Dr. Ernst August Frhr. v. Hammerstein

Curriculum Vitae

Office Hours / Contact

Tel.: +49 761 203 97826 

E-Mail: ernst.august.hammerstein@vwl.uni-freiburg.de 

Room: 01010, Alte Universität, Bertoldstraße 17

Office hours by appointment

Research Interest

• Pricing and hedging of derivative products
• Credit risk modeling
• Application of Lévy processes in Finance

Publications

 Articles

• Advanced credit portfolio modeling and CDO pricing
  In: W. Jäger, H.-J. Krebs (editors), Mathematics - Key technology for the future, Springer (2008), 253-280 (with E. Eberlein and R. Frey)
• Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes
  In: Seminar on stochastic analysis, random fields and applications IV, R. Dalang, M. Dozzi, F. Russo (editors), Progress in Probability 58, Birkhäuser (2004), 221-264 (with E. Eberlein)

Dissertation

• Generalized hyperbolic distributions: Theory and applications to CDO pricing
  PhD thesis, University of Freiburg (2011). Available at Freiburg Document Repository (FreiDok)

Working Papers

• Optimality of payoffs in Lévy models (pdf)
  (with E. Lütkebohmert, L. Rüschendorf, V. Wolf), 2013. Submitted.