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Valuation of floating range notes in Lévy term-structure models

Eberlein, Ernst; Kluge, Wolfgang - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 237-254

Persistent link: https://www.econbiz.de/10003325838

Analyticity of the Wiener-Hopf Factors and valuation of exotic options in Lévy models

Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis - In: Advanced mathematical methods for finance, (pp. 223-245). 2011

Persistent link: https://www.econbiz.de/10008991291

On the duality principle in option pricing : semimartingale setting

Eberlein, Ernst; Papapantoleon, Antonis; Širjaev, … - In: Finance and stochastics 12 (2008) 2, pp. 265-292

Persistent link: https://www.econbiz.de/10003716266

Advanced modelling in mathematical finance : in honour of Ernst Eberlein

Kallsen, Jan (ed.); Papapantoleon, Antonis (ed.); … - 2016

Persistent link: https://www.econbiz.de/10013457208

On modeling questions in security valuation

Eberlein, Ernst - In: Mathematical finance : an international journal of … 2 (1992) 1, pp. 17-32

Persistent link: https://www.econbiz.de/10001185153

Picard approximation of stochastic differential equations and application to LIBOR models

Papapantoleon, Antonis; Skovmand, David - 2010

Persistent link: https://www.econbiz.de/10008651711

An equilibrium model for spot and forward prices of commodities

Anthropelos, Michail; Kupper, Michael; Papapantoleon, … - In: Mathematics of operations research 43 (2018) 1, pp. 152-180

Persistent link: https://www.econbiz.de/10011818675

An Equilibrium Model for Spot and Forward Prices of Commodities

Anthropelos, Michail - 2016

We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts...

Persistent link: https://www.econbiz.de/10012990030

A new framework for the evaluation of market and credit risk

Kokic, Philip; Breckling, Jens; Eberlein, Ernst - In: Datamining und computational finance : Ergebnisse des …, (pp. 51-67). 2000

Persistent link: https://www.econbiz.de/10001484266

Term structure models driven by general Lévy processes

Eberlein, Ernst; Raible, Sebastian - In: Mathematical finance : an international journal of … 9 (1999) 1, pp. 31-53

Persistent link: https://www.econbiz.de/10001363481