Eberlein, Ernst; Rudmann, Marcus Hybrid Lévy models: design and computational aspects. (English) Zbl 1411.91552 Appl. Math. Finance 25, No. 5-6, 533-556 (2018). MSC: 91G20 91G30 60G51 PDFBibTeX XMLCite \textit{E. Eberlein} and \textit{M. Rudmann}, Appl. Math. Finance 25, No. 5--6, 533--556 (2018; Zbl 1411.91552) Full Text: DOI
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc A simple stochastic rate model for rate equity hybrid products. (English) Zbl 1396.91780 Appl. Math. Finance 20, No. 5-6, 461-488 (2013). MSC: 91G30 60G51 60H30 PDFBibTeX XMLCite \textit{E. Eberlein} et al., Appl. Math. Finance 20, No. 5--6, 461--488 (2013; Zbl 1396.91780) Full Text: DOI
Eberlein, Ernst; Grbac, Zorana; Schmidt, Thorsten Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. (English) Zbl 1290.91174 SIAM J. Financ. Math. 4, 616-649 (2013). Reviewer: Gong Guanglu (Beijing) MSC: 91G40 91G30 60G51 91G20 91-02 60G35 65C30 60H15 PDFBibTeX XMLCite \textit{E. Eberlein} et al., SIAM J. Financ. Math. 4, 616--649 (2013; Zbl 1290.91174) Full Text: DOI arXiv
Beinhofer, Maximilian; Eberlein, Ernst; Janssen, Arend; Polley, Manuel Correlations in Lévy interest rate models. (English) Zbl 1277.91178 Quant. Finance 11, No. 9, 1315-1327 (2011). MSC: 91G30 91G70 PDFBibTeX XMLCite \textit{M. Beinhofer} et al., Quant. Finance 11, No. 9, 1315--1327 (2011; Zbl 1277.91178) Full Text: DOI