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Ernst Eberlein
Ernst Eberlein
Professor für Mathematische Stochastik und Finanzmathematik, Universität Freiburg
Adresse e-mail validée de stochastik.uni-freiburg.de
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Hyperbolic distributions in finance
E Eberlein, U Keller
Bernoulli, 281-299, 1995
15731995
New insights into smile, mispricing, and value at risk: The hyperbolic model
E Eberlein, U Keller, K Prause
The Journal of Business 71 (3), 371-405, 1998
6591998
Application of generalized hyperbolic Lévy motions to finance
E Eberlein
Lévy processes: theory and applications, 319-336, 2001
4782001
The generalized hyperbolic model: financial derivatives and risk measures
E Eberlein, K Prause
Mathematical Finance—Bachelier Congress 2000: Selected Papers from the …, 2002
4082002
Term structure models driven by general Lévy processes
E Eberlein, S Raible
Mathematical Finance 9 (1), 31-53, 1999
3941999
On the range of options prices
E Eberlein, J Jacod
Finance and Stochastics 1 (2), 131-140, 1997
2871997
Analysis of Fourier transform valuation formulas and applications
E Eberlein, K Glau, A Papapantoleon
Applied Mathematical Finance 17 (3), 211-240, 2010
1952010
Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes
E Eberlein, EA v Hammerstein
Seminar on Stochastic Analysis, Random Fields and Applications IV: Centro …, 2004
1922004
On strong invariance principles under dependence assumptions
E Eberlein
The Annals of Probability, 260-270, 1986
1561986
The lévy libor model
E Eberlein, F Özkan
Finance and Stochastics 9, 327-348, 2005
1522005
Lévy term structure models: no-arbitrage and completeness
E Eberlein, J Jacod, S Raible
Finance and Stochastics 9, 67-88, 2005
1302005
Exact pricing formulae for caps and swaptions in a Lévy term structure model
E Eberlein, W Kluge
Journal of Computational Finance 9 (2), 99, 2005
1282005
On the duality principle in option pricing: semimartingale setting
E Eberlein, A Papapantoleon, AN Shiryaev
Finance and Stochastics 12 (2), 265-292, 2008
942008
Risk management based on stochastic volatility
E Eberlein, J Kallsen, J Kristen
Journal of Risk 5, 19-44, 2003
942003
Dependence in probability and statistics: A survey of recent results
M Taqqu
Springer-Verlag, 2019
922019
The defaultable Lévy term structure: ratings and restructuring
E Eberlein, F Özkan
Mathematical Finance 13 (2), 277-300, 2003
912003
Weak convergence of partial sums of absolutely regular sequences
E Eberlein
Statistics & probability letters 2 (5), 291-293, 1984
801984
Esscher transform and the duality principle for multidimensional semimartingales
E Eberlein, A Papapantoleon, AN Shiryaev
742009
Equivalence of floating and fixed strike Asian and lookback options
E Eberlein, A Papapantoleon
Stochastic Processes and their Applications 115 (1), 31-40, 2005
692005
Jump–type lévy processes
E Eberlein
Handbook of financial time series, 439-455, 2009
622009
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