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2017 Artikel Upper bounds for concave distortion risk measures on moment space
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Upper bounds for concave distortion risk measures on moment space. Coauthors: D. Cornilly, S. Vanduffel. Preprint (2017) (pdf)
Existiert in
Emeriti
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Ludger Rüschendorf
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Contents
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2017 Artikel VaR bounds with two-sided dependence information
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VaR bounds with two-sided dependence information. Coauthor: T. Lux. Preprint (2017) (pdf)
Existiert in
Emeriti
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Ludger Rüschendorf
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Contents
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2017 Bild bray-wall.jpg
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Existiert in
Mitarbeiter
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Pascal Beckedorf
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Inhalte
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2018 Artikel Hybrid Lévy models: Design and computational aspects
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Hybrid Lévy models: Design and computational aspects. Preprint (2018) (with M. Rudmann)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2018 Artikel Multiple curve Lévy forward price model allowing for negative interest rates
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Multiple curve Lévy forward price model allowing for negative interest rates. Preprint (2018) (with Chr. Gerhart and Z. Grbac)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2018 Vortrag Freiburger Mathematik-Tage
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Freiburger Mathematik-Tage 12.10.2018 - Markov-Ketten mit absorbierenden Zuständen
Existiert in
Emeriti
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Hans Rudolf Lerche
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Inhalte
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2018 Vortrag From Sequential Testing to Optimal Stopping
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From Sequential Testing to Optimal Stopping, Rice University Houston, Texas (USA), June 26, 2018
Existiert in
Emeriti
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Hans Rudolf Lerche
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Inhalte
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2019 Artikel Variable annuities in a Lévy-based hybrid model
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Variable annuities in a Lévy-based hybrid model with surrender Risk. To appear in Quantitative Finance (with L. Ballotta, Th. Schmidt and R. Zeineddine)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2020 Bild Stochastische Prozesse
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Existiert in
Emeriti
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Ludger Rüschendorf
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Contents
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2021 Artikel A multiple curve Lévy swap market model
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A multiple curve Lévy swap market model. Applied Mathematical Finance (2021) (with Chr. Gerhart and E. Lütkebohmert) (pdf)
The Version of Record of this manuscript has been published and is available in Applied Mathematical Finance (2021) http://www.tandfonline.com/
(doi: 10.1080/1350486X.2021.1877559)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
