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Prof. Dr. Eva Lütkebohmert-Holtz

Head of the Department of Quantitative Finance

 

Eva Lütkebohmert-Holtz is Professor for Quantitative Finance at the University of Freiburg. She studied mathematics at the Universities of Bonn and Toronto and received her PhD (Dr. rer. nat.) in mathematics from the University of Bonn in 2004. From 2005-2006, she worked as research analyst for the Deutsche Bundesbank in the Department for Banking Supervision. From 2006-2009, she was Juniorprofessor at the Faculty for Economics and Social Sciences at the University of Bonn. Afterwards she switched to the University of Freiburg as head of the junior research group „Financial Mathematics: Pricing of Risks in Incomplete Markets“. In 2013, she was appointed Professor for Quantitatitve Finance at the University of Freiburg.


          

 EMLH_2023  © Christian Hanner

Her research covers both the theoretical and empirical analysis of financial markets and lies at the intersection of economics, mathematics und statistics. Eva Lütkebohmert-Holtz has published several articles on the management and modelling of financial risks, in particular credit and liquidity risk, on interest rate markets, as well as on the valuation and hedging of financial derivatives.

In the academic year 2018/2019 Eva Lütkebohmert-Holtz was internal senior fellow at the Freiburg Institute for Advanced Studies (FRIAS) where she worked on a project about the "Instability of Interbank markets."  In Juni/Juli 2019 Eva Lütkebohmert-Holtz has spend a research stay as academic visitor at the Institute for Mathematics and at the Institute for New Economic Thinking at the University of Oxford.

 

CV

 

Research interests

  • Management and Modelling of Financial Risks
  • Valuation and Hedging of Derivatives
  • Systemic Risk and Financial Stability
 
 

Publications

Monographs

  • Concentration Risk in Credit Portfolios.
    Springer Verlag, European Actuarial Academy (EAA) Lecture Notes, 2009.

 

