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Author ID: overbeck.ludger Recent zbMATH articles by "Overbeck, Ludger"
Published as: Overbeck, Ludger; Overbeck, L.

Publications by Year

Citations contained in zbMATH Open

33 Publications have been cited 265 times in 239 Documents Cited by Year
Systemic risk measures on general measurable spaces. Zbl 1371.91200
Kromer, E.; Overbeck, L.; Zilch, K.
32
2016
An introduction to credit risk modeling. Zbl 1066.91055
Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph
27
2003
Estimation for continuous branching processes. Zbl 0905.62083
Overbeck, Ludger
26
1998
Markov processes associated with semi-Dirichlet forms. Zbl 0834.60086
Ma, Zhi-Ming; Overbeck, Ludger; Röckner, Michael
24
1995
An analytic approach to the Fleming-Viot processes with interactive selection. Zbl 0833.60053
Overbeck, Ludger; Röckner, Michael; Schmuland, Byron
18
1995
Allocation of economic capital in loan portfolios. Zbl 0958.91019
Overbeck, Ludger
18
2000
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
18
2017
Dynamic CDO term structure modeling. Zbl 1229.91306
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten
15
2011
Introduction to credit risk modeling. 2nd ed. Zbl 1207.91001
Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph
13
2010
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle. Zbl 1444.60046
Overbeck, Ludger; Röder, Jasmin A. L.
9
2018
Structured credit portfolio analysis, baskets & CDOs. Zbl 1104.91030
Bluhm, Christian; Overbeck, Ludger
7
2007
Conditioned super-Brownian motion. Zbl 0792.60037
Overbeck, L.
6
1993
Representation of BSDE-based dynamic risk measures and dynamic capital allocations. Zbl 1309.91150
Kromer, Eduard; Overbeck, Ludger
6
2014
Option pricing in a regime switching stochastic volatility model. Zbl 1393.91131
Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger
6
2018
Feynman-Kac for functional jump diffusions with an application to credit value adjustment. Zbl 1330.60098
Kromer, E.; Overbeck, L.; Röder, J. A. L.
5
2015
Pathwise construction of additive \(H\)-transforms of super-Brownian motion. Zbl 0813.60046
Overbeck, L.
4
1994
Martin boundaries of some branching processes. Zbl 0807.60079
Overbeck, Ludger
4
1994
On the predictable representation property for superprocesses. Zbl 0831.60055
Overbeck, L.
3
1995
Dynamic systemic risk measures for bounded discrete time processes. Zbl 1426.91307
Kromer, E.; Overbeck, L.; Zilch, K.
3
2019
Nonlinear superprocesses. Zbl 0869.60042
Overbeck, L.
2
1996
Geometric aspects of finite and infinite-dimensional Fleming-Viot processes. Zbl 0880.60087
Overbeck, Ludger; Röckner, Michael
2
1997
Some aspects of the Martin boundary of measure-valued diffusions. Zbl 0806.60037
Overbeck, Ludger
2
1994
Mathematics in financial risk management. Zbl 1154.91030
Eberlein, E.; Frey, R.; Kalkbrenner, M.; Overbeck, L.
2
2007
Asymptotic behaviour of multivariate default probabilities and default correlations under stress. Zbl 1345.60032
Packham, N.; Kalkbrener, M.; Overbeck, L.
2
2016
Path-dependent BSDEs with jumps and their connection to PPIDEs. Zbl 1370.60099
Kromer, Eduard; Overbeck, Ludger; Röder, Jasmin A. L.
2
2017
Applied quantitative finance. 2nd ed. Zbl 1145.91005
2
2009
Uniqueness of the Fleming-Viot process with selection. Zbl 0844.60059
Overbeck, Ludger
1
1995
Effects of regime switching on pricing credit options in a shifted CIR model. Zbl 1383.62250
Overbeck, L.; Weckend, J.
1
2017
Multivariate Markov families of copulas. Zbl 1335.60134
Overbeck, Ludger; Schmidt, Wolfgang M.
1
2015
Copula dynamics in CDOs. Zbl 1402.91765
Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; Overbeck, Ludger
1
2014
Risk measurement with spectral capital allocation. 2nd ed. Zbl 1258.91109
Overbeck, Ludger; Sokolova, Maria
1
2009
A functional Itō-formula for Dawson-Watanabe superprocesses. Zbl 1480.60253
