[Zurück]
 
Please choose
Jahr
Details
Sprache
Sortierung
Ausgabe
neu: RTF !
 Research Report for 2005

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
  • Kathrin Glau
  • Zorana Grbac
  • 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

Journal Articles:
  • Eberlein E, Jacod J, Raible S: Lévy term structure models: no-arbitrage and completeness. Finance and Stochastics, 2005; 9: 67-88.
  • Eberlein E, Özkan F: The Lévy Libor Model. Financ Stoch, 2005; 9: 327-348.
  • Eberlein E, Papapantoleon A: Equivalence of floating and fixed strike Asian and Lookback options Stochastic Processes and Their Applications, 2005; 115: 31-40.
Book Chapters:
  • Eberlein E, Papapantoleon A: Symmetries and pricing of exotic options in Lévy models In: Kyprianou A, Schoutens W, Wilmott P (Hrsg.): Exotic Option Pricing and Advanced Lévy Models Wiley, 2005; 99-128.

Special Scientific Activities

Invited Speech:
  • Prof. Dr. Ernst Eberlein: Pricing of credit derivatives in the Lévy Libor model (invited speech), Quantitative Methods in Finance, Sydney (Australia), 14.12.2005 bis 17.12.2005.
  • Prof. Dr. Ernst Eberlein: Lévy driven models in mathematical finance (invited speech), Quantitative Finance Research Center, School of Finance and Economics, UTS Sydney, Australien, 06.12.2005.
  • Prof. Dr. Ernst Eberlein: Credit ratings (invited speech), FDM Workshop, St. Märgen, 10.10.2005.
  • Prof. Dr. Ernst Eberlein: Pricing of credit derivatives in the Lévy Libor model (invited speech), Financial Modelling Workshop, Universität Ulm, 20.09.2005 bis 22.09.2005.
  • Prof. Dr. Ernst Eberlein: Advanced Market Risk Modelling (invited speech), Advanced Risk Modeling, Financial Stability institute, Bank for International Settlements (BIS)., Beatenberg, 29.08.2005 bis 02.09.2005.
  • Prof. Dr. Ernst Eberlein: Symmetries and Pricing of Exotic options in Lévy models (invited speech), Fifth Minisymposium on Stochastic Methods in Financial Models, Centro Stefano Franscini, Ascona, Schweiz, 02.06.2005 bis 03.06.2005.
  • Prof. Dr. Ernst Eberlein: Introduction to financial mathematics and statistics in the context of Basel II (invited speech), Risk Modelling and Basel II, Manila, Philippinen, 24.05.2005 bis 26.05.2005.
  • Prof. Dr. Ernst Eberlein: The defaultable Lévy term structure: Ratings and restructuring (invited speech), Development in Quantitative Finance, Newton Institute, Cambridge, Great Britain, 28.02.2005 bis 04.03.2005.
  • Prof. Dr. Ernst Eberlein: Symmetries and pricing of exotic options in Lévy models (invited speech), Development in Quantitative Finance, Newton Institute, Cambridge, Great Britain, 31.01.2005 bis 04.02.2005.
  • Prof. Dr. Ernst Eberlein: Symmetries and pricing of exotic options in Lévy models (invited speech), Second Bachelier Colloquium, Métabief, Frankreidh, 13.01.2005.
Herausgeberschaften:
  • Prof. Dr. Ernst Eberlein: Coeditor "Applied Mathematical Finance", seit 2004.

Scientific Dissertations

Dissertations
  • Kluge, Wolfgang: Time-inhomogeneous Lévy processes in interest rate and credit risk models. (Supervisor Prof. Dr. Ernst Eberlein, Secondary Supervisor Prof. Dr. Dilip B. Madan (Maryland, USA)), 2005.
  • Koval, Nataliya: Time-inhomogeneous Lévy processes in cross-currency market models. (Supervisor Prof. Dr. Ernst Eberlein, Secondary Supervisor Prof. Dr. Marek Rutkowski (Sydney, Australia)), 2005.
Degree Dissertations
  • Glau, Kathrin: Integro-Differentialgleichungen zur Bewertung von Optionen in Lévy-Modellen. (Supervisor Prof. Dr. Ernst Eberlein), 2005.
  • Petrovic, Boris: Berechnung von Konkurswahrscheinlichkeiten. (Supervisor Prof. Dr. Ernst Eberlein), 2005.
Master
  • Lebedeva, Ekaterina: Operational Risk Measurement and Management in Financial Institutions. (Supervisor Prof. Dr. Ernst Eberlein), 2005.
  • Ma, Qing: The Credit Index iTraxx and Derived Products. (Supervisor Prof. Dr. Ernst Eberlein), 2005.
  • Mao, Lingjinzi: The market of CDO squared. (Supervisor Prof. Dr. Ernst Eberlein), 2005.
  • Rizescu, Lucretia: Collateralized Debt Obligations as Correlation Products. (Supervisor Prof. Dr. Ernst Eberlein), 2005.
  • Wang, Chongjin: Equity Default Swap (Supervisor Prof. Dr. Ernst Eberlein), 2005.