Eva Lütkebohmert

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Improved robust price bounds for multi-asset derivatives under market-implied dependence information Finance and Stochastics	2024-10-16	Paper
A hybrid convolutional neural network with long short-term memory for statistical arbitrage Quantitative Finance	2023-06-20	Paper
Wealth management products, banking competition, and stability: evidence from China Journal of Economic Dynamics and Control	2022-05-16	Paper
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information	2022-04-03	Paper
Arbitrage-free Nelson-Siegel model for multiple yield curves Mathematics and Financial Economics	2022-04-01	Paper
A multiple curve Lévy swap market model Applied Mathematical Finance	2021-06-21	Paper
Robust statistical arbitrage strategies Quantitative Finance	2021-06-02	Paper
Empirical analysis and forecasting of multiple yield curves Insurance Mathematics & Economics	2020-11-19	Paper
Robust forecasting of multiple yield curves	2020-05-14	Paper
Tightening robust price bounds for exotic derivatives Quantitative Finance	2020-01-24	Paper
Rollover risk and credit risk under time-varying margin Quantitative Finance	2018-11-19	Paper
A multiperiod bank run model for liquidity risk Review of Finance	2018-11-08	Paper
Collateralized Borrowing and Default Risk Springer Proceedings in Mathematics & Statistics	2017-07-31	Paper
Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model Mathematics and Financial Economics	2015-09-22	Paper
Optimality of payoffs in Lévy models International Journal of Theoretical and Applied Finance	2014-11-12	Paper
scientific article; zbMATH DE number 6305527 (Why is no real title available?)	2014-06-19	Paper
VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES International Journal of Theoretical and Applied Finance	2014-04-25	Paper
Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance SIAM Journal on Mathematical Analysis	2009-09-28	Paper
Concentration Risk in Credit Portfolios EAA Lecture Notes	2008-10-06	Paper
An asymptotic expansion for a Black--Scholes type model Bulletin des Sciences Mathématiques	2005-02-09	Paper

Research outcomes over time

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