Rudi Zagst

984 total citations
109 papers, 540 citations indexed

About

Rudi Zagst is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Rudi Zagst has authored 109 papers receiving a total of 540 indexed citations (citations by other indexed papers that have themselves been cited), including 83 papers in Finance, 41 papers in Economics and Econometrics and 22 papers in Management Science and Operations Research. Recurrent topics in Rudi Zagst's work include Stochastic processes and financial applications (52 papers), Financial Risk and Volatility Modeling (35 papers) and Financial Markets and Investment Strategies (29 papers). Rudi Zagst is often cited by papers focused on Stochastic processes and financial applications (52 papers), Financial Risk and Volatility Modeling (35 papers) and Financial Markets and Investment Strategies (29 papers). Rudi Zagst collaborates with scholars based in Germany, Canada and Switzerland. Rudi Zagst's co-authors include Marcos Escobar, M.C. Wahl, Luis Seco, Aleksey Min, Ralf Werner, Matthias Scherer, Bin Zou, Ulrich Rieder, Volker Bergen and Alexey Rubtsov and has published in prestigious journals such as SHILAP Revista de lepidopterología, European Journal of Operational Research and Journal of Banking & Finance.

In The Last Decade

Rudi Zagst

95 papers receiving 492 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Rudi Zagst Germany	12	396	227	146	88	73	109	540
Andrea Consiglio Italy	13	300 0.8×	238 1.0×	184 1.3×	114 1.3×	65 0.9×	55	469
Jean‐Luc Prigent France	14	502 1.3×	352 1.6×	193 1.3×	150 1.7×	98 1.3×	71	687
Pieter Klaassen Netherlands	10	420 1.1×	189 0.8×	138 0.9×	61 0.7×	95 1.3×	17	490
Nicole Branger Germany	14	554 1.4×	363 1.6×	120 0.8×	113 1.3×	78 1.1×	94	675
Alex Weissensteiner Italy	12	242 0.6×	158 0.7×	144 1.0×	70 0.8×	85 1.2×	63	380
San‐Lin Chung Taiwan	15	676 1.7×	397 1.7×	113 0.8×	70 0.8×	116 1.6×	53	784
Aleš Černý United Kingdom	13	412 1.0×	285 1.3×	135 0.9×	83 0.9×	44 0.6×	44	523
Peter Lakner United States	10	396 1.0×	220 1.0×	152 1.0×	75 0.9×	36 0.5×	21	465
Xue Dong He Hong Kong	13	422 1.1×	408 1.8×	363 2.5×	68 0.8×	63 0.9×	48	698
Arjan Berkelaar Netherlands	10	376 0.9×	316 1.4×	156 1.1×	65 0.7×	108 1.5×	22	531

Countries citing papers authored by Rudi Zagst

Since Specialization

Citations

This map shows the geographic impact of Rudi Zagst's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Rudi Zagst with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Rudi Zagst more than expected).

Fields of papers citing papers by Rudi Zagst

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Rudi Zagst. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Rudi Zagst. The network helps show where Rudi Zagst may publish in the future.

Co-authorship network of co-authors of Rudi Zagst

This figure shows the co-authorship network connecting the top 25 collaborators of Rudi Zagst. A scholar is included among the top collaborators of Rudi Zagst based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Rudi Zagst. Rudi Zagst is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

1.

Yang, Y. Jeffrey, et al.. (2025). Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications. The North American Journal of Economics and Finance. 77. 102376–102376.

2.

Zagst, Rudi, et al.. (2024). Optimal consumption and investment in general affine GARCH models. OR Spectrum. 46(3). 987–1026. 1 indexed citations

3.

Zagst, Rudi, et al.. (2023). Mean–variance optimization under affine GARCH: A utility-based solution. Finance research letters. 59. 104749–104749. 1 indexed citations

4.

Wahl, M.C., et al.. (2018). Forecasting turbulence in the Asian and European stock market using regime-switching models. SHILAP Revista de lepidopterología. 2(2). 388–406. 14 indexed citations

5.

Wahl, M.C., et al.. (2018). Liability Driven Investments with a Link to Behavioral Finance. RePEc: Research Papers in Economics. 275–311. 2 indexed citations

6.

Escobar, Marcos, et al.. (2016). Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs. Risks. 4(4). 41–41. 10 indexed citations

7.

Zagst, Rudi, et al.. (2016). Inflation Protected Investment Strategies. Risks. 4(2). 9–9. 3 indexed citations

8.

Zagst, Rudi, et al.. (2014). Tail approximations in credit portfolios using large deviations techniques. Applied Mathematical Sciences. 8. 1071–1098.

9.

Zagst, Rudi, et al.. (2012). Closed-Form Solutions for Guaranteed Minimum Accumulation Benefits. SSRN Electronic Journal. 1 indexed citations

10.

Escobar, Marcos, et al.. (2011). A General Structural Approach for Credit Modeling under Stochastic Volatility. Journal of financial transformation. 32. 123–132. 3 indexed citations

11.

Braun, Reiner, et al.. (2011). The Risk Appetite of Private Equity Sponsors. SSRN Electronic Journal. 2 indexed citations

12.

Escobar, Marcos, et al.. (2011). Options on a CPPI Portfolio. International Mathematical Forum. 6(5). 229–262. 1 indexed citations

13.

Bertrand, Philippe, et al.. (2010). Theory of Performance Participation Strategies. SSRN Electronic Journal.

14.

Zagst, Rudi, et al.. (2009). Valuation of reverse mortgages under (limited) default risk. European Journal of Finance. 16(4). 305–327. 5 indexed citations

15.

Neumann, Michael H., et al.. (2009). Asset Correlations in Turbulent Markets and their Implications on Asset Management. Asia Pacific Journal of Operational Research. 28(1). 608–616. 4 indexed citations

16.

Zagst, Rudi, et al.. (2009). Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes. 4(19). 895–916. 1 indexed citations

17.

Zagst, Rudi, et al.. (2009). Modeling and Pricing of Credit Derivatives Using Macro-Economic Information. Journal of financial transformation. 26. 60–68. 1 indexed citations

18.

Zagst, Rudi, et al.. (2009). Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI. SSRN Electronic Journal. 5 indexed citations

19.

Zagst, Rudi & J. P. Roth. (2004). Three-Factor Defaultable Term Structure Models. 17(2). 249–285. 1 indexed citations

20.

Zagst, Rudi. (2002). Using scenario analysis for risk management. AStA Advances in Statistical Analysis. 86(86). 97–117.

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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