Jan Kallsen

According to our database1, Jan Kallsen authored at least 11 papers between 1999 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
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Links

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Bibliography

2024
Is Learning in Biological Neural Networks Based on Stochastic Gradient Descent? An Analysis Using Stochastic Processes.
Neural Comput., 2024

Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation.
Math. Oper. Res., 2024

Learning to steer with Brownian noise.
CoRR, 2024

2015
On a Heath-Jarrow-Morton approach for stock options.
Finance Stochastics, 2015

2013
On the existence of shadow prices.
Finance Stochastics, 2013

2011
Existence of shadow prices in finite probability spaces.
Math. Methods Oper. Res., 2011

2004
Pricing derivatives of American and game type in incomplete markets.
Finance Stochastics, 2004

2002
The cumulant process and Esscher's change of measure.
Finance Stochastics, 2002

Derivative pricing based on local utility maximization.
Finance Stochastics, 2002

2000
Optimal portfolios for exponential Lévy processes.
Math. Methods Oper. Res., 2000

1999
A utility maximization approach to hedging in incomplete markets.
Math. Methods Oper. Res., 1999


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