WorldCat Identities

Eberlein, Ernst

Overview
Works: 48 works in 130 publications in 3 languages and 1,495 library holdings
Genres: Conference papers and proceedings  Academic theses 
Roles: Author, Editor, dgs, Collector, Other, htt, Honoree
Classifications: HG4515.3, 519.2
Publication Timeline
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Most widely held works about Ernst Eberlein
 
Most widely held works by Ernst Eberlein
High dimensional probability by Ernst Eberlein( Book )

19 editions published between 1996 and 1998 in English and held by 314 WorldCat member libraries worldwide

What is high dimensional probability? Under this broad name we collect topics with a common philosophy, where the idea of high dimension plays a key role, either in the problem or in the methods by which it is approached. Let us give a specific example that can be immediately understood, that of Gaussian processes. Roughly speaking, before 1970, the Gaussian processes that were studied were indexed by a subset of Euclidean space, mostly with dimension at most three. Assuming some regularity on the covariance, one tried to take advantage of the structure of the index set. Around 1970 it was understood, in particular by Dudley, Feldman, Gross, and Segal that a more abstract and intrinsic point of view was much more fruitful. The index set was no longer considered as a subset of Euclidean space, but simply as a metric space with the metric canonically induced by the process. This shift in perspective subsequently lead to a considerable clarification of many aspects of Gaussian process theory, and also to its applications in other settings
Dependence in probability and statistics : a survey of recent results (Oberwolfach, 1985) by Ernst Eberlein( Book )

22 editions published between 1985 and 1986 in English and German and held by 299 WorldCat member libraries worldwide

Probability in Banach spaces 7 : proceedings of the seventh international conference by InternationalConfeerence on Probability in Banach Spaces( Book )

16 editions published in 1990 in English and German and held by 253 WorldCat member libraries worldwide

The first international conference on Probability in Banach Spaces was held at Oberwolfach, West Germany, in 1975. It brought together European researchers who, under the inspiration of the Schwartz Seminar in Paris, were using probabi listic methods in the study of the geometry of Banach spaces, a rather small number of probabilists who were already studying classical limit laws on Banach spaces, and a larger number of probabilists, specialists in various aspects of the study of Gaussian processes, whose results and techniques were of interest to the members of the first two groups. This first conference was very fruitful. It fos tered a continuing relationship among 50 to 75 probabilists and analysts working on probability on infinite-dimensional spaces, the geometry of Banach spaces, and the use of random methods in harmonic analysis. Six more international conferences were held since the 1975 meeting. Two of the meetings were held at Tufts University, one at Sønderborg, Denmark, and the others at Oberwolfach. This volume contains a selection of papers by the partici pants of the Seventh International Conference held at Oberwolfach, West Ger many, June 26-July 2, 1988. This exciting and provocative conference was at tended by more than 50 mathematicians from many countries. These papers demonstrate the range of interests of the conference participants. In addition to the ongoing study of classical and modern limit theorems in Banach spaces, a branching out has occurred among the members of this group
Advanced modeling in mathematical finance by Jan Kallsen( )

3 editions published in 2016 in English and held by 241 WorldCat member libraries worldwide

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments
Mathematical finance by Ernst Eberlein( )

12 editions published between 1992 and 2020 in English and held by 221 WorldCat member libraries worldwide

"Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges the gap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph."--
Einbettung von Strömungen in Funktionenräume durch Erzeuger vom endlichen Typ by Ernst Eberlein( )

2 editions published in 1972 in German and held by 29 WorldCat member libraries worldwide

Valuation of portfolio credit derivatives and data-based default prediction = Bewertung von Portfoliokreditderivaten und datenbasierte Ausfallprediktion by Volker Pohl( )

1 edition published in 2012 in English and held by 18 WorldCat member libraries worldwide

Zusammenfassung: Im ersten Teil der Dissertation wird die Modellierung und Bewertung zweier Portfoliokreditderivate, nth-to-default Credit Default Swaps und Collateralised Debt Obligations, behandelt. Dabei werden die Abhängigkeiten im zu Grunde liegenden Referenzportfolio mittels eines Faktormodells modelliert, bei dem die Faktoren Normal Invers Gauss verteilt sind. Wir erweitern die Bewertung auf nicht-homogene Portfolios und untersuchen zudem die Verwendung von stochastischen Loss-Given-Defaults. Es werden zahlreiche numerische Ergebnisse präsentiert und eine Sensitivitätsanalyse für verschiedene Modellparameter durchgeführt. Das Ziel im zweiten Teil der Arbeit ist die Entwicklung eines auf finanziellen Kenngrößen und makroökonomischen Variablen basierenden Prediktionsmodells für den Ausfall eines Unternehmens. Dabei werden moderne Verfahren der medizinischen Statistik auf ökonomische Fragestellungen übertragen und angepasst. Insbesondere wird der Einfluß makroökonomischer Variablen, die als Indikatoren für den Konjunkturverlauf angesehen werden können, untersucht. Die Schätzung der Vorhersagegüte verschiedener Modelle auf den gegebenen Daten und die Validierung der Resultate werden ausführlich diskutiert
Credit and liquidity risk in Lévy asset price models by Patrick Bäurer( )

