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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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Ernst Eberlein
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CV Ernst Eberlein
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Ernst Eberlein Bild
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Existiert in
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Ernst Eberlein
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2016 Artikel Portfolio theory for squared returns correlated across time.
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Portfolio theory for squared returns correlated across time. Preprint (2015). Probability, Uncertainty and Quantitative Risk 1 (1), 1-32 (2016) (with D. B. Madan) (pdf, SSRN, doi:10.1186/s41546-016-0001-4)
The original publication is available at Springer link.
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2022 pdf Publikation Eberlein
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1998 Disseration Semimartingale Modelling in Finance Kallsen
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Semimartingale Modelling in Finance.
Jan Kallsen , Dissertation, 1998
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Ernst Eberlein
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Hans Rudolf Lerche
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1986 Artikel An optimal property
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An optimal property of the repeated significance test, Proc. Nat. Acad. Sci. U.S.A. 83, 1546-1548 (1986)
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Hans Rudolf Lerche
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1986 Artikel Boundary Crossing of Brownian Motion
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Boundary Crossing of Brownian Motion, Lecture Notes in Statistics, Vol. 40, Springer-Verlag, Heidelberg-New York (1986), ISBN 3-540-96433-9, ISBN 0-387-96433-9
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Hans Rudolf Lerche
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1989 Artikel Approximate Exit Probabilities
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Approximate Exit Probabilities for a Brownian Bridge on a Short Time Interval and Applications, with D. Siegmund, Adv. Appl. Probab., 21, 1-19 (1989)
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Hans Rudolf Lerche
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