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File 1998 Disseration Semimartingale Modelling in Finance Kallsen
Semimartingale Modelling in Finance. Jan Kallsen , Dissertation, 1998
File 2014 Artikel Bid and ask prices
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)
File 2013 Artikel A simple stochastic rate model
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)
File 2013 Artikel Modeling risk weighted assets and
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)
File 2014 Artikel Two price economies in continuous time
Two price economies in continuous time. Annals of Finance 10 (2014), 71–100 (with D. Madan, M. Pistorius, W. Schoutens and M. Yor)
File 2013 Artikel Discrete tenor models for credit risky portfolios
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)
File 2013 Artikel Fourier based valuation methods in mathematical finance
Fourier based valuation methods in mathematical finance. In Quantitative Energy Finance, F. Benth, V. Kholodnyi, and P. Laurence (eds.), Springer (2013), pp. 85–114
File 2012 Artikel Dealing with complex realities in financial modeling
Dealing with complex realities in financial modeling. Current Science 103 (6) (2012), 647–649 (with D. B. Madan)
File 2014 Artikel Variational solutions of the pricing PIDEs for
Variational solutions of the pricing PIDEs for European options in Lévy models. Applied Mathematical Finance 21 (5) (2014), 417–450 (with K. Glau)
File 2011 Artikel Capital requirements, the option surface,
Capital requirements, the option surface, market, credit and liquidity risk. Preprint, University of Freiburg (2011) (with D. B. Madan and W. Schoutens)
File 2012 Artikel Pricing to acceptability: with
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)
File 2010 Artikel On correlating Lévy processes
On correlating Lévy processes. The Journal of Risk 13 (1) (2010), 3–16 (with D. B. Madan)
File 2013 Artikel Rating based Lévy LIBOR model
Rating based Lévy LIBOR model. Mathematical Finance 23 (4) (2013), 591-626 (with Z. Grbac)
File 2012 Artikel Unbounded liabilities, capital reserve
Unbounded liabilities, capital reserve requirements and the taxpayer put option. Quantitative Finance 12 (5) (2012), 709–724 (with D. B. Madan)
File 2011 Artikel Analyticity of the Wiener–Hopf factors
Analyticity of the Wiener–Hopf factors and valuation of exotic options in Lévy models. In Advanced Mathematical Methods for Finance, G. Di Nunno and B. Øksendal (eds.), Springer (2011), pp 223–245 (with K. Glau and A. Papapantoleon)
File 2014 Artikel Maximally acceptable portfolios
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)
File 2010 Artikel Generalized hyperbolic models
Generalized hyperbolic models. In Encyclopedia of Quantitative Finance, R. Cont (ed.), John Wiley & Sons Ltd. (2010), pp 833–836 The definitive version is available at www.wileyinterscience.com.
File 2010 Artikel Jump processes
Jump processes. In Encyclopedia of Quantitative Finance, R. Cont (ed.), John Wiley & Sons Ltd. (2010), pp 990–994 The definitive version is available at www.wileyinterscience.com.
File 2009 Artikel Hedge fund performance: sources and measures
Hedge fund performance: sources and measures. International Journal of Theoretical and Applied Finance 12 (3) (2009), 267–282 (with D. B. Madan)
File 2009 Artikel On pricing risky loans and collateralized fund obligations
On pricing risky loans and collateralized fund obligations. The Journal of Credit Risk 5 (3) (2009), 1–18 (with H. Geman and D. B. Madan)
File 2010 Artikel Short positions, rally fears and option markets
Short positions, rally fears and option markets. Applied Mathematical Finance 17 (1-2) (2010), 83-98 (with D. B. Madan)
File 2009 Artikel Analysis of Fourier transform valuation
Analysis of Fourier transform valuation formulas and applications. Applied Mathematical Finance 17(3) (2010), 211–240 (with K. Glau and A. Papapantoleon) (pdf) Author Posting. (c) 'Taylor & Francis', 2009. This is the author's version of the work. It is posted here by permission of 'Taylor & Francis' for personal use, not for redistribution. The definitive version was published in Applied Mathematical Finance, , January 2010. doi:10.1080/13504860903326669 (http://dx.doi.org/10.1080/13504860903326669)
File 2009 Artikel Esscher transform and the duality principle for multidimensional semimartingales
Esscher transform and the duality principle for multidimensional semimartingales. The Annals of Applied Probability 19 (2009), 1944–1971 (with A. Papapantoleon and A. N. Shiryaev)
File 2008 Artikel Advanced credit portfolio modeling and CDO pricing
Advanced credit portfolio modeling and CDO pricing. In Mathematics – Key Technology for the Future, W. Jäger and H.-J. Krebs (eds.), Springer (2008), pp 253–280 (with R. Frey, E. A. von Hammerstein)
File 2009 Artikel Jump-type Lévy processes
Jump-type Lévy processes. In Handbook of Financial Time Series, T. G. Andersen, R. A. Davis, J.-P. Kreiß, T. Mikosch, Springer Verlag (2009), pp 439–455
File 2007 Artikel Mathematics in financial risk management
Mathematics in financial risk management. Jahresbericht der Deutschen Mathematiker Vereinigung 109 (2007), pp. 165–193 (with R. Frey, M. Kalkbrener, L. Overbeck)
File 2009 Artikel Sato processes and the valuation of structured products
Sato processes and the valuation of structured products. Quantitative Finance 9 (1) (2009), 27–42 (with D. B. Madan)
File 2007 Artikel Calibration of Lévy term structure models
Calibration of Lévy term structure models. In Advances in Mathematical Finance: In Honor of D. B. Madan, M. Fu, R. A. Jarrow, J.-Y. Yen, and R. J. Elliott (eds.), Birkhäuser (2007), pp. 147–172 (joint with W. Kluge)
File 2008 Artikel On the duality principle in option pricing: semimartingale setting
On the duality principle in option pricing: semimartingale setting. Finance and Stochastics 12 (2) (2008), 265–292 (with A. Papapantoleon, A. N. Shiryaev) The original publication is available at www.springerlink.com.
