Edit Profile (opens in new tab) Kallsen, Jan Co-Author Distance Author ID: kallsen.jan Published as: Kallsen, Jan; Kallsen, J. Homepage: http://www.math.uni-kiel.de/finmath/de/personen/kallsen External Links: MGP · dblp Documents Indexed: 48 Publications since 1998, including 2 Books and 3 Additional arXiv Preprints 1 Contribution as Editor Reviewing Activity: 18 Reviews Co-Authors: 27 Co-Authors with 40 Joint Publications 660 Co-Co-Authors all top 5 Co-Authors 8 single-authored 13 Muhle-Karbe, Johannes 5 Černý, Aleš 3 Pauwels, Arnd 2 Goll, Thomas 2 Krühner, Paul 2 Kuhn, Christoph 2 Shiryaev, Al’bert Nikolaevich 2 Vierthauer, Richard 1 Benedetti, Giuseppe 1 Benth, Fred Espen 1 Campi, Luciano 1 Czichowsky, Christoph 1 Denkl, Stephan 1 Eberlein, Ernst W. 1 Feodoria, Mark-Roman 1 Goy, Martina 1 Hubalek, Friedrich 1 Jahncke, Giso 1 Krawczyk, Leszek 1 Lenga, Matthias 1 Meyer-Brandis, Thilo 1 Papapantoleon, Antonis 1 Rheinländer, Thorsten 1 Tankov, Peter 1 Taqqu, Murad S. 1 Vesenmayer, Bernhard 1 Voß, Moritz all top 5 Serials 7 Mathematical Finance 5 The Annals of Applied Probability 5 Finance and Stochastics 3 Statistics & Decisions 3 Stochastic Processes and their Applications 2 Theory of Probability and its Applications 2 Applied Mathematical Finance 2 Mathematical Methods of Operations Research 1 Advances in Applied Probability 1 The Annals of Probability 1 Journal of Multivariate Analysis 1 Electronic Journal of Probability 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance 1 Review of Derivatives Research 1 Mathematics and Financial Economics 1 Springer Proceedings in Mathematics & Statistics 1 Springer Finance all top 5 Fields 40 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 31 Probability theory and stochastic processes (60-XX) 4 Statistics (62-XX) 3 Systems theory; control (93-XX) 2 Integral transforms, operational calculus (44-XX) 1 General and overarching topics; collections (00-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 42 Publications have been cited 930 times in 671 Documents Cited by ▼ Year ▼ The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N. 86 2002 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337 Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo 67 2007 Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Zbl 1099.62048 Kallsen, Jan; Tankov, Peter 58 2006 On the structure of general mean-variance hedging strategies. Zbl 1124.91028 Černý, Aleš; Kallsen, Jan 56 2007 Optimal portfolios for logarithmic utility. Zbl 1048.91064 Goll, Thomas; Kallsen, Jan 51 2000 On using shadow prices in portfolio optimization with transaction costs. Zbl 1194.91175 Kallsen, J.; Muhle-Karbe, J. 51 2010 A complete explicit solution to the log-optimal portfolio problem. Zbl 1034.60047 Goll, Thomas; Kallsen, Jan 49 2003 Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206 Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek 48 2006 Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Zbl 1185.60045 Kallsen, Jan; Muhle-Karbe, Johannes 34 2010 A didactic note on affine stochastic volatility models. Zbl 1104.60024 Kallsen, Jan 30 2006 Utility maximization in affine stochastic volatility models. Zbl 1198.91192 Kallsen, Jan; Muhle-Karbe, Johannes 29 2010 The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006 Kallsen, Jan; Muhle-Karbe, Johannes 28 2017 Time change representation of stochastic integrals. Zbl 1034.60055 Kallsen, J.; Shiryaev, A. N. 27 2001 Pricing derivatives of American