Arbeitsgruppe Finanzmathematik / Workgroup Financial Mathematics

Veröffentlichungen / Publications

 zurück

[50]  A. Černý, S. Denkl, and J. Kallsen. Hedging in Lévy models and the time step equivalent of jumps. Preprint, 2013. [ .pdf ]


[49]  J. Kallsen and S. Li. Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach. Preprint, 2013. 
 [ .pdf ]

[48] 

J. Kallsen and J. Muhle-Karbe. The general structure of optimal investment and consumption with small transaction costs. Preprint, 2013. [ .pdf ]

[47] 

J. Kallsen and J. Muhle-Karbe. Option pricing and hedging with small transaction costs. Mathematical Finance, 2012. To appear. [ .pdf ]

[46] 

G. Benedetti, L. Campi, J. Kallsen, and J. Muhle-Karbe. On the existence of shadow prices. Finance & Stochastics, 2012. To appear. [ http | .pdf ]

[45] 

J. Kallsen and J. Muhle-Karbe. Method of moment estimation in time-changed Lévy models. Statistics and Decisions, 28:169-194, 2011. [ http | .pdf ]

[44] 

J. Kallsen and J. Muhle-Karbe. Existence of shadow prices in finite discrete time. Mathematical Methods of Operations Research, 73:251-262, 2011. [ http | .pdf ]

[43] 

J. Kallsen and T. Rheinländer. Asymptotic utility-based pricing and hedging for exponential utility. Statistics and Decisions, 28:17-36, 2011. [ http | .pdf ]

[42] 

J. Kallsen and P. Krühner. On a Heath-Jarrow-Morton approach for stock options. Preprint (revised 2013), 2010. [ .pdf ]

[41] 

J. Kallsen and J. Muhle-Karbe. Utility maximization in models with conditionally independent increments. The Annals of Applied Probability, 20:2162-2177, 2010. [ http | .pdf ]

[40] 

J. Kallsen and A. Pauwels. Variance-optimal hedging in general affine stochastic volatility models. Advances in Applied Probability, 42:83-105, 2010. [ http | .pdf ]

[39] 

J. Kallsen and J. Muhle-Karbe. Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Stochastic Processes and their Applications, 120:163-181, 2010. [ http | .pdf ]

[38] 

J. Kallsen and J. Muhle-Karbe. Utility maximization in affine stochastic volatility models. International Journal of Theoretical and Applied Finance, 13:459-477, 2010. [ http | .pdf ]

[37] 

J. Kallsen and J. Muhle-Karbe. On using shadow prices in portfolio optimization with transaction costs. The Annals of Applied Probability, 20:1341-1358, 2010. [ http | .pdf ]

[36] 

J. Kallsen, J. Muhle-Karbe, N. Shenkman, and R. Vierthauer. Discrete-time variance-optimal hedging in affine stochastic volatility models. In R. Kiesel, M. Scherer, and R. Zagst, editors, Alternative Investments and Strategies. World Scientific, Singapore, 2010. [ .html | .pdf ]

[35] 

J. Kallsen, J. Muhle-Karbe, and R. Vierthauer. Asymptotic power utility-based pricing and hedging. Mathematics and Financial Economics, 2009. To appear. [ .pdf ]

[34] 

S. Denkl, M. Goy, J. Kallsen, J. Muhle-Karbe, and A. Pauwels. On the performance of delta-hedging strategies in exponential Lévy models. Quantitative Finance, 2009. To appear. [ .pdf ]

[33] 

J. Kallsen and T. Rheinländer. Financial markets with a large trader: an approach via Carmona-Nualart integration. Preprint, 2009. [ .pdf ]

[32] 

J. Kallsen, J. Muhle-Karbe, and M. Voss. Pricing options on variance in affine stochastic volatility models. Mathematical Finance, 2009. To appear. [ http | .pdf ]

[31] 

J. Kallsen and A. Pauwels. Variance-optimal hedging for time-changed Lévy processes. Applied Mathematical Finance, 2009. To appear. [ http | .pdf ]

[30] 

J. Kallsen and R. Vierthauer. Quadratic hedging in affine stochastic volatility models. Review of Derivatives Research, 12:3-27, 2009. [ http | .pdf ]

[29] 

 A. Černý and J. Kallsen. Hedging by sequential regression revisited. Mathematical Finance, 19:591-617, 2009. [ http | .pdf ]

[28] 

J. Kallsen. Option pricing. In T. Andersen, R. Davis, J. Kreiß, and T. Mikosch, editors, Handbook of Financial Time Series, pages 599-613. Springer, Berlin, 2009. [ http | .pdf ]

[27] 

J. Kallsen and B. Vesenmayer. COGARCH as a continuous-time limit of GARCH(1,1). Stochastic Processes and their Applications, 119:74-98, 2009. [ http | .pdf ]

[26] 

A. Černý and J. Kallsen. Mean-variance hedging and optimal investment in Heston's model with correlation. Mathematical Finance, 18:473-492, 2008. [ http | .pdf ]

