Edit Profile (opens in new tab) Rheinländer, Thorsten Co-Author Distance Author ID: rheinlander.thorsten Published as: Rheinländer, Thorsten; Rheinlaender, Thorsten External Links: MGP Documents Indexed: 20 Publications since 1997 Co-Authors: 19 Co-Authors with 16 Joint Publications 311 Co-Co-Authors all top 5 Co-Authors 1 single-authored 3 Schweizer, Martin 2 Biagini, Francesca 2 Grandits, Peter 2 Schmutz, Michael 2 Steiger, Gallus 1 Alòs, Elisa 1 Blümmel, Tilmann 1 Chen, Zhanyu 1 Delbaen, Freddy 1 Hell, Philipp 1 Kallsen, Jan 1 Meyer-Brandis, Thilo 1 Osterrieder, Jörg R. 1 Pham, Huyên 1 Samperi, Dominick 1 Schreiber, Irene 1 Steinkamp, Marcus 1 Stricker, Christophe 1 Widenmann, Jan Maximilian all top 5 Serials 2 The Annals of Probability 2 Journal of Applied Probability 2 The Annals of Applied Probability 2 Stochastic Processes and their Applications 2 Finance and Stochastics 2 Mathematical Finance 1 Statistics & Decisions 1 Studies in Nonlinear Dynamics and Econometrics 1 International Journal of Theoretical and Applied Finance 1 ASTIN Bulletin 1 Asia-Pacific Financial Markets 1 Mathematics and Financial Economics 1 SIAM Journal on Financial Mathematics 1 Annals of Finance all top 5 Fields 18 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Probability theory and stochastic processes (60-XX) 2 Measure and integration (28-XX) 1 Partial differential equations (35-XX) 1 General topology (54-XX) 1 Statistics (62-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 18 Publications have been cited 334 times in 258 Documents Cited by ▼ Year ▼ Exponential hedging and entropic penalties. Zbl 1072.91019 Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe 145 2002 On the minimal entropy martingale measure. Zbl 1049.60035 Grandits, Peter; Rheinländer, Thorsten 44 2002 Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023 Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin 40 1998 On \(L^2\)-projections on a space of stochastic integrals. Zbl 0895.60051 Rheinländer, Thorsten; Schweizer, Martin 32 1997 An entropy approach to the Stein and Stein model with correlation. Zbl 1088.60040 Rheinländer, Thorsten 11 2005 The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models. Zbl 1154.28305 Rheinländer, Thorsten; Steiger, Gallus 10 2006 Arbitrage opportunities in diverse markets via a non-equivalent measure change. Zbl 1233.91342 Osterrieder, Jörg R.; Rheinländer, Thorsten 10 2006 Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183 Kallsen, Jan; Rheinländer, Thorsten 10 2011 Hedging mortality claims with longevity bonds. Zbl 1346.91104 Biagini, Francesca; Rheinländer, Thorsten; Widenmann, Jan 7 2013 Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136 Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene 7 2016 A stochastic version of Zeeman’s market model. Zbl 1081.91517 Rheinlaender, Thorsten; Steinkamp, Marcus 4 2004 Self-dual continuous processes. Zbl 1287.60054 Rheinländer, Thorsten; Schmutz, Michael 4 2013 Financial markets with a large trader. Zbl 1408.91191 Blümmel, Tilmann; Rheinländer, Thorsten 2 2017 Valuation of barrier options via a general self-duality. Zbl 1348.91265 Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten 2 2016 Quasi-self-dual exponential Lévy processes. Zbl 1312.60058 Rheinländer, Thorsten; Schmutz, Michael 2 2014 Consistent factor models for temperature markets. Zbl 1246.91131 Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten 2 2012 Optimal martingale measures for defaultable assets. Zbl 1258.91209 Lee, Young; Rheinländer, Thorsten 1 2012 Utility indifference hedging with exponential additive processes. Zbl 1195.91165 Rheinländer, Thorsten; Steiger, Gallus 1 