Dr. Ernst August Frhr. v. Hammerstein
Senior Lecturer
Course guidance for Mathematical Stochastics, esp. for the profile "Finanzmathematik"
Course coordinator M.Sc. Mathematics in Data and Technology
Address / Contact
Department of Mathematical Stochastics
University ofFreiburg
Ernst-Zermelo-Straße 1 (formerly Eckerstraße 1)
University ofFreiburg
Ernst-Zermelo-Straße 1 (formerly Eckerstraße 1)
Room 248
D-79104 Freiburg i. Brsg. (Germany)
Tel: +49-761-203-5673
Fax: +49-761-203-5661
E-Mail: ernst.august.hammerstein@stochastik.uni-freiburg.de
D-79104 Freiburg i. Brsg. (Germany)
Tel: +49-761-203-5673
Fax: +49-761-203-5661
E-Mail: ernst.august.hammerstein@stochastik.uni-freiburg.de
Consultation hour
Thursdays 10-11 a.m.
Conferences can alternatively be held online via BigBlueButton. To make an appointment for this, please send in advance an email to ernst.august.hammerstein@stochastik.uni-freiburg.de. Times for online conferences can also differ from the fixed date mentioned above.
Teaching
Winter Term 2024/25:
- Lecture Mathematical Statistics
- Lecture Mathematical Methods for Economics and Finance
- Seminar Knotentheorie
Summer Term 2024:
- Lecture Stochastik II (Stochastics II)
- Lecture Mathematik II für Studierende der Informatik ((Mathematics II for students of computer sciences)
- Practical Exercises in Stochastics
Winter Term 2023/24:
- Lecture Stochastik I (Stochastics I)
- Lecture Futures and Options
- Lecture Mathematical methods for Economics and Finance
- Introductory seminar Kodierungstheorie (coding theory)
Summer Term 2023:
- Lecture Mathematik II für Studierende der Informatik (Mathematics II for students of computer sciences)
- Introductory seminar Resultate und Anwendungen der Graphentheorie (Results and applcations of graph theory)
- Practical Exercises in Stochastics
Winter Term 2022/23:
- Lecture Mathematische Statistik (Mathematical Statistics)
- Lecture Mathematical Methods for Economics and Finance
- Introductory seminar Perlen der Linearen Algebra (Gems of Linear Algebra)
Summer Term 2022:
- Lecture Mathematik II für Studierende der Informatik (Mathematics II for students of computer sciences)
- Introductory seminar Kombinatorik (Combinatorics)
- Practical Exercises in Stochastics
Lectures, courses, and seminars in former terms
Research Interest
- Pricing and hedging of derivative products
- Credit risk modeling
- Application of Lévy and related processes in Finance
Publications
Articles and book chapters
- Tail behaviour and tail dependence of generalized hyperbolic distributions
In: Kallsen, J., Papapantoleon, A. (Eds.): Advanced Modelling in Mathematical Finance - A Festschrift in honour of Ernst Eberlein, Springer (2016), 3-40. DOI: 10.1007/978-3-319-45875-5 - Optimality of payoffs in Lévy models
International Journal of Theoretical and Applied Finance 17 (6), 1450041, 2014.
DOI: 10.1142/S0219024914500411 (with E. Lütkebohmert, L. Rüschendorf, V. Wolf) (Preprint) - 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)
Conference Proceedings
- Construction of cost-efficient self-quanto calls and puts in exponential Lévy models
In: Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. (Eds.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 6-7, 2014, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, 2014 (with E. Lütkebohmert, L. Rüschendorf, V. Wolf) (pdf)
Dissertation
- Generalized hyperbolic distributions: Theory and applications to CDO pricing
PhD thesis, University of Freiburg (2011). Available at FreiDok plus