Edit Profile Kallsen, Jan Compute Distance To: Compute Author ID: kallsen.jan Published as: Kallsen, J.; Kallsen, Jan Homepage: http://www.math.uni-kiel.de/finmath/de/personen/kallsen External Links: MGP · Wikidata · dblp Documents Indexed: 45 Publications since 1998, including 3 Books Reviewing Activity: 18 Reviews all top 5 Co-Authors 8 single-authored 12 Muhle-Karbe, Johannes 4 Černý, Aleš 3 Pauwels, Arnd 2 Goll, Thomas 2 Krühner, Paul 2 Kuhn, Christoph 2 Shiryaev, Al’bert Nikolaevich 2 Vierthauer, Richard 1 Benedetti, Giuseppe 1 Benth, Fred Espen 1 Campi, Luciano 1 Denkl, Stephan 1 Eberlein, Ernst W. 1 Feodoria, Mark-Roman 1 Goy, Martina 1 Hubalek, Friedrich 1 Jahncke, Giso 1 Krawczyk, Leszek 1 Meyer-Brandis, Thilo 1 Papapantoleon, Antonis 1 Rheinländer, Thorsten 1 Tankov, Peter 1 Taqqu, Murad S. 1 Vesenmayer, Bernhard 1 Voß, Moritz all top 5 Serials 7 Mathematical Finance 5 Finance and Stochastics 4 The Annals of Applied Probability 3 Statistics & Decisions 3 Stochastic Processes and their Applications 2 Theory of Probability and its Applications 2 Applied Mathematical Finance 2 Mathematical Methods of Operations Research 1 Advances in Applied Probability 1 The Annals of Probability 1 Journal of Multivariate Analysis 1 Electronic Journal of Probability 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance 1 Review of Derivatives Research 1 Mathematics and Financial Economics 1 Springer Proceedings in Mathematics & Statistics 1 Springer Finance all top 5 Fields 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Probability theory and stochastic processes (60-XX) 4 Statistics (62-XX) 3 Systems theory; control (93-XX) 2 Integral transforms, operational calculus (44-XX) 1 General and overarching topics; collections (00-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 41 Publications have been cited 739 times in 524 Documents Cited by ▼ Year ▼ The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 70 2002 Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Zbl 1099.62048Kallsen, Jan; Tankov, Peter 51 2006 On the structure of general mean-variance hedging strategies. Zbl 1124.91028Černý, Aleš; Kallsen, Jan 47 2007 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo 46 2007 Optimal portfolios for logarithmic utility. Zbl 1048.91064Goll, Thomas; Kallsen, Jan 46 2000 A complete explicit solution to the log-optimal portfolio problem. Zbl 1034.60047Goll, Thomas; Kallsen, Jan 45 2003 On using shadow prices in portfolio optimization with transaction costs. Zbl 1194.91175Kallsen, J.; Muhle-Karbe, J. 41 2010 Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek 41 2006 A didactic note on affine stochastic volatility models. Zbl 1104.60024Kallsen, Jan 25 2006 Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Zbl 1185.60045Kallsen, Jan; Muhle-Karbe, Johannes 24 2010 Utility maximization in affine stochastic volatility models. Zbl 1198.91192Kallsen, Jan; Muhle-Karbe, Johannes 20 2010 Pricing derivatives of American and game type in incomplete markets. Zbl 1052.91039Kallsen, Jan; Kühn, Christoph 20 2004 Time change representation of stochastic integrals. Zbl 1034.60055Kallsen, J.; Shiryaev, A. N. 20 2001 The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006Kallsen, Jan; Muhle-Karbe, Johannes 19 2017 Option pricing and hedging with small transaction costs. Zbl 1347.91231Kallsen, Jan; Muhle-Karbe, Johannes 18 2015 Derivative pricing based on local utility maximization. Zbl 1007.91020Kallsen, Jan 18 2002 \(\sigma\)-localization and \(\sigma\)-martingales. Zbl 1069.60042Kallsen, J. 16 2003 Hedging by sequential regressions revisited. Zbl 1205.91156Černý, Aleš; Kallsen, Jan 14 2009 Option pricing in ARCH-type models. Zbl 0911.90028Kallsen, Jan; Taqqu, Murad S. 14 1998 Pricing options on