and game type in incomplete markets. Zbl 1052.91039 Kallsen, Jan; Kühn, Christoph 25 2004 Option pricing and hedging with small transaction costs. Zbl 1347.91231 Kallsen, Jan; Muhle-Karbe, Johannes 24 2015 Pricing options on variance in affine stochastic volatility models. Zbl 1239.91164 Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz 21 2011 \(\sigma\)-localization and \(\sigma\)-martingales. Zbl 1069.60042 Kallsen, J. 21 2003 Derivative pricing based on local utility maximization. Zbl 1007.91020 Kallsen, Jan 20 2002 Hedging by sequential regressions revisited. Zbl 1205.91156 Černý, Aleš; Kallsen, Jan 19 2009 Existence of shadow prices in finite probability spaces. Zbl 1217.91170 Kallsen, Jan; Muhle-Karbe, Johannes 16 2011 Option pricing in ARCH-type models. Zbl 0911.90028 Kallsen, Jan; Taqqu, Murad S. 16 1998 Mathematical finance. Zbl 1452.91001 Eberlein, Ernst; Kallsen, Jan 14 2019 Utility-based derivative pricing in incomplete markets. Zbl 0996.91045 Kallsen, Jan 13 2002 Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463 Kallsen, Jan; Vierthauer, Richard 13 2009 Mean-variance hedging and optimal investment in Heston’s model with correlation. Zbl 1141.91413 Černý, Aleš; Kallsen, Jan 13 2008 Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668 Kallsen, Jan; Pauwels, Arnd 12 2011 Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183 Kallsen, Jan; Rheinländer, Thorsten 10 2011 On the existence of shadow prices. Zbl 1280.91070 Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes 10 2013 A counterexample concerning the variance-optimal martingale measure. Zbl 1133.91397 Černý, Aleš; Kallsen, Jan 9 2008 Variance-optimal hedging in general affine stochastic volatility models. Zbl 1189.91231 Kallsen, Jan; Pauwels, Arnd 9 2010 A utility maximization approach to hedging in incomplete markets. Zbl 0952.91027 Kallsen, Jan 9 1999 On a Heath-Jarrow-Morton approach for stock options. Zbl 1390.91302 Kallsen, Jan; Krühner, Paul 9 2015 Semimartingale modelling in finance. Zbl 0937.91059 Kallsen, Jan 8 1998 Utility maximization in models with conditionally independent increments. Zbl 1202.91299 Kallsen, J.; Muhle-Karbe, J. 6 2010 COGARCH as a continuous-time limit of GARCH(1,1). Zbl 1172.62025 Kallsen, Jan; Vesenmayer, Bernhard 5 2009 On the performance of delta hedging strategies in exponential Lévy models. Zbl 1281.91158 Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd 4 2013 Method of moment estimation in time-changed Lévy models. Zbl 1215.62086 Kallsen, Jan; Muhle-Karbe, Johannes 3 2011 Option pricing. Zbl 1178.91197 Kallsen, Jan 2 2009 On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447 Kallsen, Jan; Kühn, Christoph 2 2006 A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. Zbl 0954.60046 Kallsen, Jan 1 1999 Asymptotic power utility-based pricing and hedging. Zbl 1308.91142 Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard 1 2014 Are American options European after all? Zbl 1492.91369 Christensen, Sören; Kallsen, Jan; Lenga, Matthias 1 2022 Are American options European after all? Zbl 1492.91369 Christensen, Sören; Kallsen, Jan; Lenga, Matthias 1 2022 Mathematical finance. Zbl 1452.91001 Eberlein, Ernst; Kallsen, Jan 14 2019 The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006 Kallsen, Jan; Muhle-Karbe, Johannes 28 2017 Option pricing and hedging with small transaction costs. Zbl 1347.91231 Kallsen, Jan; Muhle-Karbe, Johannes 24 2015 On a Heath-Jarrow-Morton approach for stock