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2006 Artikel A cross-currency Lévy market model.
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A cross-currency Lévy market model. Quantitative Finance 6 (2006) 465–480 (with N. Koval) (pdf)
This is an electronic version of an article published in Quantitative Finance Vol 6 No. 6 (2006) 465–480. Quantitative Finance is available online at: http://www.journalsonline.tandf.co.uk/
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2006 Artikel The Levy Libor model with default risk
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The Lévy Libor model with default risk. Journal of Credit Risk 2 (2) (2006) 3–42 (with W. Kluge, P. J. Schönbucher)
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2007 Artikel The Lévy swap market model
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The Lévy swap market model. Applied Mathematical Finance 14 (2) (2007) 171–196 (with J. Liinev)
This is the author's version of the work. It is posted here by permission of Taylor & Francis for personal use, not for redistribution. The definitive version was published in Applied Mathematical Finance, Volume 14 Issue 2, May 2007. doi:10.1080/13504860600724950 (http://dx.doi.org/10.1080/13504860600724950).
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2008 Artikel On the duality principle in option pricing: semimartingale setting
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On the duality principle in option pricing: semimartingale setting. Finance and Stochastics 12 (2) (2008), 265–292 (with A. Papapantoleon, A. N. Shiryaev)
The original publication is available at www.springerlink.com.
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2007 Artikel Calibration of Lévy term structure models
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Calibration of Lévy term structure models. In Advances in Mathematical Finance: In Honor of D. B. Madan, M. Fu, R. A. Jarrow, J.-Y. Yen, and R. J. Elliott (eds.), Birkhäuser (2007), pp. 147–172 (joint with W. Kluge)
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2009 Artikel Sato processes and the valuation of structured products
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Sato processes and the valuation of structured products. Quantitative Finance 9 (1) (2009), 27–42 (with D. B. Madan)
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2007 Artikel Mathematics in financial risk management
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Mathematics in financial risk management. Jahresbericht der Deutschen Mathematiker Vereinigung 109 (2007), pp. 165–193 (with R. Frey, M. Kalkbrener, L. Overbeck)
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2009 Artikel Jump-type Lévy processes
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Jump-type Lévy processes. In Handbook of Financial Time Series, T. G. Andersen, R. A. Davis, J.-P. Kreiß, T. Mikosch, Springer Verlag (2009), pp 439–455
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2010 Artikel Jump processes
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Jump processes. In Encyclopedia of Quantitative Finance, R. Cont (ed.), John Wiley & Sons Ltd. (2010), pp 990–994
The definitive version is available at www.wileyinterscience.com.
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2008 Artikel Advanced credit portfolio modeling and CDO pricing
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Advanced credit portfolio modeling and CDO pricing. In Mathematics – Key Technology for the Future, W. Jäger and H.-J. Krebs (eds.), Springer (2008), pp 253–280 (with R. Frey, E. A. von Hammerstein)
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