Publications Prof. Dr. Eva Lütkebohmert-Holtz

Monographs

• Concentration Risk in Credit Portfolios. Springer Verlag, European Actuarial Academy (EAA) Lecture Notes, 2009.

Articles

• Fast Bayesian calibration of option pricing models based on sequential Monte Carlo methods and deep learning. Journal of Financial Econometrics, forthcoming (with R. Brignone, L. Gonzato, S. Knaust).
• Robust Bernoulli mixture models for credit portfolio risk. Mathematical Finance, forthcoming (with J. Ansari).
• Measuring Name Concentrations through Deep Learning. International Review of Financial Analysis 107: 104598, 2025 (with J. Sester).
• Name Concentration Risk in Multilateral Development Banks’ Portfolios: Measurement and Capital Adequacy Implications. Global Finance Journal 67: 101154, 2025 (with J. Sester and H. Shen).
• Improved robust price bounds for multi-asset derivatives under market-implied dependence information. Finance and Stochastics 28: 911-964, 2024 (with J. Ansari, A. Neufeld and J. Sester).
• An empirical study on new model-free multi-output variable selection methods. In International Conference on Soft Methods in Probability and Statistics, pp. 9-17, 2024 (with J. Ansari and M. Rockel).
• Exploiting the gap between implied and realized volatility. Journal of Derivatives 31(4): 12-42, 2024 (with J. Umarov and R. Halbleib).
• Investor sentiment and global economic conditions. Journal of Empirical Finance 73: 134-152, 2023 (with M. Herculano).
• A hybrid convolutional neural network with long short-term memory for statistical arbitrage. Quantitative Finance 23(4): 595-613, 2023 (with P. Eggebrecht).
• A deep trend following trading strategy for equity markets. Journal of Financial Data Science 5(2): 41-66, 2023 (with P. Eggebrecht).
• Efficient Quasi-Bayesian estimation of affine option pricing models using risk-neutral cumulants. Journal of Banking and Finance 148: 106745, 2023 (with R. Brignone and L. Gonzato).
• Robust Deep Hedging. Quantitative Finance 22(8): 1465-1480. 2022 (with T. Schmidt and J. Sester).
• Wealth management products, banking competition, and stability: Evidence from China. Journal of Economic Dynamics and Control 137: 104346, 2022 (with X. Feng and Y. Xiao).
• Optimal cross-currency mortgage decisions. International Journal of Theoretical and Applied Finance 25(3): 2250010, 2022 (with T. Schmidt and T. Zhu).
• Arbitrage-free Nelson-Siegel model for multiple yield curves. Mathematics and Financial Economics 16: 239-266, 2022 (with C. Gerhart and R. Brignone).
• Euro area banks’ interest rate risk exposure to level, slope and curvature swings in the yield curve. European Financial Management 28: 883-925, 2022 (with D. Foos, K. Pliszka and M. Markovych).
• Robust Statistical Arbitrage Strategies. Quantitative Finance, 21(3): 379-402, 2021 (with J. Sester).
• A multiple curve Lévy swap market model. Applied Mathematical Finance, 27(5): 396-421, 2020 (with E. Eberlein and C. Gerhart).
• Empirical analysis and forecasting of multiple yield curves. Insurance: Mathematics and Economics 95: 59-78, 2020 (with C. Gerhart).
• Robust forecasting of multiple yield curves. In Valenzuela, O., Rojas, F., Pomares, H., Rojas, I. (Eds.): Theory and Applications of Time Series Analysis, Springer Contributions to Statistics, pp. 187-202, 2019 (with C. Gerhart and M. Weber).
• Tightening Robust Price Bounds for Exotic Derivatives. Quantitative Finance, forthcoming (with J. Sester)
• Calculating capital charges for sector concentration risk. Journal of Credit Risk, IRMC 10th Anniversary Special Issue, pp. 35-67, 2018 (with C. Kurtz and J. Sester).
• Forecasting of multiple yield curves based on machine learning. Proceedings of the International Conference on Time Series and Forecasting 2018, Vol. 3, pp. 1483-1494, 2018 (with C. Gerhart and M. Weber).
• Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk. European Financial Management 23(1), pp. 55-86, 2017 (with D. Oeltz and Y. Xiao).
• Rollover risk and credit risk under time-varying margin. Quantitative Finance 17(3), pp. 455-469, 2017 (with X.-Z. He and Y. Xiao)
• Collateralized Borrowing and Default Risk. In: Kallsen, J., Papapantoleon, A. (Eds.): Advanced Modelling in Mathematical Finance – In honour of Ernst Eberlein, Springer Proceedings in Mathematics & Statistics, Springer, 2016 (with Y. Xiao).
• Funding liquidity, debt tenor structure, and creditor’s belief: An exogenous dynamic debt run model. Mathematics and Financial Economics 9, pp. 271-302, 2015 (with G. Liang and W. Wei).
• A multi-period bank run model for liquidity risk. Review of Finance 18, pp. 803{842, 2014 (with G. Liang and Y. Xiao).
• Optimality of payoffs in Lévy models. International Journal of Theoretical and Applied Finance 17 (6), 1450041, 2014. DOI: 10.1142/S0219024914500411 (with E.A. von Hammerstein, L. Rüschendorf, V. Wolf)
• Value-at-risk computations in stochastic volatility models using second order weak approximation schemes. International Journal of Theoretical and Applied Finance 17(1), 1450004, 2014 (with L. Matchie).
• 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., Vanduel, 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, pp. 49-61, 2014 (with E.A. v. Hammerstein, L. Rüschendorf, V. Wolf)
• Granularity adjustment for regulatory capital assessment. International Journal of Central Banking 9(3), pp. 33-71, 2013 (with M.B. Gordy).
• Failure of the saddle-point method in the presence of double defaults. Journal of Risk 15(1), pp. 71-89, 2012.
• An asset drop model as an alternative to the treatment of double defaults within the Basel framework. Journal of Credit Risk 3(1), pp. 41-63, 2012 (with S. Ebert).
• Treatment of double default effects within the granularity adjustment for Basel II. Journal of Credit Risk 7 (1), pp. 1-31, 2011 (with S. Ebert).
• Quantification of liquidity risk in a two-period model. 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 10-11, 2011, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, pp. 51-60, 2011 (with G. Liang and Y. Xiao).
• Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance. SIAM Journal of Mathematical Analysis 40 (5), pp. 2132-2153, 2009 (with B. Forster and J. Teichmann).
• Granularity adjustment for Basel II. Discussion paper, Series. In Banking and Financial Studies\ 01/2007, Deutsche Bundesbank 2007 (with M.B. Gordy).
• Quantification of idiosyncratic risk in the ASRF model. Proceedings of the Third Brazilian Conference on Statistical Modelling in Insurance and Finance, pp. 160-165, Maresias (Brazil) 2007 (with M.B. Gordy).
• Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project. BCBS Publications No. 15 (available at http://www.bis.org/publ/bcbs wp15.htm) November 2006 (with P. Asberg Sommar, M. Birn, J. Demuynck, K. Düllmann, A. Foglia, M. B. Gordy, T. Isogai, C. Lotz, C. Martin, N. Masschelein, C. Pearce, J. Saurina, M. Scheicher. C. Schmieder, Y. Shiina, K. Tsatsaronis, H. Walker).
• An asymptotic expansion for the Black-Scholes model with generalized volatility. Bulletin des Sciences Mathematiques 128 (8), pp. 661-685, 2004.

Dissertation

• Finite dimensional realizations of interest rate models with jumps and an asymptotic expansion for the Black-Scholes model with generalized volatility. Dissertation, Universität Bonn, 2004.