Details about Eva Lütkebohmert

Access statistics for papers by Eva Lütkebohmert.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: plt6

Working Papers

2017

1. Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
   Discussion Papers, Deutsche Bundesbank View citations (5)

2009

2. Failure of saddle-point method in the presence of double defaults
   Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE)
3. Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation
   Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE)
4. Treatment of Double Default Effects within the Granularity Adjustment for Basel II
   Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (2)

2008

5. Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
   Papers, arXiv.org View citations (1)

2007

6. Granularity adjustment for Basel II
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (21)

Journal Articles

2023

1. A hybrid convolutional neural network with long short-term memory for statistical arbitrage
   Quantitative Finance, 2023, 23, (4), 595-613
2. Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
   Journal of Banking & Finance, 2023, 148, (C) View citations (1)
3. Investor sentiment and global economic conditions
   Journal of Empirical Finance, 2023, 73, (C), 134-152 View citations (1)

2022

4. OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (03), 1-31
5. Robust deep hedging
   Quantitative Finance, 2022, 22, (8), 1465-1480 View citations (1)
6. Wealth management products, banking competition, and stability: Evidence from China
   Journal of Economic Dynamics and Control, 2022, 137, (C) View citations (4)

2021

7. Robust statistical arbitrage strategies
   Quantitative Finance, 2021, 21, (3), 379-402 View citations (2)

2020

8. A Multiple Curve Lévy Swap Market Model
   Applied Mathematical Finance, 2020, 27, (5), 396-421
9. Empirical analysis and forecasting of multiple yield curves
   Insurance: Mathematics and Economics, 2020, 95, (C), 59-78 View citations (2)

2019

10. Tightening robust price bounds for exotic derivatives
    Quantitative Finance, 2019, 19, (11), 1797-1815 View citations (7)

2017

11. Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk
    European Financial Management, 2017, 23, (1), 55-86 View citations (1)
12. Rollover risk and credit risk under time-varying margin
    Quantitative Finance, 2017, 17, (3), 455-469 View citations (5)

2014

13. A Multiperiod Bank Run Model for Liquidity Risk
    Review of Finance, 2014, 18, (2), 803-842 View citations (7)
14. OPTIMALITY OF PAYOFFS IN LÉVY MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (06), 1-46 View citations (2)
15. VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (01), 1-26

2013

16. Granularity Adjustment for Regulatory Capital Assessment
    International Journal of Central Banking, 2013, 9, (3), 38-77 View citations (13)