Prof. Dr. Matthias Scherer
Academic Career and Research Areas
Prof. Scherer’s (b. 1979) research area is mathematical finance and stochastics. The aim of his research is to appraise complex financial products and quantify their risks. His work mainly revolves around modeling dependency structures and assessing portfolio derivatives.
Prof. Scherer studied business mathematics at the University of Ulm. He obtained his Master of Science in mathematics at the University of Syracuse (USA). He went on to do his doctorate in structural credit risk models at the University of Ulm (2007). In early 2007, he became coordinator of TUM’s “Finance and Information Management” elite study program. Prior to his appointment as associate professor of mathematical finance (2010), he acted as interim professor for two semesters.
- Lehrpreis „Goldener Zirkel“ der Fachschaft Mathematik (2010 und 2012)
- Gauss-Preis 2011 der DAV/DGVFM (2. Platz)
- Preis der Süd-West Metall für den wissenschaftlichen Nachwuchs (2007)
Key Publications (alle Publikationen)
Mai J, Scherer M: “Reparameterizing Marshall-Olkin copulas with applications sampling”. Journal of Statistical Computation and Simulation 1563-5163. 2011; 81 (1): 59-78
Hofert M, Scherer M: “CDO pricing with nested Archimedean copulas”. Quantitative Finance. 2011; 11(5): 775-787.
Ruf J, Scherer M: “Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm”. Journal of Computational Finance. Forthcoming.
Mai J-F, Scherer M: “A tractable multivariate default model based on a stochastic time-change“. International Journal of Theoretical and Applied Finance. 2009;12 (2): 227-249.
Mai J-F, Scherer M: “Levy-fraily Copulas”. Journal of Multivariate Analysis. 2009; 100 (7): 1567-1585.