Publikationen


Monographien

  1. M. Spangler, R. Werner, 2014. German Covered Bonds – Overview and risk analysis of Pfandbriefe. Springer Briefs in Finance.

Veröffentlichungen in Journalen und Tagungsbänden

  1. M. Hughes, R. Werner, 2016. Choosing Markovian Credit Migration Matrices by Nonlinear Optimisation, RISKS 4(3), 31:
  2. D. Brigo, C. Fries, J. Hull, M. Scherer, D. Sommer, R. Werner, 2016. FVA and electricity bill valuation adjustment – much of a difference?. In Z. Grbac, K. Glau, M. Scherer, R. Zagst (eds.) Challenges in Derivatives Markets, Springer Proceedings in Mathematics & Statistics.
  3. J. Helmers, J. Rückmann, R. Werner, 2016. Tight semi-model-free bounds on (bilateral) CVA. In Z. Grbac, K. Glau, M. Scherer, R. Zagst (eds.) Challenges in Derivatives Markets, Springer Proceedings in Mathematics & Statistics.
  4. J. Natolski, R. Werner, 2016. Replicating portfolios – interplay between objective function and numeraire. In K. Dörner, I. Ljubic, G. Pflug, G. Tragler (eds.). Operations Research Proceedings 2015, Springer, Heidelberg.
  5. J. Natolski, R. Werner, 2015. Improving optimal terminal value replicating portfolios. In K. Glau et al. (eds.), Innovations in Quantitative Risk Management, pp 289 – 301, Springer Proceedings in Mathematics & Statistics 99.
  6. J. Natolski, R. Werner, 2014. Mathematical analysis of different approaches for replicating portfolios. European Actuarial Journal, 4 (2),pp 411 – 435.
  7. J. Fliege, R. Werner, 2014. Robust multiobjective optimization & applications in portfolio optimization. European Journal of Operational Research, 234, pp 422 – 433.
  8. M. Spangler, R. Werner, 2012. Coping With Long Term Model Risk in Market Risk Models. In C. J. Luz, F. Valente (eds). ICORES 2012 Proceedings, pp 239 – 246, SciTePress.
  9. F. Guerra-Vazquez, J-J. Rückmann, R. Werner, 2012. On saddle points in non-convex semi-infinite programming. Journal of Global Optimization, 54 (3), pp 433 – 447.
  10. C. Kenyon, R. Werner, 2012. Reassessing recovery rates – floating recoveries. In D. Klatte, H.-J. Lüthi, K. Schmedders (eds.). Operations Research Proceedings 2011, pp 185 – 190, Springer, Heidelberg.
  11. S. Daum, R. Werner, 2011. A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing. Optimization, 60 (10-11), pp 1379 – 1398.
  12. K. Schöttle, R. Werner, R. Zagst, 2010. Comparison and robustification of Bayes and Black-Litterman models. Mathematical Methods of Operations Research, 71 (3), pp 453 – 476.
  13. J. Haase, R. Werner, 2010. A generalized stopping problem with application in counterparty risk modelling. In A. B. Piunovskiy (ed.), Modern Trends in Controlled Stochastic Processes: Theory and Applications, pp. 196 – 215, Luniver Press.
  14. K. Schöttle, R. Werner, 2009. Robustness properties of mean-variance portfolios. Optimization, 58 (6), pp 641 – 663.
  15. R. Werner, 2008. Cascading: an adjusted exchange method for robust conic programming. Central European Journal of Operations Research, 16 (2), pp 179 – 189.
  16. A. Kalemanova, B. Schmid, R. Werner, 2007. The normal inverse Gaussian distribution for synthetic CDO pricing. Journal of Derivatives, 14 (3), pp 80 – 93.
  17. K. Schöttle, R. Werner, 2006. Towards reliable efficient frontiers. Journal of Asset Management, 7 (2), pp 128 – 141.
  18. K. Schöttle, R. Werner, 2004. Improving the most general methodology to create a valid correlation matrix. C.A. Brebbia (ed) in Risk Analysis IV; WIT Press.
  19. H. Hörnlein, M. Kocvara, R. Werner, 2001. Material Optimization: Bridging the Gap between Conceptual and Preliminary Design. Aerospace Science and Technology, 5 (8), pp 541 – 554.
  20. R. Werner, 2001. Material Optimization with a Penalty Barrier Multiplier Method. In K.-H. Hoffmann, R. Hoppe, V. Schulz (eds.) Fast Solutions of Discretized Optimization Problems, pp 265 – 280, ISNM 138, Birkhäuser, Berlin.

Buchbeiträge

  1. K. Schöttle, R. Werner, R. Zagst, 2010. Robustification of Bayesian Portfolio Allocation. In K. Böcker (ed.), Rethinking Risk Measurement and Reporting: Volume I, Risk Books.
  2. M. Spangler, R. Werner, 2010. Potential future market risk. In D. Rösch, H. Scheule (eds.), Model Risk – Identification, Measurement and Management, pp 315 – 337, Risk Books.
  3. K. Schöttle, R. Werner, 2010. On the benefits of robust asset allocation for CPPI strategies. In R. Kiesel, M. Scherer, R. Zagst (eds.), Alternative Investments and Strategies, pp 289 – 320, World Scientific.
  4. R. Hafner, A. Pütz, R. Werner, 2003. Index tracking under transaction costs: rebalancing passive portfolios. The Euromoney, Global Portfolio Trading Handbook.
  5. R. Werner, 2002. A First Approach to Robust Parameter Estimation in the Hull-White Model. RiskLab Germany Solutions Series 3/2002.

Preprints

  1. K. Schöttle, R. Werner, 2007. Calibration of correlation matrices - SDP or not SDP. www.gloriamundi.org
  2. H. Hörnlein, M. Kocvara, R. Werner. MOPED – An Integrated Designer Tool for Material Optimization. Preprint 279, Institut für Angewandte Mathematik, FAU Erlangen.
  3. R. Werner. Free Material Optimization: The Single Load Case – A Finite Element Method Analysis. Preprint 267, Institut für Angewandte Mathematik, FAU Erlangen.
  4. M. Kocvara, M. Stingl, R. Werner. MOPED User’s Guide – Version 1.02. Preprint 262, Institut für Angewandte Mathematik, FAU Erlangen.
  5. R. Werner. Free Material Optimization - The Single Load Case. Preprint 251, Institut für Angewandte Mathematik, FAU Erlangen.