The following pages link to Jan Kallsen (Q377455):
Displayed 50 items.
- On the existence of shadow prices (Q377456) (← links)
- Existence of shadow prices in finite probability spaces (Q532533) (← links)
- Hybrid Atlas models (Q535207) (← links)
- A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (Q550167) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- Simple arbitrage (Q691114) (← links)
- Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
- (Q990381) (redirect page) (← links)
- On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841) (← links)
- A complete explicit solution to the log-optimal portfolio problem. (Q1413691) (← links)
- The cumulant process and Esscher's change of measure (Q1424691) (← links)
- An optimal stopping problem with a reward constraint (Q1761452) (← links)
- A utility maximization approach to hedging in incomplete markets (Q1809501) (← links)
- Derivative pricing based on local utility maximization (Q1848534) (← links)
- Optimal portfolios for logarithmic utility. (Q1877521) (← links)
- Pricing derivatives of American and game type in incomplete markets (Q1887275) (← links)
- Optimal partial hedging of an American option: shifting the focus to the expiration date (Q1935932) (← links)
- On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria (Q2201509) (← links)
- Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544) (← links)
- On the structure of general mean-variance hedging strategies (Q2373572) (← links)
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas (Q2499076) (← links)
- On a Heath-Jarrow-Morton approach for stock options (Q2516770) (← links)
- (Q2782359) (← links)
- Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473) (← links)
- Method of moment estimation in time-changed Lévy models (Q3011079) (← links)
- Asymptotic utility-based pricing and hedging for exponential utility (Q3086116) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491) (← links)
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286) (← links)
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
- Option Pricing (Q3646973) (← links)
- HEDGING BY SEQUENTIAL REGRESSIONS REVISITED (Q3650924) (← links)
- Option Pricing in ARCH-type Models (Q4213030) (← links)
- (Q4229056) (← links)
- Time Change Representation of Stochastic Integrals (Q4442859) (← links)
- $\sigma$-Localization and $\sigma$-Martingales (Q4830842) (← links)
- (Q4938938) (← links)
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models (Q4976502) (← links)
- Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
- Mathematical Finance (Q5233545) (← links)
- THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (Q5297933) (← links)
- On the performance of delta hedging strategies in exponential Lévy models (Q5397451) (← links)
- On utility-based derivative pricing with and without intermediate trades (Q5437383) (← links)
- A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE (Q5459960) (← links)