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A utility maximization approach to hedging in incomplete markets -...
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Jan Kallsen. Year of publication: Authors: Kallsen, Jan: Published in: Mathematical methods of operations research. - Berlin : Springer, ISSN , ZDB-ID ...
Jan Kallsen | XanEdu Customization Platform
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Author: Jan Kallsen. Results. Existence of shadow prices in finite probability spaces Springer Science+Business Media By: Johannes ...
Semimartingale Modelling in Finance - Jan Kallsen - Google Books
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Title, Semimartingale Modelling in Finance. Author, Jan Kallsen. Published, Length, 217 pages. Export Citation, BiBTeX EndNote RefMan ...
Advanced Modelling in Mathematical Finance: In Honour of Ernst...
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This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May...
Handbook of Financial Time Series - Google Books
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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical...
Derivative pricing based on local utility maximization - EconBiz
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Jan Kallsen. Year of publication: Authors: Kallsen, Jan: Published in: Finance and stochastics. - Berlin : Springer, ISSN , ZDB-ID
Exotic Option Pricing and Advanced Lévy Models - Andreas Kyprianou,...
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Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the...
Mathematical Finance - Bachelier Congress 2000: Selected Papers from...
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The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis...
Financial Economics: A Concise Introduction to Classical and...
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Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets....
Utility-based derivative pricing in incomplete markets - EconBiz
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Jan Kallsen. Year of publication: Authors: Kallsen, Jan: Published in: Mathematical finance - Bachelier Congress, : selected papers from the first World ...
Mathematical Finance: Workshop of the Mathematical Finance Research...
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... Jan Kallsen Universtity of Freiburg, Freiburg i. Br., Germany ...
Financial Modelling with Jump Processes - Peter Tankov - Google Books
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WINNER of a Riskbook.com Best of Book Award!During the last decade, financial models based on jump processes have acquired increasing popularity in risk...
Mathematical Techniques in Finance: Tools for Incomplete Markets -...
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Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant...
Option pricing - EconBiz
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You are here: Home > Option pricing > Description. Cover Image. Option pricing. Jan Kallsen. Year of Publication: Authors: Kallsen, Jan. Published in:.
Stable Non-Gaussian Random Processes: Stochastic Models with Infinite...
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The familiar Gaussian models do not allow for large deviations and are thus often inadequate for modeling high variability. Non-Gaussian stable models do not...
Alternative Investments and Strategies - R diger Kiesel, Matthias...
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Rüdiger Kiesel, Matthias Scherer, Rudi Zagst. JAN KALLSEN∗,§, JOHANNES MUHLE-KARBE†,¶, NATALIA SHENKMAN‡, and RICHARD VIERTHAUER∗,∗∗ ...
Asymptotic utility-based pricing and hedging for exponential utility...
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This paper deals with pricing and hedging based on utility indifference for exponential utility. We consider the limit for vanishing risk aversion or,...
From Stochastic Calculus to Mathematical Finance: The Shiryaev...
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Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including...
Alternative Investments and Strategies: Credit, Derivatives, CPPI
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Ch. 1. Socially responsible investments / Sven HroB, Christofer Vogt and Rudi Zagst -- ch. 2. Listed private equity in a portfolio context / Philipp Aigner...
On utility-based derivative pricing with and without intermediate...
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The neutral valuation approach for contingent claims in incomplete markets is based on the assumption that investors are identical utility maximizers and that ...
Asymptotic power utility-based pricing and hedging - EconBiz
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Jan Kallsen; Johannes Muhle-Karbe; Richard Vierthauer. Year of publication: Authors: Kallsen, Jan; Muhle-Karbe, Johannes; ...
Existence of shadow prices in finite probability spaces - EconBiz
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Jan Kallsen; Johannes Muhle-Karbe. Year of publication: Authors: Kallsen, Jan; Muhle-Karbe, Johannes: Published in: Mathematical ...
High-resilience limits of block-shaped order books - EconBiz
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High-resilience limits of block-shaped order books . Jan Kallsen; Johannes Muhle-Karbe. Year of publication:
Option pricing and hedging with small transaction costs - EconBiz
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Option pricing and hedging with small transaction costs . Jan Kallsen; Johannes Muhle-Karbe. Year of publication:
Quadratic hedging in affine stochastic volatility models - EconBiz
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We determine the variance-optimal hedge for a subset of affine processes including a number of popular stochastic volatility models. This framework does not...
Pricing derivatives of American and game type in incomplete markets -...
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Pricing derivatives of American and game type in incomplete markets. Jan Kallsen; Christoph Kühn. Year of Publication: Authors: Kallsen, Jan; Kühn, ...
Verwandte Suchanfragen zu Jan Kallsen
Peter Tankov Ernst Eberlein Johannes Muhle-Karbe | Juri Hinz Brigitte Kallsen Kurt Baron-Kallsen |
Personen Vorname "Jan" (55034) Name "Kallsen" (47) |
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