options. Zbl 1390.91302 Kallsen, Jan; Krühner, Paul 9 2015 Asymptotic power utility-based pricing and hedging. Zbl 1308.91142 Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard 1 2014 On the existence of shadow prices. Zbl 1280.91070 Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes 10 2013 On the performance of delta hedging strategies in exponential Lévy models. Zbl 1281.91158 Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd 4 2013 Pricing options on variance in affine stochastic volatility models. Zbl 1239.91164 Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz 21 2011 Existence of shadow prices in finite probability spaces. Zbl 1217.91170 Kallsen, Jan; Muhle-Karbe, Johannes 16 2011 Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668 Kallsen, Jan; Pauwels, Arnd 12 2011 Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183 Kallsen, Jan; Rheinländer, Thorsten 10 2011 Method of moment estimation in time-changed Lévy models. Zbl 1215.62086 Kallsen, Jan; Muhle-Karbe, Johannes 3 2011 On using shadow prices in portfolio optimization with transaction costs. Zbl 1194.91175 Kallsen, J.; Muhle-Karbe, J. 51 2010 Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Zbl 1185.60045 Kallsen, Jan; Muhle-Karbe, Johannes 34 2010 Utility maximization in affine stochastic volatility models. Zbl 1198.91192 Kallsen, Jan; Muhle-Karbe, Johannes 29 2010 Variance-optimal hedging in general affine stochastic volatility models. Zbl 1189.91231 Kallsen, Jan; Pauwels, Arnd 9 2010 Utility maximization in models with conditionally independent increments. Zbl 1202.91299 Kallsen, J.; Muhle-Karbe, J. 6 2010 Hedging by sequential regressions revisited. Zbl 1205.91156 Černý, Aleš; Kallsen, Jan 19 2009 Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463 Kallsen, Jan; Vierthauer, Richard 13 2009 COGARCH as a continuous-time limit of GARCH(1,1). Zbl 1172.62025 Kallsen, Jan; Vesenmayer, Bernhard 5 2009 Option pricing. Zbl 1178.91197 Kallsen, Jan 2 2009 Mean-variance hedging and optimal investment in Heston’s model with correlation. Zbl 1141.91413 Černý, Aleš; Kallsen, Jan 13 2008 A counterexample concerning the variance-optimal martingale measure. Zbl 1133.91397 Černý, Aleš; Kallsen, Jan 9 2008 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337 Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo 67 2007 On the structure of general mean-variance hedging strategies. Zbl 1124.91028 Černý, Aleš; Kallsen, Jan 56 2007 Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Zbl 1099.62048 Kallsen, Jan; Tankov, Peter 58 2006 Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206 Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek 48 2006 A didactic note on affine stochastic volatility models. Zbl 1104.60024 Kallsen, Jan 30 2006 On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447 Kallsen, Jan; Kühn, Christoph 2 2006 Pricing derivatives of American and game type in incomplete markets. Zbl 1052.91039 Kallsen, Jan; Kühn, Christoph 25 2004 A complete explicit solution to the log-optimal portfolio problem. Zbl 1034.60047 Goll, Thomas; Kallsen, Jan 49 2003 \(\sigma\)-localization and \(\sigma\)-martingales. Zbl 1069.60042 Kallsen, J. 21 2003 The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N. 86 2002 Derivative pricing based on local utility maximization. Zbl 1007.91020 Kallsen, Jan 20 2002 Utility-based derivative pricing in incomplete markets. Zbl 0996.91045 Kallsen, Jan 13 2002 Time change representation of