22 citations · 23 across the 4 of their papers we have counts for
6 papers
Scalar systemic risk measures and Aumann-Shapley allocations
Ludger Overbeck, Florian Schindler
We study two different contributions to the theory of (scalar) systemic risk measures. Namely the first aggregate or axiomatic approach and the first inject capital approach. For t…
On the Martingale Representation with Respect to the super-Brownian Filtration
Christian Mandler, Ludger Overbeck
We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motio…
Inhomogeneous affine Volterra processes
Julia Ackermann, Thomas Kruse, Ludger Overbeck
We extend recent results on affine Volterra processes to the inhomogeneous case. This includes moment bounds of solutions of Volterra equations driven by a Brownian motion with an…
A Functional Ito-Formula for Dawson-Watanabe Superprocesses
Christian Mandler, Ludger Overbeck
We derive an Ito-formula for the Dawson-Watanabe superprocess, a well-known class of measure-valued processes, extending the classical Ito-formula with respect to two aspects. Firs…
Option Pricing in a Regime Switching Stochastic Volatility Model
Arunangshu Biswas, Anindya Goswami, Ludger Overbeck
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the vola…
Suitability of Capital Allocations for Performance Measurement
Eduard Kromer, Ludger Overbeck
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capi…