Ernst Eberlein
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View article: The term structure of implied correlations between S&P and VIX markets
The term structure of implied correlations between S&P and VIX markets Open
We develop a joint model for the S&P500 and the VIX indices with the aim of extracting forward looking information on the correlation between the two markets. We achieve this by building the model on time changed L´evy processes, deriving …
View article: Complementary Semi-Deterministic Clusters for Realistic Statistical Channel Models for Positioning
Complementary Semi-Deterministic Clusters for Realistic Statistical Channel Models for Positioning Open
Positioning benefits from channel models that capture geometric effects and, in particular, from the signal properties of the first arriving path and the spatial consistency of the propagation condition of multiple links. The models that c…
View article: Towards Realistic Statistical Channel Models For Positioning: Evaluating the Impact of Early Clusters
Towards Realistic Statistical Channel Models For Positioning: Evaluating the Impact of Early Clusters Open
Physical effects such as reflection, refraction, and diffraction cause a radio signal to arrive from a transmitter to a receiver in multiple replicas that have different amplitude and rotation. Bandwidth-limited signals, such as positionin…
View article: Experimental Investigation of 5G Positioning Performance Using a mmWave Measurement Setup
Experimental Investigation of 5G Positioning Performance Using a mmWave Measurement Setup Open
Driven by an ever-increasing demand for higher data rates, 5G introduced communication over the millimeter-wave (mmWave) bands to fulfill this requirement. High data transmissions in this spectrum are enabled by beamforming massive MIMO an…
View article: Variable annuities in a Lévy-based hybrid model with surrender risk
Variable annuities in a Lévy-based hybrid model with surrender risk Open
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market an…
View article: Multiple curve Lévy forward price model allowing for negative interest rates
Multiple curve Lévy forward price model allowing for negative interest rates Open
In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…
View article: A Deep Learning Approach to Position Estimation from Channel Impulse Responses
A Deep Learning Approach to Position Estimation from Channel Impulse Responses Open
Radio-based locating systems allow for a robust and continuous tracking in industrial environments and are a key enabler for the digitalization of processes in many areas such as production, manufacturing, and warehouse management. Time di…
View article: Portfolio theory for squared returns correlated across time
Portfolio theory for squared returns correlated across time Open
Allowing for correlated squared returns across two consecutive periods, portfolio theory for two periods is developed. This correlation makes it necessary to work with non-Gaussian models. The two-period conic portfolio problem is formulat…
View article: Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model Open
The purpose of this article is to give a closed Fourier-based valuation formula for a caplet in the framework of the Lévy forward process model which was introduced in Eberlein and Özkan, Financ. Stochast. 9:327-348, 2005, [5]. Afterwards,…
View article: Valuation in Illiquid Markets
Valuation in Illiquid Markets Open
What is the value of a financial instrument in an illiquid market? The classical valuation theory which is based on the law of one price assumes implicitly that market participants can trade freely in both directions at the same price. In …