Prof. Dr. Jan Kallsen
Kontakt / Contact
Christian-Albrechts-Universität zu Kiel
Mathematisches Seminar
Heinrich-Hecht-Platz 6, R. 01.030
24118 Kiel
Germany
Telefon / Phone: +49 431 880-2783
E-Mail: kallsen@math.uni-kiel.de
Veröffentlichungen / Publications
Skripte / Lecture Notes
Lehre / Teaching
Research interests
- Mathematical Finance (Associate Editor Mathematical Finance)
- Stochastic Calculus
- Numerical Methods
Past PhD students
- Dr. Arnd Pauwels (Varianz-optimales Hedging in affinen Volatilitätsmodellen)
- Dr. Bernhard Vesenmayer (Efficient numerical solution of the variance-optimal hedging problem in geometric Lévy models)
- Dr. Johannes Muhle-Karbe (On utility-based investment, pricing and hedging in incomplete markets)
- Dr. Richard Vierthauer (Hedging in Affine Stochastic Volatility Models)
- Dr. Paul Krühner (The Heath-Jarrow-Morton approach for modelling stock options)
- Dr. Stephan Denkl (Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility)
- Dr. Lia Ahrens (On Using Shadow Prices for the Asymptotic Analysis of Portfolio Optimization under Proportional Transaction Costs)
- Dr. Mark-Roman Feodoria (Optimal investment and utility indifference pricing in the presence of small fixed transaction costs)
- Dr. Matthias Lenga (Representable Options)
- Dr. Giso Jahncke
- Dr. Sergej Mikheev
- Mike Sebastian Parucha