-
2012 Artikel Pricing to acceptability: with
-
Pricing to acceptability: with applications to valuation of one's own credit risk. The Journal of Risk 15 (1) (2012), 91–120 (with T. Gehrig and D. B. Madan)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2012 Artikel Unbounded liabilities, capital reserve
-
Unbounded liabilities, capital reserve requirements and the taxpayer put option. Quantitative Finance 12 (5) (2012), 709–724 (with D. B. Madan)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2013 Artikel A simple stochastic rate model
-
A simple stochastic rate model for rate equity hybrid products. Applied Mathematical Finance 20 (5-6) (2013), 461–488 (with D. B. Madan, M. Pistorius and M. Yor)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2013 Artikel Discrete tenor models for credit risky portfolios
-
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. SIAM Journal on Financial Mathematics 4 (1) (2013), 616–649 (with Z. Grbac and T. Schmidt)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2013 Artikel Fourier based valuation methods in mathematical finance
-
Fourier based valuation methods in mathematical finance. In Quantitative Energy Finance, F. Benth, V. Kholodnyi, and P. Laurence (eds.), Springer (2013), pp. 85–114
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2013 Artikel Modeling risk weighted assets and
-
Modeling risk weighted assets and the risk sensitivity of related capital requirements. The Journal of Risk 16 (2) (2013), 3–23 (with D. B. Madan and W. Schoutens)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2013 Artikel Rating based Lévy LIBOR model
-
Rating based Lévy LIBOR model. Mathematical Finance 23 (4) (2013), 591-626 (with Z. Grbac)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2014 Artikel Bid and ask prices
-
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Mathematics and Financial Economics 8 (3) (2014), 265–289 (with D. B. Madan, M. Pistorius and M. Yor)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2014 Artikel Maximally acceptable portfolios
-
Maximally acceptable portfolios. In Inspired by Finance. The Musiela Festschrift, Y. Kabanov, M. Rutkowski, T. Zariphopoulou (eds.), Springer Verlag (2014), pp 257–271 (with. D. B. Madan)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
-
2014 Artikel Two price economies in continuous time
-
Two price economies in continuous time. Annals of Finance 10 (2014), 71–100 (with D. Madan, M. Pistorius, W. Schoutens and M. Yor)
Located in
Emeriti
/
Ernst Eberlein
/
Inhalte
