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2014 Artikel Variational solutions of the pricing PIDEs for
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Variational solutions of the pricing PIDEs for European options in Lévy models. Applied Mathematical Finance 21 (5) (2014), 417–450 (with K. Glau)
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Ernst Eberlein
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2015 Artikel Option pricing and sensitivity
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Option pricing and sensitivity analysis in the Lévy forward process model. Preprint (2015) (with M'hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif)
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Ernst Eberlein
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2015 Artikel Valuation in illiquid markets.
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Valuation in illiquid markets. Procedia Economics and Finance 29 (2015), 135-143 (pdf)
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Ernst Eberlein
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2017 Artikel A multiple-curve Lévy forward rate model in a two-price economy
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A multiple-curve Lévy forward rate model in a two-price economy.
Quantitative Finance (2017) (with Ch. Gerhart)
The Version of Record of this manuscript has been published and is
available in Quantitative Finance 2017
http://www.tandfonline.com/10.1080/14697688.2017.1384558
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Ernst Eberlein
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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)
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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)
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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)
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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)
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Ernst Eberlein
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2021-Artikel-Fourier based methods for the management of complex life insurance products
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Fourier based methods for the management of complex life insurance products.
Insurance: Mathematics and Economics (2021) (with L. Ballotta, Th. Schmidt and R. Zeineddine)
(to appear)
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Ernst Eberlein
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2021 Artikel-Ruin probabilities for a Sparre Andersen model with investments
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Ruin probabilities for a Sparre Andersen model with investments. Stochastic Processes and their Applications 144 (2022), 72 - 84 (with Y. Kabanov and Th. Schmidt)
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