Mandler, Christian; Overbeck, Ludger
1
2022
A note on optimal risk sharing on \(L^p\) spaces. Zbl 1408.91101
Kromer, Eduard; Overbeck, Ludger
1
2016
A functional Itō-formula for Dawson-Watanabe superprocesses. Zbl 1480.60253
Mandler, Christian; Overbeck, Ludger
1
2022
Dynamic systemic risk measures for bounded discrete time processes. Zbl 1426.91307
Kromer, E.; Overbeck, L.; Zilch, K.
3
2019
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle. Zbl 1444.60046
Overbeck, Ludger; Röder, Jasmin A. L.
9
2018
Option pricing in a regime switching stochastic volatility model. Zbl 1393.91131
Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger
6
2018
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
18
2017
Path-dependent BSDEs with jumps and their connection to PPIDEs. Zbl 1370.60099
Kromer, Eduard; Overbeck, Ludger; Röder, Jasmin A. L.
2
2017
Effects of regime switching on pricing credit options in a shifted CIR model. Zbl 1383.62250
Overbeck, L.; Weckend, J.
1
2017
Systemic risk measures on general measurable spaces. Zbl 1371.91200
Kromer, E.; Overbeck, L.; Zilch, K.
32
2016
Asymptotic behaviour of multivariate default probabilities and default correlations under stress. Zbl 1345.60032
Packham, N.; Kalkbrener, M.; Overbeck, L.
2
2016
A note on optimal risk sharing on \(L^p\) spaces. Zbl 1408.91101
Kromer, Eduard; Overbeck, Ludger
1
2016
Feynman-Kac for functional jump diffusions with an application to credit value adjustment. Zbl 1330.60098
Kromer, E.; Overbeck, L.; Röder, J. A. L.
5
2015
Multivariate Markov families of copulas. Zbl 1335.60134
Overbeck, Ludger; Schmidt, Wolfgang M.
1
2015
Representation of BSDE-based dynamic risk measures and dynamic capital allocations. Zbl 1309.91150
Kromer, Eduard; Overbeck, Ludger
6
2014
Copula dynamics in CDOs. Zbl 1402.91765
Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; Overbeck, Ludger
1
2014
Dynamic CDO term structure modeling. Zbl 1229.91306
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten
15
2011
Introduction to credit risk modeling. 2nd ed. Zbl 1207.91001
Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph
13
2010
Applied quantitative finance. 2nd ed. Zbl 1145.91005
2
2009
Risk measurement with spectral capital allocation. 2nd ed. Zbl 1258.91109
Overbeck, Ludger; Sokolova, Maria
1
2009
Structured credit portfolio analysis, baskets & CDOs. Zbl 1104.91030
Bluhm, Christian; Overbeck, Ludger
7
2007
Mathematics in financial risk management. Zbl 1154.91030
Eberlein, E.; Frey, R.; Kalkbrenner, M.; Overbeck, L.
2
2007
An introduction to credit risk modeling. Zbl 1066.91055
Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph
27
2003
Allocation of economic capital in loan portfolios. Zbl 0958.91019
Overbeck, Ludger
18
2000
Estimation for continuous branching processes. Zbl 0905.62083
Overbeck, Ludger
26
1998
Geometric aspects of finite and infinite-dimensional Fleming-Viot processes. Zbl 0880.60087
Overbeck, Ludger; Röckner, Michael
2
1997
Nonlinear superprocesses. Zbl 0869.60042
Overbeck, L.
2
1996
Markov processes associated with semi-Dirichlet forms. Zbl 0834.60086
Ma, Zhi-Ming; Overbeck, Ludger; Röckner, Michael
24
1995
An analytic approach to the Fleming-Viot processes with interactive selection. Zbl 0833.60053
Overbeck, Ludger; Röckner, Michael; Schmuland, Byron
18
1995
On the predictable representation property for superprocesses. Zbl 0831.60055
Overbeck, L.
3
1995
Uniqueness of the Fleming-Viot process with selection. Zbl 0844.60059
Overbeck, Ludger
1
1995
Pathwise construction of additive \(H\)-transforms of super-Brownian motion. Zbl 0813.60046
Overbeck, L.
4
1994
Martin boundaries of some branching processes. Zbl 0807.60079
Overbeck, Ludger
4
1994
Some aspects of the Martin boundary of measure-valued diffusions. Zbl 0806.60037
Overbeck, Ludger
2
1994
Conditioned super-Brownian motion. Zbl 0792.60037
Overbeck, L.
6
1993
all top 5

