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~language:"eng"
~person:"Kallsen, Jan"
~subject:"Decision under uncertainty"
~subject:"Kapitaleinkommen"
~subject:"Transaktionskosten"
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Decision under uncertainty
Kapitaleinkommen
Transaktionskosten
Hedging
15
Option pricing theory
9
Optionspreistheorie
9
Portfolio selection
6
Portfolio-Management
6
Stochastic process
6
Stochastischer Prozess
6
Theorie
6
Theory
6
Volatility
4
Volatilität
4
Incomplete market
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Unvollkommener Markt
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Derivat
2
Derivative
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Martingal
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Martingale
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Risikoaversion
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Transaction costs
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Bewertung
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CAPM
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Capital income
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Consumption theory
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Entscheidung unter Unsicherheit
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Expected utility
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Financial economics
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Incomplete markets
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Intertemporal choice
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Intertemporale Entscheidung
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Kapitalmarkttheorie
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Konsumtheorie
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Mean-variance hedging
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Kallsen, Jan
Guirguis, Michel
12
Kabanov, Jurij M.
12
Broll, Udo
11
Agarwal, Vikas
10
Bali, Turan G.
9
Brown, Stephen J.
9
Lepinette, Emmanuel
8
Muhle-Karbe, Johannes
8
Ang, Andrew
7
Weigert, Florian
7
Hoesli, Martin
6
Kit, Pong Wong
6
Korn, Olaf
6
McAleer, Michael
6
Signori, Ombretta
6
Bouchard, Bruno
5
Chang, Chia-Lin
5
Dolinsky, Yan
5
Eckwert, Bernhard
5
Goetzmann, William N.
5
Lai, Yu-Sheng
5
Nguyen, Duc Khuong
5
Ruenzi, Stefan
5
Soner, Halil Mete
5
Darolles, Serge
4
Düring, Bertram
4
Fournié, Michel
4
Getmansky, Mila
4
Gupta, Rangan
4
Herrmann, Sebastian
4
Heymans, André
4
Jüngel, Ansgar
4
Kosowski, Robert
4
Lo, Andrew W.
4
Lépinette, Emmanuel
4
MacGregor, Bryan D.
4
Makarov, Igor
4
Naik, Narayan Y.
4
Racicot, François-Éric
4
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
Research paper series / Swiss Finance Institute
1
Swiss Finance Institute Research Paper
1
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ECONIS (ZBW)
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1
Option pricing and
hedging
with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
-
2012
presence of a random endowment, we obtain asymptotic formulas for utility indi erence prices and
hedging
strategies in the …
Persistent link: https://www.econbiz.de/10009684284
Saved in:
2
Option pricing and
hedging
with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 702-723
Persistent link: https://www.econbiz.de/10011350527
Saved in:
3
Discrete-time variance-optimal
hedging
in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Shenkman, Natalia
; …
- In:
Alternative investments and strategies : credit, …
,
(pp. 375-393)
.
2010
Persistent link: https://www.econbiz.de/10008655196
Saved in:
4
Mean-variance
hedging
and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
Saved in:
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