2010 Financial markets with a large trader. Zbl 1408.91191 Blümmel, Tilmann; Rheinländer, Thorsten 2 2017 Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136 Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene 7 2016 Valuation of barrier options via a general self-duality. Zbl 1348.91265 Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten 2 2016 Quasi-self-dual exponential Lévy processes. Zbl 1312.60058 Rheinländer, Thorsten; Schmutz, Michael 2 2014 Hedging mortality claims with longevity bonds. Zbl 1346.91104 Biagini, Francesca; Rheinländer, Thorsten; Widenmann, Jan 7 2013 Self-dual continuous processes. Zbl 1287.60054 Rheinländer, Thorsten; Schmutz, Michael 4 2013 Consistent factor models for temperature markets. Zbl 1246.91131 Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten 2 2012 Optimal martingale measures for defaultable assets. Zbl 1258.91209 Lee, Young; Rheinländer, Thorsten 1 2012 Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183 Kallsen, Jan; Rheinländer, Thorsten 10 2011 Utility indifference hedging with exponential additive processes. Zbl 1195.91165 Rheinländer, Thorsten; Steiger, Gallus 1 2010 The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models. Zbl 1154.28305 Rheinländer, Thorsten; Steiger, Gallus 10 2006 Arbitrage opportunities in diverse markets via a non-equivalent measure change. Zbl 1233.91342 Osterrieder, Jörg R.; Rheinländer, Thorsten 10 2006 An entropy approach to the Stein and Stein model with correlation. Zbl 1088.60040 Rheinländer, Thorsten 11 2005 A stochastic version of Zeeman’s market model. Zbl 1081.91517 Rheinlaender, Thorsten; Steinkamp, Marcus 4 2004 Exponential hedging and entropic penalties. Zbl 1072.91019 Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe 145 2002 On the minimal entropy martingale measure. Zbl 1049.60035 Grandits, Peter; Rheinländer, Thorsten 44 2002 Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023 Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin 40 1998 On \(L^2\)-projections on a space of stochastic integrals. Zbl 0895.60051 Rheinländer, Thorsten; Schweizer, Martin 32 1997 all cited Publications top 5 cited Publications all top 5 Cited by 297 Authors 11 Xiong, Dewen 10 Kohlmann, Michael 8 Biagini, Francesca 8 Muhle-Karbe, Johannes 8 Rheinländer, Thorsten 6 Kallsen, Jan 6 Žitković, Gordan 5 Ceci, Claudia 5 Choulli, Tahir 5 Gerardi, Anna 5 Mania, Michael 5 Rásonyi, Miklós 5 Robertson, Scott 5 Santacroce, Marina 4 Anthropelos, Michail 4 Arai, Takuji 4 Carassus, Laurence 4 Frittelli, Marco 4 Hubalek, Friedrich 4 Schwab, Christoph 4 Schweizer, Martin 4 Tankov, Peter 4 Tardelli, Paola 3 Becherer, Dirk 3 Benth, Fred Espen 3 Biagini, Sara 3 Bouchard, Bruno 3 Cretarola, Alessandra 3 Guasoni, Paolo 3 Henderson, Vicky 3 Herdegen, Martin 3 Hobson, David Graham 3 Imkeller, Peter 3 Kuhn, Christoph 3 Leitner, Johannes 3 Monoyios, Michael 3 Niethammer, Christina R. 3 Owari, Keita 3 Pennanen, Teemu 3 Reich, Nils 3 Sgarra, Carlo 3 Sircar, Ronnie 3 Tevzadze, Revaz 3 Trivellato, Barbara 3 Weston, Kim 3 Ye, Zhongxing 3 Zariphopoulou, Thaleia 3 Zhang, Yinglin 2 Bernard, Carole L. 2 Chau, Huy N. 2 Colaneri, Katia 2 Deng, Jun 2 Dokuchaev, Nikolai G. 2 Fontana, Claudio 2 Fujiwara, Tsukasa 2 Ghosh, Mrinal Kanti 2 Goswami, Anindya 2 Grasselli, Matheus R. 2 Heß, Markus 2 Hu, Ying 2 İlhan, Aytaç 2 Karatzas, Ioannis 2 Kardaras, Constantinos 2 Karlsen, Kenneth Hvistendahl 2 Kramkov, Dmitriĭ Olegovich 2 Kupper, Michael 2 Leung, Tim 2 Ludkovski, Michael 2 Ma, Junfeng 2 Malamud, Semyon 2 Matache, Ana-Maria 2 Matsumoto, Koichi 2 Møller, Thomas H. 2 Musiela, Marek 2 Nutz, Marcel 2 Øksendal, Bernt Karsten 2 Owen, Mark P. 2 Protter, Philip