Professoren
J.-Prof. Dr. Dr. Frederik Herzberg

J.-Prof. Dr. Dr. Frederik Herzberg

Journal articles

F.S. Herzberg, "A definable nonstandard enlargement". To appear in Math. Log. Q.

F.S. Herzberg, "Black-Scholes theory for an underlying with multiple attractors". To appear in Quant. Finance.

S. Albeverio and F.S. Herzberg, "Optimisation of measures on a hyperfinite adapted probability space". Acta Appl. Math. 100 (2008), no. 1, pp. 1 - 14.

S. Albeverio and F.S. Herzberg, "The moment problem on the Wiener space". Bull. Sci. math. 132 (2008), no. 1, pp. 7 - 18.

F.S. Herzberg, "Approximate Bermudan option pricing based on the réduite or cubature: soundness and characterization of perpetual prices as fixed points". Int. J. Pure Appl. Math. 35 (2007), no. 2, pp. 215 - 236.

F.S. Herzberg, "Internal laws of probability, generalized likelihoods and infinitesimal chances - a response to Adam Elga". British J. Philos. Sci. 58 (2007), no. 1, pp. 25 - 43.

S. Albeverio and F.S. Herzberg, "A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets". Stochastics 78 (2006), no. 5, pp. 301 - 325.

F.S. Herzberg and C. Bennemann, "Order statistics for Value-at-Risk estimation and option pricing". Wilmott Mag. no. 26 (2006), pp. 46 - 50.

B. Naundorf, J. Raufeisen, C. Bennemann and F.S. Herzberg, "You can't always get what you want - estimating the Value-at-Risk from historical data with limited statistics". Wilmott Mag. no. 26 (2006), pp. 52 - 55.

S. Albeverio and F.S. Herzberg, "Lifting Lévy processes to hyperfinite random walks". Bull. Sci. math. 130 (2006), no. 8, pp. 697 - 706.

F.S. Herzberg, "Beyond representative agent models: A variational approach to stochastic non-linear utility functions and a Wiener-like measure on C2". Int. J. Appl. Math. 17 (2005), no. 2, pp. 171 - 191. Corrigendum, ibid. 18 (2005), no. 3, pp. 415 - 416.

F.S. Herzberg, "The fairest price of an asset in an environment of temporary arbitrage". Int. J. Pure Appl. Math. 18 (2005), no. 1, pp. 121 - 131.


Conference proceedings

F.S. Herzberg, "On two recent applications of nonstandard analysis to the theory of financial markets". In: The Strength of Nonstandard Analysis. Proceedings of the International Conference on Nonstandard Mathematics, Aveiro, Portugal, June 2004 (eds. I. van den Berg and V. Neves, preface by W.A.J. Luxemburg), Springer, Vienna 2007, pp. 177 - 188.


Research monographs

S. Albeverio, R.Z. Fan and F.S. Herzberg, Markov chains with infinitesimal spacing: A hyperfinite approach to Dirichlet forms and stochastic processes. Springer, Berlin, forthcoming.

F.S. Herzberg, Continuity corrections for certain perpetual American and Bermudan options on multiple assets. Berichte aus der Mathematik, Shaker Verlag, Aachen 2006. ISBN 3-8322-5766-7.

F.S. Herzberg, Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. Industriemathematik und Angewandte Mathematik, Shaker Verlag, Aachen 2006. ISBN 3-8322-5790-X.


Theses

F.S. Herzberg, Recent approaches to high-dimensional American and Bermudan option pricing. D.Phil. thesis, University of Oxford 2006.

F.S. Herzberg, Path-dependent utility functions and nonstandard analysis. Dissertation an der Mathematisch-Naturwissenschaftlichen Fakultät, Universität Bonn 2005.


Miscellaneous

F.S. Herzberg, Book review on: S. Small, Political Thought in Ireland 1776 - 1798. Republicanism, Patriotism and Radicalism, Oxford University Press, Oxford 2002.

F.S. Herzberg, U. Meixner and A. Newen, "Glossar zur Philosophie des Geistes". In: Seele, Denken und Bewußtsein (eds. U. Meixner and A. Newen), de Gruyter, Berlin 2003, pp. 389 - 396.

Nutzungshinweise: Jede natürliche Person darf sich nur mit einer E-Mail Adresse bei WiWi-Online registrieren lassen. Die Nutzung der Daten die WiWi-Online bereitstellt ist nur für den privaten Gebrauch bestimmt - eine gewerbliche Nutzung ist verboten. Eine automatisierte Nutzung von WiWi-Online und dessen Inhalte, z.B. durch Offline-Browser, Download-Manager oder Webseiten etc. ist ausdrücklich strengstens untersagt. Zuwiderhandlungen werden straf- und zivilrechtlich verfolgt.