Articles

  • Exploiting the gap between implied and realized volatility, Journal of Derivatives, forthcoming (with J. Umarov and R. Halbleib).
  • Improved robust price bounds for multi-asset derivatives under market-implied dependence information, Finance and Stochastics, forthcoming (with J. Ansari, A. Neufeld and J. Sester).
  • Investor Sentiment and Global Economic Conditions, Journal of Empirical Finance 73: 134-152, 2023(with M. Herculano).
  • A hybrid convolutional neural network with long short-term memory for statistical arbitrage Quantitative Finance 23(4): 595-613, 2023 (with P. Eggebrecht).
  • A Deep Trend Following Trading Strategy for Equity Markets Journal of Financial Data Science 5(2): 41--66, 2023 (with P. Eggebrecht).
  • Efficient Quasi-Bayesian estimation of affine option pricing models using risk-neutral cumulants Journal of Banking and Finance 148: 106745, 2023 (with R. Brignone and L. Gonzato).
  • Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve, European Financial Management 28: 883-925, 2022, doi.org/10.1111/eufm.12377 (with D. Foos, K. Pliszka and M. Markovych)
  • Robust Deep Hedging, Quantitative Finance 22(8): 1465-1480, 2022 (with T. Schmidt and J. Sester).
  • Wealth management products, banking competition, and stability: Evidence from China, Journal of Economic Dynamics and Control 137: 104346, 2022, https://doi.org/10.1016/j.jedc.2022.104346 (with X. Feng and Y. Xiao).
  • Optimal Cross-Currency Mortgage Decisions,  International Journal of Theoretical and Applied Finance 25(3): 2250010, 2022 (with T. Schmidt and T. Zhu).
  • Arbitrage-free Nelson-Siegel model for multiple yield curves, Mathematics and Financial Economics 16: 239-266, 2022 (with C. Gerhart and R. Brignone).
  • Robust statistical arbitrage strategies, Quantitative Finance 21(3): 379-402, (SSRN Preprint: https://ssrn.com/abstract=3436788 or http://dx.doi.org/10.2139/ssrn.3436788), 2021 (with J. Sester)
  • A multiple curve Lévy swap market model, Applied Mathematical Finance 27(5): 396-421, 2020 (with E. Eberlein and C. Gerhart).
  • Empirical analysis and forecasting of multiple yield curves, Insurance: Mathematics and Economics 95: 59-78, 2020 (with C. Gerhart).
  • Robust forecasting of multiple yield curves. In Valenzuela, O., Rojas, F., Pomares, H., Rojas, I. (Eds.): Theory and Applications of Time Series Analysis, Springer Contributions to Statistics, pp. 187-202, 2019 (with C. Gerhart and M. Weber).
  • Tightening Robust Price Bounds for Exotic Derivatives, Quantitative Finance 19 (11): 1797-1815, 2019 (with J. Sester).
  • Calculating capital charges for sector concentration risk, Journal of Credit Risk 14(4), IRMC 10th Anniversary Special Issue, pp. 35-67  (doi:10.21314/JCR.2018.245), 2018 (with C. Kurtz and J. Sester).
  • Forecasting of multiple yield curves based on machine learning. Proceedings of the International Conference on Time Series and Forecasting 2018, Vol. 3, pp. 1483-1494, 2018 (with C. Gerhart and M. Weber).
  • Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk. European Financial Management 23(1), pp. 55-86, 2017 (with D. Oeltz and Y. Xiao).
  • Rollover risk and credit risk under time-varying margin. Quantitative Finance 17(3), pp. 455-469, 2017 (with X.-Z. He and Y. Xiao)
  • Collateralized Borrowing and Default Risk. In: Kallsen, J., Papapantoleon, A. (Eds.): Advanced Modelling in Mathematical Finance - In honour of Ernst Eberlein, Springer Proceedings in Mathematics & Statistics, Springer, pp. 167-187, 2016 (with Y. Xiao).
  • Funding liquidity, debt tenor structure, and creditor's belief: An exogenous dynamic debt run model. Mathematics and Financial Economics 9, pp. 271-302, 2015. DOI: 10.1007/s11579-015-0144-6 (with G. Liang and W. Wei).
  • Optimality of payoffs in Lévy models
, International Journal of Theoretical and Applied Finance 17 (6), 1450041, 2014. DOI: 10.1142/S0219024914500411 (with E. A. von Hammerstein, L. Rüschendorf, V. Wolf).
  • A multi-period bank run model for liquidity risk. 
Review of Finance 18, pp. 803-842, 2014 (with G. Liang and Y. Xiao).
  • Value-at-Risk computations in stochastic volatility models using second order weak approximation schemes. 
International Journal of Theoretical and Applied Finance 17(1), 1450004, 2014 (with L. Matchie).
  • Construction of cost-efficient self-quanto calls and puts in exponential Levy 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 Belgie voor Wetenschappen en Kunsten, Brussel, pp. 49-61, 2014 (with E.A. von Hammerstein, L. Rüschendorf, V. Wolf).
  • Granularity Adjustment for Regulatory Capital Assessment. 
International Journal of Central Banking 9 (3), pp. 33-71, 2013 (with M.B. Gordy).
  • Failure of the saddle-point method in the presence of double defaults. 
Journal of Risk 15 (1), pp. 71-89, 2012.
  • An asset drop model as an alternative to the treatment of double defaults within the Basel framework. 
Journal of Credit Risk 8 (3), pp. 41-63, 2012 (with S. Ebert).
  • Treatment of double default effects within the granularity adjustment for Basel II. 
Journal of Credit Risk 7 (1), pp. 1-31, 2011 (with S. Ebert).
  • Quantification of liquidity risk in a two-period model. 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 10-11, 2011, Koninklijke Vlaamse Academy van Belgie voor Wetenschappen en Kunsten, Brussel, pp. 51-60, 2011 (with G. Liang and Y. Xiao).
  • Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance.
SIAM Journal of Mathematical Analysis 40 (5), pp. 2132-2153, 2009 (with B. Forster and J. Teichmann).
  • Granularity adjustment for Basel II.
 Discussion paper, Series "Banking and Financial Studies" 01/2007, Deutsche Bundesbank 2007, (with M.B. Gordy).
  • Quantification of idiosyncratic risk in the ASRF model. 
Proceedings of the Third Brazilian Conference on Statistical Modelling in Insurance and Finance, pp. 160-165, Maresias (Brazil), 2007 (with M. B. Gordy).
  • Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project.
 BCBS Publications No. 15, (available at http://www.bis.org/publ/bcbs_wp15.htm), November 2006 (with P. Asberg Sommar, M. Birn, J. Demuynck, K. Düllmann, A. Foglia, M.B. Gordy, T. Isogai, C. Lotz, C. Martin, N. Masschelein, C. Pearce, J. Saurina, M. Scheicher, C. Schmieder, Y. Shiina, K. Tsatsaronis, H. Walker). 
  • An asymptotic expansion for the Black-Scholes model with generalized volatility. 
Bulletin des Sciences Mathematiques 128 (8): 661-685, 2004.
 

Contact

Department of Quantitative Finance
Institute for Economic Research
University of Freiburg
Rempartstraße 16
79098 Freiburg im Breisgau

Telefon: +49 761 203-95410
E-Mail:   eva.luetkebohmert(at)finance.uni-freiburg.de
Raum:    03-23

Contact Hours: on appointment via the Sekretariat

 

 

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