Elliott 2 Sarantsev, Andrey 2 Schellhorn, Henry 2 Schmeck, Maren Diane 2 Sîrbu, Mihai 2 Siu, Tak Kuen 2 Spiliopoulos, Konstantinos V. 2 Stadje, Mitja 2 Steiger, Gallus 2 Stricker, Christophe 2 Tian, Dejian 2 Trubowitz, Eugene 2 Wüthrich, Mario Valentin 2 Xing, Hao 2 Zhu, Songping 1 Adachi, Takashi 1 Adam, Alexandre 1 Alòs, Elisa 1 Andrusiv, Andrii 1 Banerjee, Tamal 1 Barrieu, Pauline M. 1 Bartl, Daniel 1 Basak, Gopal Krishna ...and 197 more Authors all top 5 Cited in 63 Serials 23 International Journal of Theoretical and Applied Finance 22 Mathematical Finance 19 The Annals of Applied Probability 17 Stochastic Analysis and Applications 15 Finance and Stochastics 14 Stochastic Processes and their Applications 12 Insurance Mathematics & Economics 8 Stochastics 8 Mathematics and Financial Economics 8 Annals of Finance 7 Applied Mathematical Finance 7 Quantitative Finance 5 Journal of Computational and Applied Mathematics 5 Asia-Pacific Financial Markets 5 SIAM Journal on Financial Mathematics 4 Journal of Applied Probability 4 Decisions in Economics and Finance 3 Advances in Applied Probability 3 The Annals of Probability 3 Mathematics of Operations Research 3 Statistics & Probability Letters 3 Journal of Economic Dynamics & Control 3 ASTIN Bulletin 2 Applied Mathematics and Optimization 2 Journal of Mathematical Economics 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 SIAM Journal on Control and Optimization 2 Operations Research Letters 2 Acta Applicandae Mathematicae 2 European Journal of Operational Research 2 Journal of Mathematical Sciences (New York) 2 Probability in the Engineering and Informational Sciences 2 Scandinavian Actuarial Journal 2 Review of Derivatives Research 1 Computers & Mathematics with Applications 1 Journal of Mathematical Analysis and Applications 1 Journal of Econometrics 1 Journal of Optimization Theory and Applications 1 Tokyo Journal of Mathematics 1 Probability Theory and Related Fields 1 European Journal of Applied Mathematics 1 Annals of Operations Research 1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 1 Mathematical Programming. Series A. Series B 1 Stochastics and Stochastics Reports 1 Bernoulli 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Mathematical Methods of Operations Research 1 Journal of Applied Mathematics and Decision Sciences 1 M2AN. Mathematical Modelling and Numerical Analysis. ESAIM, European Series in Applied and Industrial Mathematics 1 Acta Mathematica Sinica. English Series 1 Journal of Systems Science and Complexity 1 Entropy 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 North American Actuarial Journal 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 Proceedings of the Steklov Institute of Mathematics 1 MathematicS In Action 1 Set-Valued and Variational Analysis 1 International Journal of Stochastic Analysis 1 JSIAM Letters 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Probability, Uncertainty and Quantitative Risk all top 5 Cited in 19 Fields 248 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 167 Probability theory and stochastic processes (60-XX) 32 Systems theory; control (93-XX) 16 Statistics (62-XX) 12 Calculus of variations and optimal control; optimization (49-XX) 11 Numerical analysis (65-XX) 8 Partial differential equations (35-XX) 8 Operations research, mathematical programming (90-XX) 6 Integral equations (45-XX) 5 Information and communication theory, circuits (94-XX) 4 Functional analysis (46-XX) 2 Ordinary differential equations (34-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 History and biography (01-XX) 1 Measure and integration (28-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year