[Zurück]
 
Please choose
Jahr
Details
Sprache
Sortierung
Ausgabe
neu: RTF !
 Research Report for 2011

Abteilung für Quantitative Finanzmarktforschung

Platz der Alten Synagoge
79085 Freiburg i. Br.
Tel: 0761 - 203 9362 Fax: 0761 - 203 9367
Email eva.luetkebohmert@finance.uni-freiburg.de
http://www.finance.uni-freiburg.de


Scientific Employees

Entries in "Who is Who"

Main Research

  • Market, Credit, and Liquidity Risk
  • Pricing of Risk in Incomplete Markets
  • Regulation of Financial Markets

Financing

  • DFG (Exzellenzinitiative): Pricing of Risk in Incomplete Markets (Nachwuchsforschergruppe)
  • NSF - Collaborative Research on "Early Markets: NYSE before the SEC" with Caroline Fohlin (Johns Hopkins University, Baltimore)
  • BMBF - Sofortrettung bei Grossunfall (SOGRO)

Scientific and Research Projects


  • A. Research Group "Pricing of Risk in Incomplete Markets" funded by the German Excellence Initiative (Bertha-Ottenstein Professur)
    • Project Manager: JProf. Dr. Eva Lütkebohmert-Holtz
    • Start/End of project: 01.10.2008 until 30.09.2013
    • Project Details
  • C. Sofortrettung bei Grossrettung mit Massenanfall von Verletzten (SOGRO)
    • Project Manager: Prof. Thomas P. Gehrig
    • Start/End of project: 01.03.2009 until 28.02.2012
    • Project Details

Scientific publications

Journal Articles:
  • Christian-Oliver Ewald, Yajun Xiao: Information: Price and Impact on General Welfare and Optimal Investment: An Anticipative Stochastic Differential Game Model Advances in Applied Probability,, 2011; 43 (1): 97-120.
  • Ebert Sebastian, Lütkebohmert Eva: Treatment of Double Default Effects within the Granularity Adjustment for Basel II Journal of Credit Risk, 2011; 7 (1): 3-33.
Oral Presentations:
  • Liang Gechun, Lütkebohmert Eva, Xiao Yajun: A multi-period bank run model for liquidity risk 2011 (ICIAM, Vancouver).
  • Liang Gechun, Lütkebohmert Eva, Xiao Yajun: A multi-period bank run model for liquidity risk 2011 (11th SAET Conference, 2011, Ancao (Faro), Portugal).
  • Liang Gechun, Lütkebohmert Eva, Xiao Yajun: A multi-period bank run model for liquidity risk 2011 (11th SAET Conference, 2011, Ancao (Faro), Portugal).
  • Liang Gechun, Lütkebohmert Eva, Xiao Yajun: A Multi-Period Bank Run Model for Liquidity Risk 2011 (International Conference on Nonlinear Economic Dynamics and Financial Market Modeling, 2011, Guangzhou, China).
  • Liang Gechun, Lütkebohmert Eva, Xiao Yajun: A Multi-Period Bank-Run Model for Liquidity Risk 2011 (Modeling and Managing Financial Risks/Paris).
  • von Hammerstein E: Dependence structures of generalized hyperbolic models and applications to CDO pricing. 2011 (Young Researchers Workshop on Finance 2011, Metropolitan University and The University of Tokyo (Japan)).
Conference Papers:
  • Liang Gechun, Lütkebohmert Eva, Xiao Yajun: Quantification of liquidity risk in a two-period model In: Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. (Eds.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, 2011: 51-60 (Actuarial and Financial Mathematics Conference, Brussels).

Special Scientific Activities

Ehrung:
  • Professor Thomas P. Gehrig, Ph.D.: Member of the Executive Board, European Association for Research in Industrial Economics (EARIE), 01.09.2005 bis 31.08.2011.
Veranstaltung:
  • Professor Thomas P. Gehrig und Professor Ernst Eberlein: Forschergruppe "Pricing of Risk in Incomplete Markets" , Zukunftskonzept der Albert Ludwigs Universität im Rahmen der Deutschen Exzellenzinitiative, 01.10.2008 bis 30.09.2013.

Scientific Dissertations

Dissertations
  • Sebastian Ebert: Treatment of Double Default Effects within the Basel Regulatory Framework and a Theoretical and an Experimental Investigation of Higher-Order Risk Preferences (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
Degree Dissertations
  • Christian Scherrmann: Pricing Barrier Options in a Stochastic Volatility Model (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • Daniel Ruf: Private and Public New Effects on Trade Durations (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • George Beridze: Volatilitätsschätzung anhand von GARCH-Modellen: Eine empirische Untersuchung des georgischen Aktienmarktes (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • Inna Bossler: Testing Asset Pricing Models Based on Robust Standard Errors (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • Jan-Philipp Feger: Die Auswirkungen verschärfter Eigenkapitalanforderungen im Lichte von Basel III (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • Lukas Fehrenbach: Modellierung der Volatilität mit einer Anwendung in Optionspreisschätzung” (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
Master
  • Daria Lavrentev: CreditRisk+ Model: Theory and Implementation (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • Xiao Hang: Macroeconomic Effects of Basel III (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.
  • Xiaolan Long: An Empirical Test of Heston Model in FX Market (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2011.




Guest Scientists:

  • Professor Dr. Wilhelmus Spanjers, Kingston University, UK, Forschungsaufenthalt, 01.08.2010 bis 31.01.2011