). (Shortened version forthcoming in Mathematical Finance).
    • [VIF1] Zehra Eksi, A Black-Scholes like model with Vasicek interest rates, 2007 (pdf)