Jan Kallsen

Publication Activity (10 Years)

Years Active: 1999-2024
Publications (10 Years): 3

Top Topics

Moment Invariants

Top Venues

Finance Stochastics

Math. Oper. Res.

Publications

Ales Cerný, Christoph Czichowsky, Jan Kallsen
Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation. Math. Oper. Res. 49 (2) (2024)
Sören Christensen, Jan Kallsen
Is Learning in Biological Neural Networks based on Stochastic Gradient Descent? An analysis using stochastic processes. CoRR (2023)
Jan Kallsen, Paul Krühner
On a Heath-Jarrow-Morton approach for stock options. Finance Stochastics 19 (3) (2015)
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
On the existence of shadow prices. Finance Stochastics 17 (4) (2013)
Jan Kallsen, Johannes Muhle-Karbe
Existence of shadow prices in finite probability spaces. Math. Methods Oper. Res. 73 (2) (2011)
Jan Kallsen, Christoph Kühn
Pricing derivatives of American and game type in incomplete markets. Finance Stochastics 8 (2) (2004)
Jan Kallsen
Derivative pricing based on local utility maximization. Finance Stochastics 6 (1) (2002)
Jan Kallsen, Albert N. Shiryaev
The cumulant process and Esscher's change of measure. Finance Stochastics 6 (4) (2002)
Jan Kallsen
Optimal portfolios for exponential Lévy processes. Math. Methods Oper. Res. 51 (3) (2000)
Jan Kallsen
A utility maximization approach to hedging in incomplete markets. Math. Methods Oper. Res. 50 (2) (1999)