Sie sind hier: FRIAS Fellows Fellows 2020/21 Prof. Dr. Ernst Eberlein

Prof. Dr. Ernst Eberlein

Albert-Ludwigs-Universität Freiburg
Mathematische Stochastik
Internal Senior Fellow
Oktober 2017 - September 2019


Ernst Eberlein is professor emeritus at the University of Freiburg. He studied mathematics and physics at the Universities Erlangen-Nürnberg and Paris and received the Dr. rer. nat. at the University of Erlangen-Nürnberg. As a postdoc he held positions at the University of Bonn, IMPA Rio de Janeiro and ETH Zürich where he got his habilitation in mathematics.

He has published about eighty articles on topics in probability theory and mathematical finance and is editor of a number of conference proceedings. In the early 90s he stood in the forefront to apply Lévy processes for more realistic modeling in finance. More than 20 Ph.D. theses were finished under his supervision. He served as Dean and as 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 an elected member of the International Statistical Institute and honorary member of the Bachelier Finance Society. He spent the academic year 2009/10 as a fellow at FRIAS with a project on Information, Liquidity, and Trust in Incomplete Markets and was John-von-Neumann professor at TU Munich in 2015. He served as co-editor of Mathematical Finance and Applied Mathematical Finance.

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

Publikationen (Auswahl)

  • Fourier based valuation methods in mathematical finance. In Quantitative Energy Finance, F. Benth et al. (eds.)  85-114 Springer (2013)
  • Pricing to acceptability: with applications to valuation of one's own credit risk. The Journal of Risk 15 (2012) 91-120 (with T. Gehrig and D.B. Madan)
  • The Lévy Libor model. Finance and Stochastics 9 (2005) 327-348 (with F. Özkan)
  • Risk management based on stochastic volatility.  The Journal of Risk 5 (2003) 19-44 (with J. Kallsen, J. Kristen)
  • Hyperbolic distributions in finance.  Bernoulli 1 (1995) 281-299 (with U. Keller)


Linking Finance and Insurance: Theory and Applications

The goal of this research group is to tackle problems which lie in the intersection of finance and insurance. Under the current market situation this is of particular interest, as the present low interest rate environment is both a big challenge for insurance companies and a key driving factor of stock markets. This shows the high topicality of this endeavor on one side and the enormous potential for future developments on the other side. 

The main topics we aim at are hybrid derivatives which have equity and interest rates as underlying instruments. This type of derivatives appears naturally in equity-linked insurance products, variable annuities and other financial products from the area of pensions and life-insurance. Our first step is to develop fundamental results on assets of this type, in particular we are looking for valuation and risk-management methodologies. We will also cover the important question of model risk utilizing methods from robust finance and Bayesian finance. The second step is to apply these results by studying specific industry-relevant problems and developing tailor-made solutions.