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Dr. Ernst August Frhr. v. Hammerstein

Dr. Ernst August Frhr. v. Hammerstein

Senior 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
E-Mail: ernst.august.hammerstein@stochastik.uni-freiburg.de

Consultation hour

Thursdays 10-11 a.m.

In view of the respective pandemic situation, conferences can also be held online via BigBlueButton. To make an appointment for this, please send in advance an email to ernst.august.hammerstein@stochastik.uni-freiburg.de. Times for online conferences can also differ from the fixed date mentioned above.



Winter Term 2022/23:


Summer Term 2022:


Winter Term 2021/22:

Summer Term 2021:
Winter Term 2020/21:

Summer Term 2020:


 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


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