Search Results - "Kallsen, J"

ON USING SHADOW PRICES IN PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS by Kallsen, J., Muhle-Karbe, J.

“…In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal…”
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UTILITY MAXIMIZATION IN MODELS WITH CONDITIONALLY INDEPENDENT INCREMENTS by Kallsen, J., Muhle-Karbe, J.

“…We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning…”
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Characterization of dependence of multidimensional Lévy processes using Lévy copulas by Kallsen, Jan, Tankov, Peter

“…This paper suggests Lévy copulas in order to characterize the dependence among components of multidimensional Lévy processes. This concept parallels the notion…”
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Optimal portfolios for exponential Lévy processes by KALLSEN, J

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A Complete Explicit Solution to the Log-Optimal Portfolio Problem by Goll, Thomas, Kallsen, Jan

“…D. Kramkov and W. Schachermayer [Ann. Appl. Probab. 9 (1999) 904-950] proved the existence of log-optimal portfolios under weak assumptions in a very general…”
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Variance-Optimal Hedging in General Affine Stochastic Volatility Models by Kallsen, Jan, Pauwels, Arnd

“…We consider variance-optimal hedging in general continuous-time affine stochastic volatility models. The optimal hedge and the associated hedging error are…”
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The cumulant process and Esscher's change of measure by Kallsen, Jan, Shiryaev, Albert N.

“…In this paper two kinds of <cumulant processes< are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random…”
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Derivative pricing based on local utility maximization by Kallsen, Jan

“…This paper discusses a new approach to contingent claim valuation in general incomplete market models. We determine the neutral derivative price which occurs…”
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Optimal portfolios for logarithmic utility by Goll, Thomas, Kallsen, Jan

“…We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The…”
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SSC type NbTi superconductor research program at Teledyne SC by Kallsen, J.F., McDonald, W.K., Geno, J.D., O'Larey, P.M., Siddall, M.B.

“…In an ongoing research effort, several multifilament niobium titanium composite billets have been fabricated and processed to make SSC (Superconducting Super…”
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Pricing derivatives of American and game type in incomplete markets by Kallsen, Jan, K hn, Christoph

“…In this paper the neutral valuation approach is applied to American and game options in incomplete markets. Neutral prices occur if investors are utility…”
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Option Pricing in ARCH-type Models by Kallsen, Jan, Taqqu, Murad S.

“…ARCH models have become popular for modeling financial time series. They seem, at first, however, to be incompatible with the option pricing approach of Black,…”
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A utility maximization approach to hedging in incomplete markets by KALLSEN, J

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Ceftazidime-related nonconvulsive status epilepticus by Klion, A D, Kallsen, J, Cowl, C T, Nauseef, W M

“…The third-generation cephalosporin, ceftazidime, is widely used for the treatment of serious gram-negative infections. As is true of cephalosporins in general,…”
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On using shadow prices in portfolio optimization with transaction costs by Kallsen, J, Muhle-Karbe, J

“…Annals of Applied Probability 2010, Vol. 20, No. 4, 1341-1358 In frictionless markets, utility maximization problems are typically solved either by stochastic…”
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Hi-Fi Theme Grading by Kallsen, T. J.

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The Graduate Assistant and the Freshman English Student. A Panel Discussion by Kallsen, T. J.

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SCC type NbTi superconductor research program at teledyne SC by KALLSEN, J. F, MCDONALD, W. K, GENO, J. D, O'LAREY, P. M, SIDDALL, M. B

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Academic Prayer, "a poem" by Kallsen, T J

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Academic Prayer by Kallsen, T. J.

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