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 Research Report for 2002

Abteilung für Mathematische Stochastik

Prof. Dr. Ernst Eberlein

Ernst-Zermelo-Straße 1
79104 Freiburg i. Br.
Tel: +49 (0)761 203 5664 Fax: +49 (0)761 203 5661
Email sekretariat@stochastik.uni-freiburg.de
http://www.stochastik.uni-freiburg.de/eberlein


Scientific Employees

  • Prof. Dr. Ernst Eberlein
  • PD Dr. Jan Kallsen
  • Dr. Fehmi Özkan
  • Dipl.-Math. Ernst August Frhr. von Hammerstein, Doktorand (m/w)
  • Wolfgang Kluge
  • Nataliya Koval
  • Jan Liinev
  • Antonis Papapantoleon
Entries in "Who is Who"

Main Research

  • Realistic modelling of financial markets
  • Market and credit risk management
  • Pricing and hedging of derivative products
  • Statistical analysis of financial data
  • Application of Lévy processes in finance

Scientific and Research Projects


  • Analyse von Finanzmarktdaten
    • Project Manager: Eberlein E
    • Start/End of project: 1994 until 2005
    • Project Details
  • Hedging and Derivative Pricing in Incomplete Market Models
    • Project Manager: Eberlein E
    • Start/End of project: 1994 until 2006
    • Project Details
  • Modellierung von Zinsstrukturkurven
    • Project Manager: Eberlein E
    • Start/End of project: 01.02.1996 until 31.12.2006
    • Project Details

Scientific publications

Journal Articles:
  • Eberlein E, Özkan F: The Lévy Libor Model. FDM Preprint, 2002; 82. (in Druck)
Book Chapters:
  • Eberlein E, Prause K: The generalized hyperbolic model: financial derivatives and risk measures. In: Geman H, Madan D, Pliska S, Vorst T (Hrsg.): Mathematical Finance - Bachelier Congress 2000. Springer, 2002; 245-267.

Special Scientific Activities

Scientific Dissertations

Dissertations
  • Özkan, Fehmi: Lévy processes in credit risk and market models (Supervisor Prof. Dr. Ernst Eberlein), 2002.
Degree Dissertations
  • Kluge, Wolfgang: Kalibrierung von Lévy-Zinsstrukturmodellen (Supervisor Prof. Dr. Ernst Eberlein, Secondary Supervisor Prof. Dr. Hans Rudolf Lerche), 2002.