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~person:"Kallsen, Jan"
~subject:"Hedging"
~type:"article"
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Hedging
Option pricing theory
5
Optionspreistheorie
5
Incomplete market
3
Portfolio selection
3
Portfolio-Management
3
Theorie
3
Theory
3
Unvollkommener Markt
3
Laplace transform
2
Martingal
2
Martingale
2
Mean-variance hedging
2
Portfolio optimization
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Stochastic process
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Stochastic volatility
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Stochastischer Prozess
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Volatility
2
Volatilität
2
hedging
2
incomplete markets
2
local utility
2
Affine processes
1
CAPM
1
Capital income
1
Consumption theory
1
Correlation
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Decision under uncertainty
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Entscheidung unter Unsicherheit
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Erwartungsnutzen
1
Expected utility
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Incomplete markets
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Intertemporal choice
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Kapitaleinkommen
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Konsumtheorie
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English
8
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Kallsen, Jan
Broll, Udo
87
Lien, Da-hsiang Donald
86
Kit, Pong Wong
53
Wahl, Jack E.
35
Hammoudeh, Shawkat
25
Kang, Sang Hoon
23
Mensi, Walid
23
Fabozzi, Frank J.
17
Li, Johnny Siu-Hang
17
Alghalith, Moawia
16
Bouri, Elie
16
Alexander, Carol
14
Carr, Peter
14
Madan, Dilip B.
14
Cotter, John
13
Melʹnikov, Aleksandr V.
13
Moosa, Imad A.
13
Faff, Robert W.
12
Lee, Cheng F.
12
Xuan Vinh Vo
12
Zilcha, Itzhak
12
Kabanov, Jurij M.
11
Lai, Yu-Sheng
11
Lucey, Brian M.
11
Pennings, Joost M. E.
11
Rogers, Daniel A.
11
Roubaud, David
11
Shrestha, Keshab
11
Tiwari, Aviral Kumar
11
Umar, Zaghum
11
Yousaf, Imran
11
Bartram, Söhnke M.
10
Dionne, Georges
10
García, Philip
10
Ghorbel, Ahmed
10
Godin, Frédéric
10
Hanly, Jim
10
Lioui, Abraham
10
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10
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
Applied mathematical finance
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
Review of derivatives research
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
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 702-723
Persistent link: https://www.econbiz.de/10011350527
Saved in:
2
Asymptotic power utility-based pricing and
hedging
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Vierthauer, Richard
- In:
Mathematics and financial economics
8
(
2014
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
Saved in:
3
Variance-optimal
hedging
for time-changed Lévy processes
Kallsen, Jan
;
Pauwels, Arnd Philipp
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
Saved in:
4
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:
5
Quadratic
hedging
in affine stochastic volatility models
Kallsen, Jan
;
Vierthauer, Richard
- In:
Review of derivatives research
12
(
2009
)
1
,
pp. 3-27
hedging
strategy and the minimal
hedging
error by applying general structural results and Laplace transform techniques. The …
Persistent link: https://www.econbiz.de/10003851734
Saved in:
6
Hedging
by sequential regressions revisited
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 591-617
Persistent link: https://www.econbiz.de/10003937143
Saved in:
7
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:
8
A utility maximization approach to
hedging
in incomplete markets
Kallsen, Jan
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 321-338
Persistent link: https://www.econbiz.de/10001428821
Saved in:
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