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 1 (3), 281-299, 1995
13891995
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
5901998
Application of generalized hyperbolic Lévy motions to finance
E Eberlein
Lévy processes, 319-336, 2001
4182001
Term structure models driven by general Lévy processes
E Eberlein, S Raible
Mathematical Finance 9 (1), 31-53, 1999
3621999
The generalized hyperbolic model: financial derivatives and risk measures
E Eberlein, K Prause
Mathematical Finance—Bachelier Congress 2000, 245-267, 2002
3552002
On the range of options prices
E Eberlein, J Jacod
Finance and Stochastics 1 (2), 131-140, 1997
2641997
Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes
E Eberlein, EA Hammerstein
Seminar on stochastic analysis, random fields and applications IV, 221-264, 2004
1642004
Analysis of Fourier transform valuation formulas and applications
E Eberlein, K Glau, A Papapantoleon
Applied Mathematical Finance 17 (3), 211-240, 2010
1552010
The lévy libor model
E Eberlein, F Özkan
Finance and Stochastics 9 (3), 327-348, 2005
1412005
On strong invariance principles under dependence assumptions
E Eberlein
The Annals of Probability, 260-270, 1986
1381986
Exact pricing formulae for caps and swaptions in a Lévy term structure model
E Eberlein, W Kluge
Journal of Computational Finance 9 (2), 2006
1262006
Lévy term structure models: no-arbitrage and completeness
E Eberlein, J Jacod, S Raible
Finance and Stochastics 9 (1), 67-88, 2005
1222005
Risk management based on stochastic volatility
E Eberlein, J Kallsen, J Kristen
Journal of Risk 5, 19-44, 2003
922003
On the duality principle in option pricing: semimartingale setting
E Eberlein, A Papapantoleon, AN Shiryaev
Finance and Stochastics 12 (2), 265-292, 2008
892008
The defaultable Lévy term structure: ratings and restructuring
E Eberlein, F Özkan
Mathematical Finance 13 (2), 277-300, 2003
862003
Dependence in probability and statistics: A survey of recent results
E Eberlein, MS Taqqu
Birkhäuser, 1986
781986
Esscher transform and the duality principle for multidimensional semimartingales
E Eberlein, A Papapantoleon, AN Shiryaev
The Annals of Applied Probability 19 (5), 1944-1971, 2009
682009
Equivalence of floating and fixed strike Asian and lookback options
E Eberlein, A Papapantoleon
Stochastic Processes and their Applications 115 (1), 31-40, 2005
672005
Valuation of floating range notes in Levy term‐structure models
E Eberlein, W Kluge
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006
612006
Weak convergence of partial sums of absolutely regular sequences
E Eberlein
Statistics & probability letters 2 (5), 291-293, 1984
601984
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