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Author ID: kallsen.jan Recent zbMATH articles by "Kallsen, Jan"
Published as: Kallsen, Jan; Kallsen, J.
Homepage: http://www.math.uni-kiel.de/finmath/de/personen/kallsen
External Links: MGP · dblp

Publications by Year

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 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

Citations by Year