File 2007 Artikel The Lévy swap market model
The Lévy swap market model. Applied Mathematical Finance 14 (2) (2007) 171–196 (with J. Liinev) This is the author's version of the work. It is posted here by permission of Taylor & Francis for personal use, not for redistribution. The definitive version was published in Applied Mathematical Finance, Volume 14 Issue 2, May 2007. doi:10.1080/13504860600724950 (http://dx.doi.org/10.1080/13504860600724950).
File 2006 Artikel The Levy Libor model with default risk
The Lévy Libor model with default risk. Journal of Credit Risk 2 (2) (2006) 3–42 (with W. Kluge, P. J. Schönbucher)
File 2006 Artikel A cross-currency Lévy market model.
A cross-currency Lévy market model. Quantitative Finance 6 (2006) 465–480 (with N. Koval) (pdf) This is an electronic version of an article published in Quantitative Finance Vol 6 No. 6 (2006) 465–480. Quantitative Finance is available online at: http://www.journalsonline.tandf.co.uk/
File 2006 Artikel Symmetries in Lévy term structure models
Symmetries in Lévy term structure models. International Journal of Theoretical and Applied Finance 9 (6) (2006) 967–986 (with W. Kluge and A. Papapantoleon)
File 2005 Artikel Symmetries and pricing of exotic options in Lévy models
Symmetries and pricing of exotic options in Lévy models. In Exotic option pricing and advanced Lévy models, A. Kyprianou, W. Schoutens, P. Wilmott (eds.), Wiley (2005), pp. 99–128 (with A. Papapantoleon) http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470016841.html
File 2006 Artikel Valuation of floating range notes in Lévy term structure models
Valuation of floating range notes in Lévy term structure models. Mathematical Finance 16 (2006) 237–254 (with W. Kluge)
File 2005 Artikel Equivalence of floating and fixed strike Asian and lookback options
Equivalence of floating and fixed strike Asian and lookback options. Stochastic Processes and Their Applications 115 (2005) 31–40 (with A. Papapantoleon) http://www.sciencedirect.com/science/journal/03044149
File 2003 Artikel Time consistency of Lévy models
Time consistency of Lévy models. Quantitative Finance 3 (2003) 40–50 (with F. Özkan)
File 2015 Artikel Valuation in illiquid markets.
Valuation in illiquid markets. Procedia Economics and Finance 29 (2015), 135-143 (pdf)
File 2015 Artikel Option pricing and sensitivity
Option pricing and sensitivity analysis in the Lévy forward process model. Preprint (2015) (with M'hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif)
File 2016 Artikel Portfolio theory for squared returns correlated across time.
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.
File 2016 Artikel A Lévy-driven Asset Price Model with Bankruptcy and Liquidity Risk
A Lévy-driven Asset Price Model with Bankruptcy and Liquidity Risk. Preprint (2016) (with P. Bäurer) (pdf)
File 2017 Artikel A multiple-curve Lévy forward rate model in a two-price economy
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
File 2018 Artikel Hybrid Lévy models: Design and computational aspects
Hybrid Lévy models: Design and computational aspects. Preprint (2018) (with M. Rudmann)
File 2018 Artikel Multiple curve Lévy forward price model allowing for negative interest rates
Multiple curve Lévy forward price model allowing for negative interest rates. Preprint (2018) (with Chr. Gerhart and Z. Grbac)
File 2019 Artikel Variable annuities in a Lévy-based hybrid model
Variable annuities in a Lévy-based hybrid model with surrender Risk. To appear in Quantitative Finance (with L. Ballotta, Th. Schmidt and R. Zeineddine)
File 2021 Artikel A multiple curve Lévy swap market model
A multiple curve Lévy swap market model. Applied Mathematical Finance (2021) (with Chr. Gerhart and E. Lütkebohmert) (pdf) The Version of Record of this manuscript has been published and is available in Applied Mathematical Finance (2021) http://www.tandfonline.com/ (doi: 10.1080/1350486X.2021.1877559)
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File CV Ernst Eberlein
 
File 2021 Artikel-Ruin probabilities for a Sparre Andersen model with investments
Ruin probabilities for a Sparre Andersen model with investments. Stochastic Processes and their Applications 144 (2022), 72 - 84 (with Y. Kabanov and Th. Schmidt)
File 2021-Artikel-Fourier based methods for the management of complex life insurance products
Fourier based methods for the management of complex life insurance products. Insurance: Mathematics and Economics (2021) (with L. Ballotta, Th. Schmidt and R. Zeineddine) (to appear)
File 2001 Artikel Application of generalized hyperbolic Lévy motions to finance
Application of generalized hyperbolic Lévy motions to finance. In Lévy Processes: Theory and Applications, O.E. Barndorff-Nielsen, T. Mikosch, and S. Resnick (eds.), Birkhäuser Verlag (2001) 319–337 (pdf)
File 2022 pdf Publikation Eberlein
 
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