1 edition published in 2015 in English and held by 17 WorldCat member libraries worldwide

Zusammenfassung: In this thesis, we present a new kind of asset price model. Credit risk considerations and new developments in the area of liquidity risk modelling are taken into account.In Chapter 1, essential mathematical tools, such as stochastic processes and dependence modelling, are reviewed.Chapter 2 presents a new asset price model, which is an enhancement of the exponential Levy model. The possibility of default is modelled by a single jump to zero, whereby higher probabilities for this event lead to lower asset prices. Explicit valuation formulas for European options are established by using the Fourier valuation method. The formulas can numerically be computed fast and thus allow to calibrate the model to market data.On illiquid markets, the law of one price no longer prevails and the costs of holding unhedgeable risks have to be considered. This issue is incorporated in the Two Price Theory of Cherny and Madan (2010) which is discussed and applied to the considered asset price model in Chapter 3 of this thesis
Die Varizen und ihre Behandlung im Laufe der Geschichte by Ernst Eberlein( Book )

3 editions published in 1940 in German and held by 12 WorldCat member libraries worldwide

Probability in Banach Spaces 7 : Proceedings of the Seventh International Conference( )

in English and held by 9 WorldCat member libraries worldwide

Advanced credit portfolio modeling and CDO pricing by Ernst Eberlein( )

2 editions published in 2007 in English and held by 9 WorldCat member libraries worldwide

Probability in Banach Spaces 7 : Proceedings of the Seventh International Conference by Ernst Eberlein( )

1 edition published in 1990 in English and held by 6 WorldCat member libraries worldwide

Die Leistung der deutschen Forstwirtschaft für die Rohstoffversorgung by Ernst Eberlein( Book )

4 editions published between 1942 and 1943 in German and held by 4 WorldCat member libraries worldwide

Proceedings of the Seventh International Conference by International Conference on Probability in Banach Spaces( Book )

2 editions published in 1990 in English and held by 4 WorldCat member libraries worldwide

Einbettung von Stroemungen in Funktionenraeume durch Erzeuger vom endlichen Typ by Ernst Eberlein( Book )

2 editions published in 1972 in German and held by 4 WorldCat member libraries worldwide

A multiple-curve Lévy forward rate model in a two-price economy by Christoph Gerhart( )

2 editions published between 2016 and 2018 in English and held by 3 WorldCat member libraries worldwide

Zusammenfassung: In this thesis, we combine and merge the multiple-curve approach and the two-price theory based on acceptability indices in a Lévy interest rate model. A multiple-curve Heath-Jarrow-Morton (HJM) forward rate model driven by time-inhomogeneous Lévy processes (a multiple-curve Lévy term structure model) is presented. We find deterministic conditions which ensure the monotonicity of the curves. Explicit valuation formulas for some interest rate derivatives are established, namely forward rate agreements, swaps, caps, floors and digital options. These formulas can numerically be evaluated very fast by using the Fourier based valuation method. Furthermore, we apply the two-price theory to this multiple-curve setting. Ask and bid model prices of caplets, floorlets and digital options are derived. A general procedure how to calibrate this two-price multiple-curve interest rate model to market data is described. As a practical application, the model is calibrated to market prices of caps for dates before and after the global financial crisis
Skyggespil : Tekst og Tegninger by Ernst Eberlein( Book )

1 edition published in 1947 in Danish and held by 2 WorldCat member libraries worldwide

Konrad Jacobs (1928-2015) by Ernst Eberlein( )

1 edition published in 2017 in English and held by 2 WorldCat member libraries worldwide

State modelling of the land mobilepropagation channel for dual-satellite systems by Daniel Arndt( )

1 edition published in 2016 in English and held by 2 WorldCat member libraries worldwide

 
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WorldCat IdentitiesRelated Identities
Advanced modeling in mathematical finance
Covers
Probability in Banach spaces 7 : proceedings of the seventh international conferenceAdvanced modeling in mathematical financeMathematical financeProbability in Banach Spaces 7 : Proceedings of the Seventh International Conference
Alternative Names
Eberlein, E

Eberlein, E. 1945-

Eberlein, Ernst Wilhelm 1945-

Languages
English (83)

German (16)

Danish (1)