Kallsen, Jan.
Kallsen, Jan, 19..-....
VIAF ID: 45127380 (Personal)
Permalink: http://viaf.org/viaf/45127380
Preferred Forms
- 100 1 _ ‡a Kallsen, Jan
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- 100 1 _ ‡a Kallsen, Jan
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- 100 1 _ ‡a Kallsen, Jan
- 100 1 _ ‡a Kallsen, Jan (sparse)
- 100 1 _ ‡a Kallsen, Jan, ‡d 19..-....
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5xx's: Related Names (4)
- 510 2 _ ‡a Christian-Albrechts-Universität zu Kiel ‡b Mathematisches Seminar ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a Freiburg (Breisgau), Univ
- 551 _ _ ‡a Kiel ‡4 ortw ‡4 https://d-nb.info/standards/elementset/gnd#placeOfActivity
- 510 2 _ ‡a Universität Kiel ‡b Mathematisches Seminar
Works
Title | Sources |
---|---|
Characterization of dependence of multidimensional Lévy processes using Lévy copulas | |
COGARCH as a continuous-time limit of GARCH(1,1) | |
A Counterexample concerning the variance-optimal martingale measure | |
Duality links between portfolio optimization and derivative pricing | |
Mathematical finance | |
Mean-Variance hedging and optimal investment in Heston's model with correlation | |
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing | |
note on the log-optimal portfolio problem | |
On the structure of general mean-variance hedging strategies | |
On utility-based derivative pricing with and without intermediate trades | |
Quadratic hedging in affine stochastic volatility models | |
Semimartingale modelling in finance | |
Variance-optimal hedging for processes with stationary independent increments |