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 Research Report for 2014

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
  • Regulation of Financial Markets
  • Risk Management
  • Derivative Pricing

Scientific publications

Journal Articles:
  • Lütkebohmert E, Liang G, Xiao Y: A multiperiod bank run model for liquidity risk Rev Financ, 2014; 18: 803-842.
  • Lütkebohmert E, Matchie L: Value-at-Risk computations in stochastic volatility models using second-order weak approximation schemes International Journal of Theoretical and Applied Finance, 2014; 17 (1): 1450004-1-1450004-26. : http://dx.doi.org/10.1142/S0219024914500046
  • von Hammerstein E, Lütkebohmert-Holtz E, Rüschendorf L, Wolf V: Optimality of payoffs in Lévy models International Journal of Theoretical and Applied Finance, 2014; 17 (6): 1450041-1-1450041-46. : http://dx.doi.org/10.1142/S0219024914500411
Oral Presentations:
  • Lütkebohmert-Holtz E: Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: A Dynamic Debt Run Model 2014 (ETH Zürich).
  • Lütkebohmert-Holtz E: Optimal Debt Maturity Structure in a Model with Market and Funding Liquidity Risk. 2014 (8th World Congress of the Bachelier Finance Society, Brussels, 02.-06.06.2014).
  • von Hammerstein E: Optimality of payoffs in Lévy models 2014 (Actuarial and Financial Mathematics Conference, Brussels (Belgium), 06.02.2014-07.02.2014).
Conference Papers / Book Chapters:
  • von Hammerstein E, Lütkebohmert-Holtz E, Rüschendorf L, Wolf V: Construction of cost-efficient self-quanto calls and puts in exponential Lévy models In: Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. (Hrsg.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 6-7, 2014, Koninklijke Vlaamse Academie van Belgie voor Wetenschappen en Kunsten, Brussel, 2014 Brussel: Koninklijke Vlaamse Academie van Belgie voor Wetenschappen en Kunsten, 2014; 49-61. (download: http://www.afmathconf.ugent.be/FormerEditions/Proceedings2014.pdf)

Special Scientific Activities

Veranstaltung:
  • Prof. Dr. Eva Lütkebohmert-Holtz: Workshop on Risk and Regulation, 17.10.2014 bis 18.10.2014.

Scientific Dissertations

Degree Dissertations
  • Benedikt Vogt: Bewertung effizienter Strategien für Self-Quanto Optionen in Levy-Modellen (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Erika Orban: Geforderte oder überforderte Frauen: Arbeitszeit, multiple Rollen und Gesundheit (Secondary Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Panagiotis Ballis-Papanastasiou: Value at Risk, Extreme Value Theory, and Basel III (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Qi Chen: Eine Analyse von Aktienkursen w\"{a}hrend der Finanzkrise mittels Copula Funktionen (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Robert Zimmermann: The Financial Cycle and the Financial Crisis: A Conceptual Macroprudential Framework for Financial Stability (Secondary Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Weibin Chen: Ansätze und Verfahren des Risikomanagements und deren Einsatz in der betrieblichen Praxis (Secondary Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
Master
  • Dilyana Bendurska: The influence of stochastic interest rates on cross-border mortgage decisions (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Dominik Hermann: About Incentives -- How to Build a European Banking Union (Secondary Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Duan Ni: Valuation of Credit and Basket Default Swaps (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Etem Emre Camlilar: The effect of liquidity risk on asset prices: Evidence from Germany (Supervisor Prof Dr. Eva Lütkebohmert-Holtz), 2014.
  • Linqin Yang: The new regulatory framework Basel III: improvements and criticism (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Michael Kreick: Hyperbolic Discounting in the Bargaining Arena (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Roberto Amaro Fabian: Sovereign Credit Default Swap Simulation Using an Intensity Model (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Senquan Wang: The pricing of game options in incomplete markets by utility maximization approach when both seller and buyer have exponential utility functions (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Shuang Ren: An empirical analysis of the St Nicholas II-bond: properties, risks, and hedging strategies (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Shuyang Cheng: Pricing of duo-outperformance certificate on Allianz and Deutsche Telekom (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Sofiia Shpak: Crowdsourcing as a means for economic experiments (Secondary Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Xiangzhou Sha: Valuation and Hedging of Wave XXL Calls and Puts with Dividend Payments (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
Bachelor
  • Marcel Maier: Quantifizierung von Marktpreisrisiken anhand statistischer Risikomaße (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.
  • Qingwei Li: Methoden der Investitionsentscheidung und -planung (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2014.




Guest Scientists:

  • Dr. Gechun Liang, King's College London, UK, London, 15.10.2014 bis 18.10.2014
  • Dr Yajun Xiao, University of Technology Sydney, Australia, Sydney, 10.11.2014 bis 22.12.2014