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Dr. Ernst August Frhr. v. Hammerstein

Dr. Ernst August Frhr. v. HammersteinSenior Lecturer

Course guidance for Mathematical Stochastics, esp. for the profile "Finanzmathematik"


Address / Contact

Department of Mathematical Stochastics
University ofFreiburg                              
Ernst-Zermelo-Straße 1  (formerly Eckerstraße 1)
Room 248
D-79104 Freiburg i. Brsg. (Germany)

Tel: +49-761-203-5673
Fax: +49-761-203-5661

Consultation hour

Thursdays 10-11 a.m.

Conferences can alternatively be held online via BigBlueButton. To make an appointment for this, please send in advance an email to Times for online conferences can also differ from the fixed date mentioned above.



Winter Term 2023/24:


Summer Term 2023:


Winter Term 2022/23:


Summer Term 2022:


Winter Term 2021/22:
Summer Term 2021:


 Lectures, courses, and seminars in former terms

Research Interest

  • Pricing and hedging of derivative products
  • Credit risk modeling
  • Application of Lévy and related processes in Finance


Articles and book chapters
  • Tail behaviour and tail dependence of generalized hyperbolic distributions
    In: Kallsen, J., Papapantoleon, A. (Eds.): Advanced Modelling in Mathematical Finance - A Festschrift in honour of Ernst Eberlein, Springer (2016), 3-40. DOI: 10.1007/978-3-319-45875-5
  • Optimality of payoffs in Lévy models
    International Journal of Theoretical and Applied Finance 17 (6), 1450041, 2014.
    DOI: 10.1142/S0219024914500411 (with E. Lütkebohmert, L. Rüschendorf, V. Wolf) (Preprint)
  • Advanced credit portfolio modeling and CDO pricing
    In: W. Jäger, H.-J. Krebs (editors), Mathematics - Key technology for the future, Springer (2008), 253-280 (with E. Eberlein and R. Frey)
  • Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes
    In: Seminar on stochastic analysis, random fields and applications IV, R. Dalang, M. Dozzi, F. Russo (editors), Progress in Probability 58, Birkhäuser (2004), 221-264 (with E. Eberlein)


Conference Proceedings
  • Construction of cost-efficient self-quanto calls and puts in exponential Lévy models
    In: Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. (Eds.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 6-7, 2014, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, 2014 (with E. Lütkebohmert, L. Rüschendorf, V. Wolf) (pdf)

  • Generalized hyperbolic distributions: Theory and applications to CDO pricing
    PhD thesis, University of Freiburg (2011). Available at FreiDok plus