Jan Kallsen

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria	2020-09-29	Paper
Mathematical Finance	2019-09-11	Paper
Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models	2017-07-31	Paper
Almost Surely Optimal Portfolios Under Proportional Transaction Costs	2017-07-31	Paper
THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS	2017-07-21	Paper
On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria	2016-07-11	Paper
OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS	2015-10-20	Paper
On a Heath-Jarrow-Morton approach for stock options	2015-08-04	Paper
Asymptotic power utility-based pricing and hedging	2015-02-23	Paper
On the performance of delta hedging strategies in exponential Lévy models	2014-02-20	Paper
On the existence of shadow prices	2013-11-06	Paper
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS	2011-11-21	Paper
Method of moment estimation in time-changed Lévy models	2011-06-28	Paper
Variance-Optimal Hedging for Time-Changed Lévy Processes	2011-06-03	Paper
Existence of shadow prices in finite probability spaces	2011-05-05	Paper
Asymptotic utility-based pricing and hedging for exponential utility	2011-03-29	Paper
Utility maximization in models with conditionally independent increments	2010-12-27	Paper
On using shadow prices in portfolio optimization with transaction costs	2010-09-01	Paper
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS	2010-08-11	Paper
Variance-Optimal Hedging in General Affine Stochastic Volatility Models	2010-06-07	Paper
Exponentially affine martingales, affine measure changes and exponential moments of affine processes	2010-03-01	Paper
HEDGING BY SEQUENTIAL REGRESSIONS REVISITED	2009-12-07	Paper
Option Pricing	2009-11-27	Paper
Quadratic hedging in affine stochastic volatility models	2009-08-31	Paper
COGARCH as a continuous-time limit of GARCH(1,1)	2009-02-19	Paper
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION	2008-08-21	Paper
A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE	2008-04-30	Paper
On utility-based derivative pricing with and without intermediate trades	2008-01-18	Paper
Variance-optimal hedging for processes with stationary independent increments	2007-08-08	Paper
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing	2007-07-16	Paper
On the structure of general mean-variance hedging strategies	2007-07-12	Paper
https://portal.mardi4nfdi.de/entity/Q5493554	2006-10-23	Paper
Characterization of dependence of multidimensional Lévy processes using Lévy copulas	2006-08-14	Paper
$\sigma$-Localization and $\sigma$-Martingales	2004-12-16	Paper
Pricing derivatives of American and game type in incomplete markets	2004-11-24	Paper
Optimal portfolios for logarithmic utility.	2004-09-07	Paper
The cumulant process and Esscher's change of measure	2004-03-16	Paper
Time Change Representation of Stochastic Integrals	2004-01-21	Paper
A complete explicit solution to the log-optimal portfolio problem.	2003-11-17	Paper
Derivative pricing based on local utility maximization	2002-11-21	Paper
https://portal.mardi4nfdi.de/entity/Q2782359	2002-04-03	Paper
A utility maximization approach to hedging in incomplete markets	2001-01-08	Paper
https://portal.mardi4nfdi.de/entity/Q4938938	2000-04-03	Paper
Option Pricing in ARCH-type Models	1999-05-05	Paper
https://portal.mardi4nfdi.de/entity/Q4229056	1999-03-02	Paper

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