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2012 Artikel Dealing with complex realities in financial modeling
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Dealing with complex realities in financial modeling. Current Science 103 (6) (2012), 647–649 (with D. B. Madan)
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Emeriti
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Ernst Eberlein
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2012 Artikel Pricing to acceptability: with
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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)
Existiert in
Emeriti
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Ernst Eberlein
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2012 Artikel Unbounded liabilities, capital reserve
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Unbounded liabilities, capital reserve requirements and the taxpayer put option. Quantitative Finance 12 (5) (2012), 709–724 (with D. B. Madan)
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Emeriti
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Ernst Eberlein
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2013 Artikel A simple stochastic rate model
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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)
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Emeriti
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Ernst Eberlein
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2013 Artikel Discrete tenor models for credit risky portfolios
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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)
Existiert in
Emeriti
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Ernst Eberlein
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2013 Artikel Fourier based valuation methods in mathematical finance
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Fourier based valuation methods in mathematical finance. In Quantitative Energy Finance, F. Benth, V. Kholodnyi, and P. Laurence (eds.), Springer (2013), pp. 85–114
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Emeriti
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Ernst Eberlein
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2013 Artikel Modeling risk weighted assets and
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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)
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Emeriti
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Ernst Eberlein
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2013 Artikel Rating based Lévy LIBOR model
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Rating based Lévy LIBOR model. Mathematical Finance 23 (4) (2013), 591-626 (with Z. Grbac)
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Emeriti
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Ernst Eberlein
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2014 Artikel Bid and ask prices
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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)
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Emeriti
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Ernst Eberlein
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2014 Artikel Maximally acceptable portfolios
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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)
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Emeriti
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Ernst Eberlein
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