Cited by 386 Authors

10 Overbeck, Ludger
7 D’Amico, Guglielmo
7 Feinstein, Zachary
7 Ma, Zhi-Ming
7 Meyer-Brandis, Thilo
7 Pap, Gyula
7 Sun, Wei
6 Barczy, Mátyás
6 Kebaier, Ahmed
6 Manca, Raimondo
6 Rudloff, Birgit
5 Beznea, Lucian
5 Frittelli, Marco
5 Janssen, Jacques
5 Wang, Hanxiao
5 Yong, Jiongmin
4 Alaya, Mohamed Ben
4 Biagini, Francesca
4 Dello Schiavo, Lorenzo
4 Kromer, Eduard
4 Rosazza Gianin, Emanuela
4 Schmidt, Thorsten
4 Wang, Feng-Yu
3 Agram, Nacira
3 Centrone, Francesca
3 Doldi, Alessandro
3 du Roy de Chaumaray, M.
3 Embrechts, Paul
3 Fouque, Jean-Pierre
3 Hu, Ze-Chun
3 Li, Zenghu
3 Ren, Panpan
3 Röckner, Michael
3 Shi, Yufeng
3 Wen, Jiaqiang
2 Abraham, Romain
2 Bae, Taehan
2 Boboc, Nicu
2 Bosserhoff, Frank
2 Canna, Gabriele
2 Chen, Yanhong
2 Choroś-Tomczyk, Barbara
2 Cuchiero, Christa
2 Delmas, Jean-François
2 Detering, Nils
2 Dhaene, Jan
2 Djehiche, Boualem
2 Döring, Leif
2 Engländer, János
2 Ghosh, Mrinal Kanti
2 Goovaerts, Marc J.
2 Griffiths, Robert C.
2 Guambe, Calisto
2 Hamaguchi, Yushi
2 Härdle, Wolfgang Karl
2 Hoffmann, Hannes
2 Hu, Yijun
2 Jacob, Niels
2 Jarrow, Robert Alan
2 Jin, Peng
2 Kalkbrener, Michael
2 Kim, Joseph Hyun Tae
2 Kley, Oliver
2 Klüppelberg, Claudia
2 Kremer, Jonas
2 Kufakunesu, Rodwell
2 Kuwae, Kazuhiro
2 Ma, Chunhua
2 Ma, Li
2 Mabitsela, Lesedi
2 Mandler, Christian
2 Mazzon, Andrea
2 Oshima, Yoichi
2 Pal, Soumik
2 Panagiotou, Konstantinos D.
2 Pasricha, Puneet
2 Peng, Shige
2 Protter, Philip Elliott
2 Reinert, Gesine D.
2 Ritter, Daniel
2 Röder, Jasmin A. L.
2 Rüdiger, Barbara
2 Schilling, René Leander
2 Stadje, Mitja
2 Svindland, Gregor
2 Tang, Qihe
2 Uemura, Toshihiro
2 Vanduffel, Steven
2 Weissbach, Rafael
2 Zani, Marguerite
2 Zitikis, Ričardas
1 Aas, Kjersti
1 Ackerer, Damien
1 Ahn, Dohyun
1 Alaya, Ben Mohamed
1 Alfonsi, Aurélien
1 Amédée-Manesme, Charles-Olivier
1 Amini, Hamed
1 Ansari, Jonathan
1 Ararat, Çağın
...and 286 more Authors
all top 5

