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Benth, Fred Espen
22
Kallsen, Jan
14
Kiesel, Rüdiger
4
Koekebakker, Steen
4
Cerný, Ales
3
Meyer-Brandis, Thilo
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Šaltytė Benth, Jūratė
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Biagini, Francesca
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Energy economics
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7
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Applied mathematical finance
5
Mathematical methods of operations research
3
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2
Journal of banking & finance
2
Journal of forecasting
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OLC EcoSci
ECONIS (ZBW)
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen
;
Meyer-Brandis, Thilo
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 563-576
Persistent link: https://www.econbiz.de/10008214149
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2
Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, Francesca
;
Bregman, Yuliya
;
Meyer-Brandis, Thilo
- In:
Insurance / Mathematics & economics
43
(
2008
)
2
,
pp. 214-222
Persistent link: https://www.econbiz.de/10008104614
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3
Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, Francesca
;
Bregman, Yuliya
;
Meyer-Brandis, Thilo
- In:
Insurance / Mathematics & economics
43
(
2008
)
2
,
pp. 214-223
Persistent link: https://www.econbiz.de/10008880509
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4
Optimal portfolios for exponential Lévy processes
Kallsen, Jan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 357-374
Persistent link: https://www.econbiz.de/10006623505
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5
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/10006626461
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6
Pricing derivatives of American and game type in incomplete markets
Kallsen, Jan
;
Kühn, Christoph
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10008214883
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7
The cumulant process and Esscher's change of measure
Kallsen, Jan
;
Shiryaev, Albert N.
- In:
Finance and stochastics
6
(
2002
)
4
,
pp. 397-428
Persistent link: https://www.econbiz.de/10008216168
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8
Derivative pricing based on local utility maximization
Kallsen, Jan
- In:
Finance and stochastics
6
(
2002
)
1
,
pp. 115
Persistent link: https://www.econbiz.de/10008216496
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9
Option Pricing in ARCH-type Models
Kallsen, Jan
;
Taqqu, Murad S.
- In:
Mathematical finance : an international journal of …
8
(
1998
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10008219353
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10
MEAN-VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
Cerný, Ales
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473
Persistent link: https://www.econbiz.de/10008221063
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