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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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2016 Artikel Improved Fréchet bounds and application to VaR estimates
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Improved Fréchet bounds and application to VaR estimates. Prepring (2016).
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Ludger Rüschendorf
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Contents
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2016 Artikel Quantiles as Markov morphisms: a copula and mass transportation approach
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Quantiles as Markov morphisms: a copula and mass transportation approach. Coauthor: O. P. Faugeras. Preprint (2016)
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Ludger Rüschendorf
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Contents
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2016 Artikel VaR bounds in models with partial dependence information on subgroups
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VaR bounds in models with partial dependence information on subgroups. Coauthor: J. Witting. Preprint (2016).
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Ludger Rüschendorf
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Contents
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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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2017 Artikel Risk bounds with additional information on fuctionals of the risk vector
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Risk bounds with additional information on fuctionals of the risk vector. Preprint (November 2017) (pdf)
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Ludger Rüschendorf
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Contents
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2017 Artikel Risk excess measures induced by hemi-metrics
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Risk excess measures induced by hemi-metrics. Coauthor: O. P. Faugera. Preprint (2017) (pdf)
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Ludger Rüschendorf
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Contents
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2017 Artikel Upper bounds for concave distortion risk measures on moment space
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Upper bounds for concave distortion risk measures on moment space. Coauthors: D. Cornilly, S. Vanduffel. Preprint (2017) (pdf)
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Ludger Rüschendorf
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Contents
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2017 Artikel VaR bounds with two-sided dependence information
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VaR bounds with two-sided dependence information. Coauthor: T. Lux. Preprint (2017) (pdf)
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