Ernst Eberlein

University of Freiburg

Professor

Department of Mathematical Stochastics

Eckerstrasse 1

D-79104, Freiburg

Germany

SCHOLARLY PAPERS

21

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CITATIONS
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32

Scholarly Papers (21)

1.

Sato Processes and the Valuation of Structured Products

Number of pages: 41 Posted: 15 Jan 2007
Dilip B. Madan and Ernst Eberlein
University of Maryland - Robert H. Smith School of Business and University of Freiburg
Downloads 598 (33,926)
Citation 12

Abstract:

Options on Realized Variance, Forward Starts, Ziggurat for Levy Processes

2.

Hedge Fund Replication Beyond Alphas and Betas

Number of pages: 22 Posted: 13 Jan 2007
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 406 (57,600)

Abstract:

Concave Distortions, Acceptable Cash Flows, Skewness and Kurtosis

3.

Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk

Robert H. Smith School Research Paper No. RHS 06-113
Number of pages: 20 Posted: 28 Jan 2010 Last Revised: 03 May 2010
Ernst Eberlein, Thomas Gehrig and Dilip B. Madan
University of Freiburg, University of Vienna - Faculty of Business, Economics, and Statistics and University of Maryland - Robert H. Smith School of Business
Downloads 300 (35,180)
Citation 1

Abstract:

Concave Distortions, Liability Pricing, Bid and Ask Prices

4.

On Correlating Lévy Processes

Robert H. Smith School Research Paper No. RHS 06-118
Number of pages: 17 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 247 (92,380)
Citation 4

Abstract:

Dependence Modeling, Levy Copulas, Multivariate Subordination, Long-Short vs. Long only Portfolios, Variance Gamma, Time Changed Brownian Motion

5.

Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk

Robert H. Smith School Research Paper No. RHS 06-136
Number of pages: 57 Posted: 31 Jan 2011 Last Revised: 25 Oct 2011
Dilip B. Madan, Ernst Eberlein and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, University of Freiburg and KU Leuven - Department of Mathematics
Downloads 207 (117,154)

Abstract:

Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution

6.

Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option

Number of pages: 41 Posted: 28 Jan 2010 Last Revised: 10 May 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 175 (137,512)
Citation 9

Abstract:

Concave Distortions, Spread Options, Correlated Levy Processes

7.

The Distribution of Returns at Longer Horizons

Robert H. Smith School Research Paper No. RHS 06-146
Number of pages: 20 Posted: 28 Jan 2010 Last Revised: 30 Jan 2011
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 118 (188,814)

Abstract:

self similarity, independent increments, term structure of moments

Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Number of pages: 22 Posted: 18 Mar 2013
Ernst Eberlein, Dilip B. Madan and Wim Schoutens
University of Freiburg, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 92 (240,985)

Abstract:

Modeling Risk-Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 22 Posted: 07 Jun 2016
Ernst Eberlein, Dilip B. Madan and Wim Schoutens
University of Freiburg, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
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Abstract:

capital requirements, risk-weighted assets

9.

Bid and Ask Prices as Non-Linear Continuous Time G-Expectations Based on Distortions

Number of pages: 31 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London and Université Paris VI Pierre et Marie Curie
Downloads 88 (207,568)

Abstract:

10.

On Pricing Risky Loans and Collateralized Fund Obligations

Robert H. Smith School Research Paper No. RHS 06-145
Number of pages: 19 Posted: 28 Jan 2010 Last Revised: 30 Jan 2011
Ernst Eberlein, Hélyette Geman and Dilip B. Madan
University of Freiburg, University of London - Economics, Mathematics and Statistics and University of Maryland - Robert H. Smith School of Business
Downloads 85 (239,214)

Abstract:

first passage times, Merton compound option model, spectrally negative process

11.

Short Positions, Rally Fears and Option Markets

Robert H. Smith School Research Paper No. RHS 06-120
Number of pages: 23 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 77 (265,086)
Citation 2

Abstract:

U-shaped measure change, Spectrally Negative Process, Scale Functions

12.

Two Price Economies in Continuous Time

Number of pages: 31 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London, KU Leuven - Department of Mathematics and Université Paris VI Pierre et Marie Curie
Downloads 60 (259,215)

Abstract:

13.

A Simple Stochastic Rate Model for Rate Equity Hybrid Products

Number of pages: 34 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London and Université Paris VI Pierre et Marie Curie
Downloads 44 (327,699)

Abstract:

14.

Market Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Levy Processes

Number of pages: 34 Posted: 30 Aug 2012
Ernst Eberlein, Zorana Grbac and Thorsten Schmidt
University of Freiburg, Université Paris VII Denis Diderot and Chemnitz University of Technology
Downloads 42 (333,636)

Abstract:

collateralized debt obligations, loss process, single tranche CDO, top-down model, market model, time-inhomogeneous Levy processes, Libor rate, forward measure, affine processes, extended Kalman filter, iTraxx

15.

Portfolio Theory for Squared Returns Correlated Across Time

Robert H. Smith School Research Paper No. RHS 2635632
Number of pages: 43 Posted: 26 Jul 2015 Last Revised: 02 Mar 2016
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 33 (271,354)

Abstract:

Correlated Gamma Processes, Distorted Expectations, Conic Portfolio Theory

16.

Valuation of Floating Range Notes in Levy Term-Structure Models

Mathematical Finance, Vol. 16, No. 2, pp. 237-254, April 2006
Number of pages: 18 Posted: 08 May 2006
Ernst Eberlein and Wolfgang Kluge
University of Freiburg and University of Freiburg - Institut für Mathematische Stochastik
Downloads 12 (488,729)
Citation 4
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Abstract:

17.

Rating Based Lévy Libor Model

Mathematical Finance, Vol. 23, Issue 4, pp. 591-626, 2013
Number of pages: 36 Posted: 06 Aug 2013
Ernst Eberlein and Zorana Grbac
University of Freiburg and Université Paris Diderot-Paris 7
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Abstract:

credit risk, ratings, time‐inhomogeneous Lévy process, Libor, conditional Markov chain

18.

Hedge Fund Performance: Sources and Measures

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 267-282, 2009
Posted: 28 Jan 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business

Abstract:

Sharpe ratios, investment alphas, skewness, kurtosis in returns

19.

Exact Pricing Formulae for Caps and Swaptions in a LéVy Term Structure Model

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Ernst Eberlein and Wolfgang Kluge
University of Freiburg and University of Freiburg - Institut für Mathematische Stochastik

Abstract:

Lévy term structure model, Eberlein and Raible (1999), time-inhomogeneous Lévy processes, Time-inhomogeneity, caps, floors, bilateral Laplace, swaptions

20.

New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model

Journal Of Business, Vol. 71, No. 3, July 1998
Posted: 22 Jul 1998
Ernst Eberlein, Ulrich Keller and Karsten Prause
University of Freiburg, University of Freiburg and University of Freiburg

Abstract:

21.

On the Range of Options Prices

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 10 Apr 1997
Ernst Eberlein and Jean Jacod
University of Freiburg and Université Paris VI Pierre et Marie Curie

Abstract: