Dr. Ernst August Frhr. v. Hammerstein
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