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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)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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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)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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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)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2016 Artikel A Lévy-driven Asset Price Model with Bankruptcy and Liquidity Risk
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A Lévy-driven Asset Price Model with Bankruptcy and Liquidity Risk. Preprint (2016) (with P. Bäurer) (pdf)
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Emeriti
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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
Existiert in
Emeriti
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Ernst Eberlein
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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)
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Emeriti
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Ernst Eberlein
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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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Emeriti
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Ernst Eberlein
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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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Emeriti
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Ernst Eberlein
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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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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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