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The defaultable Lévy term structure: ratings and restructuring,
(joint with Ernst Eberlein), Mathematical Finance , Vol. 13, Nr. 2, p. 277 - 300. (2003). |
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Time consistency of Lévy models, (joint with Ernst Eberlein),
Quantitative
Finance, Vol. 3, Nr. 1, p. 40 - 50 (2003). (pdf) |
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The Lévy Libor Model, (joint with Ernst Eberlein),
FDM Preprint 82, University of Freiburg (2002). (pdf) |
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Generalizing CreditRisk+, (joint with Ernst Eberlein),
FDM Preprint 79, University of Freiburg (2002). |
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Lévy Processes in Credit Risk and Market Models, Dissertation, University of Freiburg (2002). (pdf) |
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