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Klüppelberg, Claudia
9
Kühn, Christoph
5
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2
Kostadinova, Radostina
2
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1
Böcker, Klaus
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Insurance / Mathematics & economics
4
Finance and stochastics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of mathematical economics
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Risk : managing risk in the world's financial markets
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Scandinavian actuarial journal : Actuarial Society of Finland ; Norwegian Society of Actuaries ; Swedish Society of Actuaries
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Pricing contingent claims in incomplete markets when the holder can choose among different payoffs
Kühn, Christoph
- In:
Insurance / Mathematics & economics
31
(
2002
)
2
,
pp. 215-234
Persistent link: https://www.econbiz.de/10006893337
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2
Game contingent claims in complete and incomplete markets
Kühn, Christoph
- In:
Journal of mathematical economics
40
(
2004
)
8
,
pp. 889-902
Persistent link: https://www.econbiz.de/10006019670
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3
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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4
CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
Kühn, Christoph
;
Kyprianou, Andrease
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 487-502
Persistent link: https://www.econbiz.de/10008221613
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5
Large traders and illiquid options: Hedging vs. manipulation
Kraft, Holger
;
Kühn, Christoph
- In:
Journal of economic dynamics & control
35
(
2011
)
11
,
pp. 1898-1916
Persistent link: https://www.econbiz.de/10009331090
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6
A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Yuri
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 207-228
Persistent link: https://www.econbiz.de/10008214886
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7
Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
1
,
pp. 17-44
Persistent link: https://www.econbiz.de/10008215024
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8
ARTICLES - Optimal Portfolios with Bounded Capital at Risk
Emmer, Susanne
;
Klüppelberg, Claudia
;
Korn, Ralf
- In:
Mathematical finance : an international journal of …
11
(
2001
)
4
,
pp. 365-384
Persistent link: https://www.econbiz.de/10008216773
Saved in:
9
Integrated insurance risk models with exponential Lévy investment
Klüppelberg, Claudia
;
Kostadinova, Radostina
- In:
Insurance / Mathematics & economics
42
(
2008
)
2
,
pp. 560-577
Persistent link: https://www.econbiz.de/10007988420
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10
CUTTING EDGE OPERATIONAL RISK Operational VAR: a closedform approximation - The authors investigate a simple loss distribution model for operational risk. They show that, when loss data is heavytailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They apply this approximation in particular to the Pareto severity model, for which they also obtain ...
Böcker, Klaus
;
Klüppelberg, Claudia
- In:
Risk : managing risk in the world's financial markets
18
(
2005
)
12
,
pp. 90-94
Persistent link: https://www.econbiz.de/10007021006
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