DYNSTOCH Network

Published Research from the Freiburg Team

Preprints:

• E. Eberlein and A. Papapantoleon (2004): Symmetries and pricing of exotic options in Lévy models. Preprint, University of Freiburg (2004). (pdf)
  
  
• E. Eberlein and W. Kluge (2004): Valuation of floating range notes in Lévy term structure models. Preprint, University of Freiburg (2004). (pdf)
  
  
• E. Eberlein and W. Kluge (2004): Exact pricing formulae for caps and swaptions in a Lévy term structure mode. FDM Preprint 86, University of Freiburg (2004). (pdf)
  
  
• E. Eberlein and F. Özkan (2002): The Lévy Libor Model. FDM Preprint 82, University of Freiburg (2002).
  
  
• E. Eberlein and E. A. v. Hammerstein (2003): Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes. FDM Preprint 80, University of Freiburg (2002). (pdf)
  
  
• R. Höpfner (2004): Strange shape of invariant density in branching diffusions with immigration. Preprint Nr 05/04, Fachbereich Mathematik und Informatik , Universitaet Mainz (2004). (ps)
  
  
• R. Höpfner, K. Brodda (2004): A stochastic model for processing analogic information by biological neurons. Preprint Nr 09/04, Fachbereich Mathematik und Informatik, Universitaet Mainz (2004). (ps)
  
  
• R. Höpfner, E. Löcherbach (2003): Remarks on Ergodicity and invariant occupation measure in branching diffusions with immigration. Preprint Nr 12/03, Fachbereich Mathematik und Informatik, Universitaet Mainz (2003). (ps)
  
  
• W. Jedidi (2001): Local asymptotic normality of statistical models associated with discrete observations of Lévy processes. (ps)
  
  
• W. Jedidi (2001): Stable processes: mixing and distributional properties. (ps)
  
  
• J. Kallsen (2000): Derivative pricing based on local utility maximization. Preprint Nr. 32/2000, Mathematische Fakultät Universität Freiburg i. Br. (ps, pdf)
  
  
• J. Kallsen (2000): Utility-based derivative pricing in incomplete markets. Preprint. (ps, pdf)
  
  
• J. Kallsen and A. N. Shiryaev (2000): Time change representation of stochastic integrals. Preprint. (ps)
  
  
• J. Kallsen and A. N. Shiryaev (2000): The Cumulant process and Esscher's change of measure. Preprint. (ps, pdf)
  
  
• E. Löcherbach and V. Bally (2001): On the invariant density of branching diffusions. Preprint 2001. (ps)
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2003): Imputing responses that are not missing. (ps pdf)
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2003): Efficient prediction for linear and nonlinear autoregressive models. (ps pdf)
  
  
• L. Rüschendorf and S. Doehler (2000): Adaptive estimation of Hazard functions. (ps)
  
  
• L. Rüschendorf and L. Uckelmann (2000): Variance minimization and random variables with constant sum. To appear in:Probability with given marginals. Proceedings of the Barcelona conference, Kluver. (ps)
  
  
• L. Rüschendorf and J. H. C. Woerner (2000): Expansions of transition distributions of Lévy processes in small time. (ps)
  
  
• A. Schick and W. Wefelmeyer (2003): Root n consistent density estimators for invertible linear processes. (pdf)
  
  
• A. Schick and W. Wefelmeyer (2002): Root n consistent density estimators for sums of independent random variables. (ps, pdf)
  
  

Papers published in Journals:

• E. Eberlein and A. Papapantoleon (2004): Equivalence of Floating and Fixed Strike Asian and Lookback Options. To appear in: Stochastic Processes and Their Applications.
  
  
• E. Eberlein and F. Özkan (2003): Time consistency of Lévy models. Quantitative Finance 3 (2003), 40 - 50. (pdf)
  
  
• E. Eberlein and F. Özkan (2003): The defaultable Lévy term structure: ratings and restructuring. Mathematical Finance 13 (2003), 277-300.
  
  
• E. Eberlein, J. Kallsen, and J. Kristen (2001): Risk management based on stochastic volatility. Journal of Risk 5 (2003), 19-44.
  
  
• E. Eberlein and K. Prause (2000): The generalized hyperbolic model: financial derivatives and risk measures. In Mathematical Finance - Bachelier Congress 2000, H. Geman, D. Madan, S. Pliska, T. Vorst (Eds.), Springer Verlag (2002), 245 - 267.
  
  
• E. Eberlein (2001): Application of generalized hyperbolic Lévy motions to finance. In "Lévy Processes: Theory and Applications" O.E. Barndorff-Nielsen, T. Mikosch, and S. Resnick (Eds.), Birkhäuser (2001), 319 - 337.
  
  
• E. Eberlein (2001): Recent advances in more realistic risk management: the hyperbolic model. In "Mastering Risk Volume 2: Applications", Carol Alexander (Ed.), Prentice Hall - Financial Times (2001), 56 - 72.
  
  
• E. Eberlein, and J. Breckling, and P. Kokic (2000): A new framework for the evaluation of market and credit risk. Datamining und Computational Finance, G. Bol, G. Nakhaeizadeh, K.-H. Vollmer (Eds.), Physica-Verlag, Wirtschaftswissenschaftliche Beiträge Bd. 174 (2000), 51 - 67.
  