stochastic integrals. Zbl 1034.60055 Kallsen, J.; Shiryaev, A. N. 27 2001 Optimal portfolios for logarithmic utility. Zbl 1048.91064 Goll, Thomas; Kallsen, Jan 51 2000 A utility maximization approach to hedging in incomplete markets. Zbl 0952.91027 Kallsen, Jan 9 1999 A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. Zbl 0954.60046 Kallsen, Jan 1 1999 Option pricing in ARCH-type models. Zbl 0911.90028 Kallsen, Jan; Taqqu, Murad S. 16 1998 Semimartingale modelling in finance. Zbl 0937.91059 Kallsen, Jan 8 1998 all cited Publications top 5 cited Publications all top 5 Cited by 860 Authors 33 Muhle-Karbe, Johannes 24 Kallsen, Jan 16 Benth, Fred Espen 12 Eberlein, Ernst W. 12 Guasoni, Paolo 11 Platen, Eckhard 10 Černý, Aleš 10 Tankov, Peter 9 Choulli, Tahir 9 Klüppelberg, Claudia 9 Siu, Tak Kuen 8 Arai, Takuji 8 Papapantoleon, Antonis 8 Ruf, Johannes 7 Gapeev, Pavel V. 7 Schachermayer, Walter 7 Seifried, Frank Thomas 7 Sgarra, Carlo 6 Bäuerle, Nicole 6 Kardaras, Constantinos 6 Keller-Ressel, Martin 6 Khedher, Asma 6 Krühner, Paul 6 Kuhn, Christoph 6 Sabino, Piergiacomo 6 Schwab, Christoph 5 Belak, Christoph 5 Cartea, Álvaro 5 Criens, David 5 Czichowsky, Christoph 5 Dhaene, Jan 5 Elliott, Robert James 5 Herdegen, Martin 5 Hubalek, Friedrich 5 Larsson, Martin 5 Li, Duan 5 Nutz, Marcel 5 Sass, Jörn 5 Schweizer, Martin 5 Scotti, Simone 5 Teichmann, Josef 5 Vanmaele, Michèle 5 Yang, Junjian 5 Zagst, Rudi 4 Angelini, Flavio 4 Ballotta, Laura 4 Barigou, Karim 4 Barndorff-Nielsen, Ole Eiler 4 Cui, Xiangyu 4 Dai, Min 4 Escobar, Marcos 4 Fontana, Claudio 4 Gonon, Lukas 4 Grbac, Zorana 4 Herzel, Stefano 4 Imai, Yuto 4 Kyriakou, Ioannis 4 Mayerhofer, Eberhard 4 Mehrdoust, Farshid 4 Mostovyi, Oleksii 4 Noorani, Idin 4 Rheinländer, Thorsten 4 Robertson, Scott 4 Rüschendorf, Ludger 4 Russo, Francesco 4 Schmidt, Thorsten 4 Wong, Hoi Ying 4 Yamazaki, Akira 4 Žitković, Gordan 3 Badescu, Alexandru M. 3 Bayraktar, Erhan 3 Bichuch, Maxim 3 Chen, Ze 3 Dai, Wanyang 3 Deng, Jun 3 Di Nunno, Giulia 3 Dolinsky, Yan 3 Ekren, Ibrahim 3 Engelbert, Hans-Jürgen 3 Esmaeili, Habib 3 Gerhold, Stefan 3 Glau, Kathrin 3 Gnoatto, Alessandro 3 Grothe, Oliver 3 Hughston, Lane P. 3 Ivanov, Roman V. 3 Kim, Donggyu 3 Klebaner, Fima C. 3 Kohlmann, Michael 3 Kramkov, Dmitriĭ Olegovich 3 Kwok, Yue-Kuen 3 Leisen, Fabrizio 3 Lin, Yiqing 3 Marfe, Roberto 3 Meyer-Brandis, Thilo 3 Neykova, Daniela 3 Ortega, Juan-Pablo 3 Pauwels, Arnd 3 Petrović, Ljiljana 3 Possamaï, Dylan ...and 760 more Authors all top 5 Cited in 127 Serials 49 Finance and Stochastics 45 Mathematical Finance 45 Quantitative Finance 39 International Journal of Theoretical and Applied Finance 35 Stochastic Processes and their Applications 30 The Annals of Applied Probability 28 Applied Mathematical Finance 23 Stochastics 23 SIAM Journal on Financial Mathematics 17 Mathematics and Financial Economics 15 Insurance Mathematics & Economics 12 Stochastic Analysis and Applications 11 Journal of Applied Probability 11 Journal of Computational and Applied Mathematics 11 Journal of Economic Dynamics & Control 11 European Journal of Operational Research 10 Decisions in Economics and Finance 9 Asia-Pacific Financial Markets 8 Mathematical Methods of Operations Research 7 Applied Mathematics and Optimization 7 Journal of Econometrics 7 SIAM Journal on Control and Optimization 6 Journal of Mathematical Analysis and Applications 6 Journal of Multivariate Analysis 6 Bernoulli 6 Review of Derivatives Research 6 Journal of