Jan Kallsen

According to our database, Jan Kallsen authored at least 10 papers between 1999 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation.

Ales Cerný, Christoph Czichowsky, Jan Kallsen

Math. Oper. Res., 2024

2023

Is Learning in Biological Neural Networks based on Stochastic Gradient Descent? An analysis using stochastic processes.

Sören Christensen, Jan Kallsen

CoRR, 2023

2015

On a Heath-Jarrow-Morton approach for stock options.

Jan Kallsen, Paul Krühner

Finance Stochastics, 2015

2013

On the existence of shadow prices.

Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe

Finance Stochastics, 2013

2011

Existence of shadow prices in finite probability spaces.

Jan Kallsen, Johannes Muhle-Karbe

Math. Methods Oper. Res., 2011

2004

Pricing derivatives of American and game type in incomplete markets.

Jan Kallsen, Christoph Kühn

Finance Stochastics, 2004

2002

The cumulant process and Esscher's change of measure.

Jan Kallsen, Albert N. Shiryaev

Finance Stochastics, 2002

Derivative pricing based on local utility maximization.

Jan Kallsen

Finance Stochastics, 2002

2000

Optimal portfolios for exponential Lévy processes.

Jan Kallsen

Math. Methods Oper. Res., 2000

1999

A utility maximization approach to hedging in incomplete markets.

Jan Kallsen

Math. Methods Oper. Res., 1999