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 Research Report for 2004

Abteilung für Mathematische Stochastik

Prof. Dr. Thorsten Schmidt

Eckerstr. 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


Scientific Employees

  • Prof. Dr. Ernst Eberlein
  • PD Dr. Jan Kallsen
  • Ernst August Frhr. von Hammerstein
  • Wolfgang Kluge
  • Nataliya Koval
  • Antonis Papapantoleon
Entries in "Who is Who"

Scientific and Research Projects


  • Analyse von Finanzmarktdaten
    • Project Manager: Prof. Dr. Ernst Eberlein
    • Start/End of project: 1994 until 2005
    • Project Details
  • Hochdimensionale Modelle im Kreditrisikomanagement
    • Project Manager: Prof. Dr. E. Eberlein
    • Start/End of project: 01.04.2004 until 30.09.2009
    • Project Details
  • Hedging and Derivative Pricing in Incomplete Market Models
    • Project Manager: Prof. Dr. Ernst Eberlein
    • Start/End of project: 1994 until 2006
    • Project Details
  • Modellierung von Zinsstrukturkurven
    • Project Manager: Prof. Dr. Ernst Eberlein
    • Start/End of project: 01.02.1996 until 31.12.2006
    • Project Details

Scientific publications

Book Chapters:
  • Eberlein E, von Hammerstein E A: Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes. In: Dalang R C, Dozzi M, Russo F (Hrsg.): Seminar on Stochastic Analysis, Random Fields and Applications IV. Proceedings of the 4th Ascona Conference. Birkhäuser, 2004; 221-264 (Progress in Probability 58).

Special Scientific Activities

Invited Speech:
  • Prof. Dr. Ernst Eberlein: Interest rate derivatives (invited speech), Financial Derivatives Products, Rio de Janeiro, Brasilien, 11.11.2004 bis 12.11.2004.
  • Prof. Dr. Ernst Eberlein: Lévy driven credit risk models (invited speech), Deutsche Bank, Frankfurt am Main, 25.10.2004.
  • Prof. Dr. Ernst Eberlein: The defaultable Lévy term structure (invited speech), BMBF-Workshop Risikomanagement in Finanz- und Versicherungsdiensten, Universität Giessen, 08.10.2004.
  • Prof. Dr. Ernst Eberlein: The defaultable Lévy term structure: Ratings and restructuring (invited speech), International Conference CREDIT 2004, Venedig, Italien, 01.10.2004.
  • Prof. Dr. Ernst Eberlein: Term structure models driven by non-homogeneous Lévy processes (invited speech), Stochastic Finance 2004, Lissabon, Portugal, 26.09.2004 bis 30.09.2004.
  • Prof. Dr. Ernst Eberlein: Lévy driven interest rate theory (invited speech), 17th Annual Warwick Options Conference, University of Warwick, England, 24.09.2004.
  • Prof. Dr. Ernst Eberlein: Advanced market risk modelling (invited speech), Seminar on Advaced Risk Management, Financial Stability Institute, Bank for International Settlement (BIS), Basel, Schweiz, 30.08.2004 bis 03.09.2004.
  • Prof. Dr. Ernst Eberlein: Realistic modeling of risk in finance (invited speech), The Actuarial Society of Finland, Helsinki, Finland, 26.08.2004.
  • Prof. Dr. Ernst Eberlein: Lévy driven interest theory (invited speech), New Techniques in Applied Stochastics, University of Technology, Helsinki, Finnland, 16.08.2004 bis 18.08.2004.
  • Prof. Dr. Ernst Eberlein: Third World Congress of the Bachelier Finance Society (invited speech), Third World Congress of the Bachelier Finance Society, Chicago, USA, 21.07.2004 bis 24.07.2004.
  • Prof. Dr. Ernst Eberlein: Pricing interest rate derivatives in a Lévy term structure model (invited speech), Research Seminar: Mathematical Statistics, Weierstraß-Institut, Berlin, 07.07.2004.
  • Prof. Dr. Ernst Eberlein: Pricing interest rate derivatives in a Lévy term structure model (invited speech), Semimartingale Theory and Practice in Finance, Banff International Research Center, Banff, Kanada, 05.06.2004 bis 10.06.2004.
  • Prof. Dr. Ernst Eberlein: Pricing interest rate derivatives in a Lévy term structure model (invited speech), Exotic option pricing under advanced Lévy models, Eurandom, University of Technology, Eindhoven, Niederlande, 03.05.2004 bis 04.05.2004.
  • Prof. Dr. Ernst Eberlein: Advanced market risk modelling (invited speech), Seminar on Market and Liquidity Risk., Financial Stability Institute, BIS Basel, Schweiz, 20.01.2004 bis 22.01.2004.
Herausgeberschaften:
  • Prof. Dr. Ernst Eberlein: Coeditor "Applied Mathematical Finance", seit 2004.

Scientific Dissertations

Dissertations
  • Liinev, Jan: Topics in Mathematical Finance: From Interest Rate Models to Exotic Options. (Supervisor Prof. Dr. Michèle Vanmaele, Gent, Secondary Supervisor Prof. Dr. Ernst Eberlein), 2004.
  • Rietmann, Frank: Bewertung von impliziten Optionen in Bausparverträgen. (Supervisor Prof. Dr. Thomas Gehrig, Secondary Supervisor Prof. Dr. Ernst Eberlein), 2004.
Degree Dissertations
  • Kunzelmann, Niels: Erweiterung von CreditRisk+TM. (Supervisor Prof. Dr. Ernst Eberlein), 2004.
  • Tonn, Michael: Credit-Spread Modelle. (Supervisor Prof. Dr. Ernst Eberlein), 2004.