Industrial and Management Optimization 5 Communications in Statistics. Theory and Methods 5 Electronic Journal of Probability 5 Methodology and Computing in Applied Probability 4 Theory of Probability and its Applications 4 Statistics & Probability Letters 4 Annals of Operations Research 4 ASTIN Bulletin 4 Modern Stochastics. Theory and Applications 3 Advances in Applied Probability 3 Computers & Mathematics with Applications 3 Physica A 3 The Annals of Statistics 3 Mathematics and Computers in Simulation 3 Journal of Time Series Analysis 3 Probability Theory and Related Fields 3 Scandinavian Actuarial Journal 3 Annals of Finance 2 Scandinavian Journal of Statistics 2 The Annals of Probability 2 Automatica 2 Kybernetika 2 Mathematics of Operations Research 2 Operations Research Letters 2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 2 Automation and Remote Control 2 Communications in Statistics. Simulation and Computation 2 International Journal of Computer Mathematics 2 Journal of Statistical Computation and Simulation 2 Filomat 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Chaos 2 Statistical Inference for Stochastic Processes 2 Stochastic Models 2 Stochastics and Dynamics 2 Computational Management Science 2 Journal of the Korean Statistical Society 2 Electronic Journal of Statistics 2 Discrete and Continuous Dynamical Systems. Series S 2 Probability Surveys 2 International Journal of Stochastic Analysis 2 Statistics and Computing 2 Dependence Modeling 2 Probability, Uncertainty and Quantitative Risk 2 Frontiers of Mathematical Finance 1 Lithuanian Mathematical Journal 1 Mathematical Methods in the Applied Sciences 1 Metrika 1 Moscow University Mathematics Bulletin 1 Psychometrika 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Demonstratio Mathematica 1 International Statistical Review 1 Journal of Differential Equations 1 Journal of Mathematical Economics 1 Operations Research 1 Osaka Journal of Mathematics 1 Tokyo Journal of Mathematics 1 Transactions of the American Mathematical Society 1 Journal of Information & Optimization Sciences 1 Acta Mathematicae Applicatae Sinica 1 Bulletin of the Iranian Mathematical Society 1 Physica D 1 Acta Mathematicae Applicatae Sinica. English Series 1 Econometric Reviews 1 Asia-Pacific Journal of Operational Research 1 Journal of Theoretical Probability 1 Applied Mathematics Letters 1 Asymptotic Analysis 1 European Journal of Applied Mathematics 1 Japan Journal of Industrial and Applied Mathematics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques ...and 27 more Serials all top 5 Cited in 30 Fields 557 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 452 Probability theory and stochastic processes (60-XX) 102 Statistics (62-XX) 73 Systems theory; control (93-XX) 37 Numerical analysis (65-XX) 29 Calculus of variations and optimal control; optimization (49-XX) 20 Operations research, mathematical programming (90-XX) 19 Partial differential equations (35-XX) 10 Computer science (68-XX) 8 Integral equations (45-XX) 7 Integral transforms, operational calculus (44-XX) 6 Ordinary differential equations (34-XX) 4 Operator theory (47-XX) 3 Functional analysis (46-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Approximations and expansions (41-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Potential theory (31-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Convex and discrete geometry (52-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year