  
• E. Eberlein, and J. Breckling, and P. Kokic (2000): A tailored suit for risk management: the hyperbolic model. In "Measuring risk in complex stochastic systems" J.Franke, W. Härdle, and G. Stahl (Eds.), Lecture Notes in Statistics 147, Springer (2000), 189-202.
  
  
• E. Eberlein and S. Raible (2001): Some analytic facts on the generalized hyperbolic model. European Congress of Mathematics, Vol. II (Progress in Mathematics Vol. 202), C. Casacuberta, et al. (Eds.), Birkhäuser Verlag (2001), 367 - 378.
  
  
• T. Goll and L. Rüschendorf (2000): Minimal distance martingale measures and optimal portfolios consistent with observed market prices.Preprint (2000). Preprint 37 (2000), to appear in: Winterschool of Stoch. Processes. (ps, pdf)
  
  
• P. E. Greenwood, U. U. Müller and W. Wefelmeyer (2004): Efficient estimation for semiparametric semi-Markov processes. In: Semi-Markov Processes and Their Applications (N. Limnios, ed.), Comm. Statist. Theory Methods 33, 419-435.
  
  
• P. E. Greenwood, U. U. Müller and W. Wefelmeyer (2004): An introduction to efficient estimation for semiparametric time series. To appear in: Parametric and Semiparametric Models with Applications to Reliability, Survival Analysis, and Quality of Life (M. S. Nikulin, N. Balakrishnan, M. Mesbah and N. Limnios, eds.), Statistics for Industry and Technology, Birkhäuser, Basel.
  
  
• P. E. Greenwood, A. Schick and W. Wefelmeyer (2001): Comment on: Inference for semiparametric models: some questions and an answer, by Peter J. Bickel and Jaimyoung Kwon. Statist. Sinica 11 (2001), 892-906.
  
  
• R. Höpfner and E. Löcherbach (2003): Limit theorems in null recurrent Markov processes. Memoirs AMS, Amer. Math. Soc. 2003, 92 pp.
  
  
• R. Höpfner, Yu. Kutoyants (2002): On a problem of statistical inference in null recurrent diffusions. Statistical Inference for Stochastic Processes 6, 25-42.
  
  
• R. Höpfner, M. Hoffmann and E. Löcherbach (2002): Non-parametric estimation of the death rate in branching diffusions. Scand. J. Statistics. 29, 665-692.
  
  
• J. Kallsen (2000): Optimal portfolios for exponential Lévy processes. Mathematical Methods of Operations Research 51, 357-374. (html)
  
  
• J. Kallsen and T. Goll (2000): Optimal portfolios for logarithmic utility. Stochastic Processes and their Applications 89, 31-48. (html)
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2004): Estimating functionals of the error distribution in parametric and nonparametric regression. J. Nonparametr. Statist. 16, 525-548.
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2004): Estimating linear functionals of the error distribution in nonparametric regression. J. Statist. Plann. Inference 119, 75-93.
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2003): Weighted residual-based density estimators for nonlinear autoregressive models.To appear in: Statist. Sinica.
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2003): Estimating the error variance in nonparametric regression by a covariate-matched U-statistic. Statistics 37, 179-188.
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2001): Improved estimators for constrained Markov chain models. Statist. Probab. Lett. 54 (2001), 427-435.
  
  
• U. U. Müller, A. Schick and W. Wefelmeyer (2001): Plug-in estimators in semiparametric stochastic process models. In: Selected Proceedings of the Symposium on Inference for Stochastic Processes (I. V. Basawa, C. C. Heyde and R. L. Taylor, eds.), 213-234,IMS Lecture Notes-Monograph Series 37, Institute of Mathematical Statistics, Beachwood, Ohio 2001.
  
  
• U. U. Müller and W. Wefelmeyer (2002): Autoregression, estimating functions, and optimality criteria. In: Advances in Statistics, Combinatorics and Related Areas (C. Gulati, Y.-X. Lin, J. Rayner and S. Mishra, eds.), 180-195, World Scientific, Singapore.
  
  
• U. U. Müller and W. Wefelmeyer (2002): Estimators for models with constraints involving unknown parameters. Math. Methods Statist. 11, 221-235.
  
  
• S. Penev, H. Peng, A. Schick and W. Wefelmeyer (2004): Efficient estimators for functionals of Markov chains with parametric marginals. Statist. Probab. Lett. 66, 335-345.
  
  
• L. Rüschendorf and B. Anthes (2000): On the weighted euclidean matching problem in R^d. To appear in: Applicationes Mathematicae. (ps)
  
  
• A. Schick and W. Wefelmeyer (2004): Estimating invariant laws of linear processes by U-statistics. Ann. Statist. 32, 603-632.
  
  
• A. Schick and W. Wefelmeyer (2004): Root n consistent and optimal density estimators for moving average processes. Scand. J. Statist. 31, 63-78.
  
  
• A. Schick and W. Wefelmeyer (2002): Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes. To appear in: Bernoulli.
  
  
• A. Schick and W. Wefelmeyer (2002): Estimating the innovation distribution in nonlinear autoregressive models. Ann. Inst. Statist. Math. 54, 245-260.
  
  
• A. Schick and W. Wefelmeyer (2002): Efficient estimation in invertible linear processes. Math. Methods Statist. 11, 358-379.