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Ernst Eberlein


Mathematics
Freiburg Institute for Advanced Studies
Germany

Biography

Ernst Eberlein is professor emeritus at the University of Freiburg. He studied mathematics and physics at the universities of Erlangen-Nuremberg and Paris and received the Dr. rer. nat. at the University of Erlangen-Nuremberg. As a postdoc he held positions at the University of Bonn, IMPA Rio de Janeiro and ETH Zurich. He has published about a number of conference proceedings. In the early 90s he stood in the forefront to apply. More than 20 Ph.D. theses were finished under his supervision. He served as a Dean and a Dean of Study Affairs for his faculty. He held sabbatical visiting positions at Stanford University, the University of California, San Diego (UCSD) and the University of Technology Sydney (UTS). Ernst Eberlein is one of the founding members of the Freiburg Center for Data Analysis and Modeling (FDM). He is a member of the International Statistical Institute and honorary member of the Bachelier Finance Society. He has been a co-editor of Mathematics Finance and Economics, and he is a professor at the University of Munich, Germany Applied Mathematical Finance.

Research Interest

He is a frequent speaker at conferences on topics in mathematical finance. His current research interests and consulting activities focus on the modeling of financial markets, risk management, as well as the valuation of derivative financial products.

Publications

  • T he Lévy Libor model. Finance and Stochastics 9 (2005) 327-348 (with F. Özkan)

  • Pricing to acceptability: with applications to the valuation of one's own credit risk. The Journal of Risk 15 (2012) 91-120 (with T. Gehrig and DB Madan)

  • Fourier-based valuation methods in mathematical finance. In Quantitative Energy Finance, F. Benth et al. (eds.) 85-114 Springer (2013)

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