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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

Consistent factor models for temperature markets

Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10009624466

Local risk-minimization with multiple assets under illiquidity with applications in energy markets

Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44

Persistent link: https://www.econbiz.de/10011891849

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López Cabrera, Brenda; Meyer-Brandis, Thilo - In: Energy economics 55 (2016), pp. 112-126

Persistent link: https://www.econbiz.de/10011663144

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López Cabrera, Brenda; Meyer-Brandis, Thilo - 2014

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...

Persistent link: https://www.econbiz.de/10010230563

Variance-optimal heding for processes with stationary independent increments

Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek - 2005

Persistent link: https://www.econbiz.de/10002830696

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

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

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

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