[25] 

A. Černý and J. Kallsen. A counterexample concerning the variance-optimal martingale measure. Mathematical Finance, 18:305-316, 2008. [ http | .pdf ]

[24] 

F. Benth, J. Kallsen, and T. Meyer-Brandis. A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Applied Mathematical Finance, 14:153-169, 2007. [ http | .ps | .pdf ]

[23] 

A. Černý and J. Kallsen. On the structure of general mean-variance hedging strategies. The Annals of Probability, 35:1479-1531, 2007. [ http | .pdf ]

[22] 

J. Kallsen and C. Kühn. On utility-based derivative pricing with and without intermediate trades. Statistics and Decisions, 24:415-434, 2006. [ http | .ps | .pdf ]

[21] 

J. Kallsen and P. Tankov. Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Journal of Multivariate Analysis, 97:1551-1572, 2006. [ http | .ps | .pdf ]

[20] 

F. Hubalek, L. Krawczyk, and J. Kallsen. Variance-optimal hedging for processes with stationary independent increments. The Annals of Applied Probability, 16:853-885, 2006. [ http | .ps | .pdf ]

[19] 

J. Kallsen. A didactic note on affine stochastic volatility models. In Yu. Kabanov, R. Liptser, and J. Stoyanov, editors, From Stochastic Calculus to Mathematical Finance, pages 343-368. Springer, Berlin, 2006. [ http | .pdf ]

[18] 

J. Kallsen and C. Kühn. Convertible bonds: Financial derivatives of game type. In A. Kyprianou, W. Schoutens, and P. Wilmott, editors, Exotic Option Pricing and Advanced Lévy Models, pages 277-291. Wiley, New York, 2005. [ .html | .ps ]

[17] 

J. Kallsen and C. Kühn. Pricing derivatives of American and game type in incomplete markets. Finance & Stochastics, 8:261-284, 2004. [ http | .ps | .pdf ]

[16] 

J. Kallsen. σ-localization and σ-martingales. Theory of Probability and Its Applications, 48:152-163, 2004. [ http | .ps | .pdf ]

[15] 

T. Goll and J. Kallsen. A complete explicit solution to the log-optimal portfolio problem. The Annals of Applied Probability, 13:774-799, 2003. [ http | .ps | .pdf ]

[14] 

E. Eberlein, J. Kallsen, and J. Kristen. Risk management based on stochastic volatility. The Journal of Risk, 5(2):19-44, 2003. [ http | .ps | .pdf ]

[13] 

J. Kallsen and A. Shiryaev. The cumulant process and Esscher's change of measure. Finance & Stochastics, 6:397-428, 2002. [ http | .ps | .pdf ]

[12] 

J. Kallsen. Derivative pricing based on local utility maximization. Finance & Stochastics, 6:115-140, 2002. [ http | .ps | .pdf ]

[11] 

T. Goll and J. Kallsen. A note on the log-optimal portfolio problem. Technical Report 32/2001, Mathematische Fakultät Universität Freiburg i. Br., 2001. [ .ps | .pdf ]

[10] 

J. Kallsen. Utility-based derivative pricing in incomplete markets. In H. Geman, D. Madan, S. Pliska, and T. Vorst, editors, Mathematical Finance - Bachelier Congress 2000, pages 313-338, Berlin, 2002. Springer. [ http | .ps | .pdf ]

[9] 

J. Kallsen and A. Shiryaev. Time change representation of stochastic integrals. Theory of Probability and Its Applications, 46:522-528, 2002. [ http | .ps ]

[8] 

J. Kallsen. Optimal portfolios for exponential Lévy processes. Mathematical Methods of Operations Research, 51:357-374, 2000. [ http | .ps ]

[7] 

T. Goll and J. Kallsen. Optimal portfolios for logarithmic utility. Stochastic Processes and their Applications, 89:31-48, 2000. [ http | .ps ]

[6] 

J. Kallsen. A utility maximization approach to hedging in incomplete markets. Mathematical Methods of Operations Research, 50:321-338, 1999. [ http | .ps | .pdf ]

[5] 

J. Kallsen. A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. In Séminaire de Probabilités XXXIII, volume 1709 of Lecture Notes in Mathematics, pages 315-326. Springer, Berlin, 1999. [ http | .ps ]

[4] 

J. Kallsen. Duality links between portfolio optimization and derivative pricing. Technical Report 40/1998, Mathematische Fakultät Universität Freiburg i. Br., 1998. [ .ps ]

[3] 

J. Kallsen. Semimartingale Modelling in Finance. Dissertation Universität Freiburg i. Br., 1998. [ .ps ]

[2] 

J. Kallsen and M. Taqqu. Option pricing in ARCH-type models. Mathematical Finance, 8:13-26, 1998. [ http ]

[1] 

J. Kallsen and M. Taqqu. Option pricing in ARCH-type models: with detailed proofs. Technical Report 10, Freiburger Zentrum für Datenanalyse und Modellbildung, Universität Freiburg i. Br., 1995. [ .pdf ]