Cited in 95 Serials

17 Stochastic Processes and their Applications
15 Insurance Mathematics & Economics
12 International Journal of Theoretical and Applied Finance
9 The Annals of Probability
9 SIAM Journal on Financial Mathematics
7 Mathematics and Financial Economics
5 Statistics & Probability Letters
5 The Annals of Applied Probability
5 Communications in Statistics. Theory and Methods
5 European Journal of Operational Research
4 Journal of Differential Equations
4 Electronic Journal of Probability
4 Mathematical Finance
4 Stochastics and Dynamics
3 Journal of Mathematical Analysis and Applications
3 Journal of Functional Analysis
3 Journal of Statistical Planning and Inference
3 Stochastic Analysis and Applications
3 Potential Analysis
3 Electronic Communications in Probability
3 Finance and Stochastics
3 Quantitative Finance
3 ASTIN Bulletin
3 Stochastics
3 Statistics & Risk Modeling
3 Probability, Uncertainty and Quantitative Risk
2 Journal of Mathematical Biology
2 Theory of Probability and its Applications
2 Journal of Applied Probability
2 Operations Research
2 Tôhoku Mathematical Journal. Second Series
2 Transactions of the American Mathematical Society
2 Operations Research Letters
2 Statistics
2 Probability Theory and Related Fields
2 Journal of Economic Dynamics & Control
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Acta Mathematica Sinica. English Series
2 Methodology and Computing in Applied Probability
2 Applied Stochastic Models in Business and Industry
2 Decisions in Economics and Finance
2 Stochastic Models
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Review of Derivatives Research
2 Electronic Journal of Statistics
2 European Actuarial Journal
2 Dependence Modeling
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Computers & Mathematics with Applications
1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV)
1 Journal of Statistical Physics
1 Applied Mathematics and Computation
1 Applied Mathematics and Optimization
1 Bulletin of the London Mathematical Society
1 Integral Equations and Operator Theory
1 Journal of Multivariate Analysis
1 Mathematics of Operations Research
1 Proceedings of the American Mathematical Society
1 SIAM Journal on Control and Optimization
1 Systems & Control Letters
1 Zeitschrift für Analysis und ihre Anwendungen
1 Chinese Annals of Mathematics. Series B
1 Journal of Theoretical Probability
1 Queueing Systems
1 Journal of Scientific Computing
1 Science in China. Series A
1 Annals of Operations Research
1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
1 Computational Statistics
1 Economic Quality Control
1 Arab Journal of Mathematical Sciences
1 Mathematical Methods of Operations Research
1 Journal of Applied Mathematics and Decision Sciences
1 Communications in Nonlinear Science and Numerical Simulation
1 CEJOR. Central European Journal of Operations Research
1 International Journal of Nonlinear Sciences and Numerical Simulation
1 Scandinavian Actuarial Journal
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Statistical Modelling
1 North American Actuarial Journal
1 Computational Management Science
1 Advances in Difference Equations
1 Engineering Optimization
1 Journal of Forecasting
1 AStA. Advances in Statistical Analysis
1 Advances in Applied Mathematics and Mechanics
1 Science China. Mathematics
1 Advances in Decision Sciences
1 Kyoto Journal of Mathematics
1 Journal of Probability and Statistics
1 Analysis and Mathematical Physics
1 ISRN Mathematical Physics

Citations by Year