Eva Lütkebohmert : Citation Profile


Are you Eva Lütkebohmert?

Albert-Ludwigs-Universität Freiburg

5

H index

2

i10 index

55

Citations

RESEARCH PRODUCTION:

12

Articles

6

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 3
   Journals where Eva Lütkebohmert has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 5 (8.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plt6
   Updated: 2023-01-28    RAS profile: 2022-08-10    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Eva Lütkebohmert.

Is cited by:

gourieroux, christian (3)

Schmieder, Christian (3)

Tarashev, Nikola (3)

Gornicka, Lucyna (1)

Monfort, Alain (1)

Pliszka, Kamil (1)

Teixeira, Joao (1)

Di Clemente, Annalisa (1)

Kotlicki, Artur (1)

Lapteacru, Ion (1)

Farmer, J. (1)

Cites to:

Gordy, Michael (8)

Acharya, Viral (8)

Turnovsky, Stephen J (7)

Hansen, Lars (7)

Leland, Hayne (6)

gourieroux, christian (6)

He, Zhiguo (6)

Scaillet, Olivier (5)

Suarez, Gustavo (5)

Liang, Gechun (4)

Pedersen, Lasse (4)

Main data


Where Eva Lütkebohmert has published?


Journals with more than one article published# docs
Quantitative Finance4
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Bonn Econ Discussion Papers / University of Bonn, Bonn Graduate School of Economics (BGSE)3

Recent works citing Eva Lütkebohmert (2022 and 2021)


YearTitle of citing document
2021Martingale transport with homogeneous stock movements. (2019). Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1908.10242.

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2022Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288.

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2021Model-free price bounds under dynamic option trading. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2101.01024.

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2022A deep learning approach to data-driven model-free pricing and to martingale optimal transport. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2103.11435.

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2021Robust deep hedging. (2021). Sester, Julian ; Schmidt, Thorsten ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2106.10024.

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2022Detecting data-driven robust statistical arbitrage strategies with deep neural networks. (2022). Neufeld, Ariel ; Yin, Daiying ; Sester, Julian. In: Papers. RePEc:arx:papers:2203.03179.

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2022Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071.

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2022Spatial dependence in the technical efficiency of local banks. (2022). Migliardo, Carlo ; Anselin, Luc ; Algeri, Carmelo ; Forgione, Antonio Fabio. In: Papers in Regional Science. RePEc:bla:presci:v:101:y:2022:i:3:p:685-716.

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2022The measure of model risk in credit capital requirements. (2022). Baviera, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001458.

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2022Are large credit exposures a source of concentration risk?. (2022). Nokkala, Jan. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:53:y:2022:i:4:p:375-398.

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2021Robust Arbitrage Conditions for Financial Markets. (2021). Zhang, Shuzong ; Singh, Derek. In: SN Operations Research Forum. RePEc:spr:snopef:v:2:y:2021:i:3:d:10.1007_s43069-021-00073-0.

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2022Margin requirements based on a stochastic correlation model. (2022). Varadi, Kata ; Szabo, David Zoltan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1797-1820.

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2021System-wide and banks internal stress tests: Regulatory requirements and literature review. (2021). Pliszka, Kamil. In: Discussion Papers. RePEc:zbw:bubdps:192021.

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2021Asset concentration risk and insurance solvency regulation. (2021). Grundl, Helmut ; Regele, Fabian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4021.

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Works by Eva Lütkebohmert:


YearTitleTypeCited
2008Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance In: Papers.
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paper1
2017Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk In: European Financial Management.
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article1
2022Wealth management products, banking competition, and stability: Evidence from China In: Journal of Economic Dynamics and Control.
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article0
2020Empirical analysis and forecasting of multiple yield curves In: Insurance: Mathematics and Economics.
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article0
2013Granularity Adjustment for Regulatory Capital Assessment In: International Journal of Central Banking.
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article10
2014A Multiperiod Bank Run Model for Liquidity Risk In: Review of Finance.
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article6
2020A Multiple Curve Lévy Swap Market Model In: Applied Mathematical Finance.
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article0
2017Rollover risk and credit risk under time-varying margin In: Quantitative Finance.
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article5
2019Tightening robust price bounds for exotic derivatives In: Quantitative Finance.
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article6
2021Robust statistical arbitrage strategies In: Quantitative Finance.
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article2
2022Robust deep hedging In: Quantitative Finance.
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article0
2014VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0
2014OPTIMALITY OF PAYOFFS IN LÉVY MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2
2009Treatment of Double Default Effects within the Granularity Adjustment for Basel II In: Bonn Econ Discussion Papers.
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paper0
2009Failure of saddle-point method in the presence of double defaults In: Bonn Econ Discussion Papers.
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paper0
2009Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation In: Bonn Econ Discussion Papers.
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paper0
2007Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies.
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paper18
2017Euro area banks interest rate risk exposure to level, slope and curvature swings in the yield curve In: Discussion Papers.
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paper4

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