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Dr. Ernst August Frhr. v. Hammerstein

Dr. Ernst August Frhr. v. Hammerstein

Curriculum Vitae

 

Research Interest

  • Pricing and hedging of derivative products
  • Credit risk modeling
  • Application of Lévy processes in Finance

 

Publications

 

 Articles and book chapters

  • Tail behaviour and tail dependence of generalized hyperbolic distributions
    (forthcoming in: Kallsen, J., Papapantoleon, A. (Eds.): Advanced Modelling in Mathematical Finance - A Festschrift in honour of Ernst Eberlein, Springer)
  • Optimality of payoffs in Lévy models
    International Journal of Theoretical and Applied Finance 17 (6), 1450041, 2014.
    DOI: 10.1142/S0219024914500411 (with E. Lütkebohmert, L. Rüschendorf, V. Wolf) (Preprint)
  • Advanced credit portfolio modeling and CDO pricing
    In: W. Jäger, H.-J. Krebs (editors), Mathematics - Key technology for the future, Springer (2008), 253-280 (with E. Eberlein and R. Frey)
  • Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes
    In: Seminar on stochastic analysis, random fields and applications IV, R. Dalang, M. Dozzi, F. Russo (editors), Progress in Probability 58, Birkhäuser (2004), 221-264 (with E. Eberlein)

 

Conference Proceedings

  • 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. (Eds.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 6-7, 2014, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, 2014 (with E. Lütkebohmert, L. Rüschendorf, V. Wolf) (pdf)

 

Dissertation

  • Generalized hyperbolic distributions: Theory and applications to CDO pricing
    PhD thesis, University of Freiburg (2011). Available at FreiDok plus

 

 

Benutzerspezifische Werkzeuge