variance in affine stochastic volatility models. Zbl 1239.91164Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz 13 2011 Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668Kallsen, Jan; Pauwels, Arnd 12 2011 Existence of shadow prices in finite probability spaces. Zbl 1217.91170Kallsen, Jan; Muhle-Karbe, Johannes 12 2011 Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463Kallsen, Jan; Vierthauer, Richard 12 2009 Mean-variance hedging and optimal investment in Heston’s model with correlation. Zbl 1141.91413Černý, Aleš; Kallsen, Jan 12 2008 Utility-based derivative pricing in incomplete markets. Zbl 0996.91045Kallsen, Jan 12 2002 Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183Kallsen, Jan; Rheinländer, Thorsten 9 2011 On the existence of shadow prices. Zbl 1280.91070Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes 8 2013 Variance-optimal hedging in general affine stochastic volatility models. Zbl 1189.91231Kallsen, Jan; Pauwels, Arnd 8 2010 A counterexample concerning the variance-optimal martingale measure. Zbl 1133.91397Černý, Aleš; Kallsen, Jan 8 2008 A utility maximization approach to hedging in incomplete markets. Zbl 0952.91027Kallsen, Jan 8 1999 On a Heath-Jarrow-Morton approach for stock options. Zbl 1390.91302Kallsen, Jan; Krühner, Paul 6 2015 Utility maximization in models with conditionally independent increments. Zbl 1202.91299Kallsen, J.; Muhle-Karbe, J. 5 2010 On the performance of delta hedging strategies in exponential Lévy models. Zbl 1281.91158Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd 4 2013 COGARCH as a continuous-time limit of GARCH(1,1). Zbl 1172.62025Kallsen, Jan; Vesenmayer, Bernhard 4 2009 Semimartingale modelling in finance. Zbl 0937.91059Kallsen, Jan 4 1998 On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447Kallsen, Jan; Kühn, Christoph 2 2006 Mathematical finance. Zbl 1452.91001Eberlein, Ernst; Kallsen, Jan 1 2019 Asymptotic power utility-based pricing and hedging. Zbl 1308.91142Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard 1 2014 Method of moment estimation in time-changed Lévy models. Zbl 1215.62086Kallsen, Jan; Muhle-Karbe, Johannes 1 2011 Option pricing. Zbl 1178.91197Kallsen, Jan 1 2009 A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. Zbl 0954.60046Kallsen, Jan 1 1999 Mathematical finance. Zbl 1452.91001Eberlein, Ernst; Kallsen, Jan 1 2019 The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006Kallsen, Jan; Muhle-Karbe, Johannes 19 2017 Option pricing and hedging with small transaction costs. Zbl 1347.91231Kallsen, Jan; Muhle-Karbe, Johannes 18 2015 On a Heath-Jarrow-Morton approach for stock options. Zbl 1390.91302Kallsen, Jan; Krühner, Paul 6 2015 Asymptotic power utility-based pricing and hedging. Zbl 1308.91142Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard 1 2014 On the existence of shadow prices. Zbl 1280.91070Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes 8 2013 On the performance of delta hedging strategies in exponential Lévy models. Zbl 1281.91158Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd 4 2013 Pricing options on variance in affine stochastic volatility models. Zbl 1239.91164Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz 13 2011 Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668Kallsen, Jan; Pauwels, Arnd 12 2011 Existence of shadow prices in finite probability spaces. Zbl 1217.91170Kallsen, Jan; Muhle-Karbe, Johannes 12 2011 Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183Kallsen, Jan; Rheinländer, Thorsten 9 2011 Method of moment estimation in time-changed Lévy models. Zbl 1215.62086Kallsen, Jan; Muhle-Karbe, Johannes 1 2011 On using shadow prices in portfolio optimization with transaction costs. Zbl 1194.91175Kallsen, J.; Muhle-Karbe, J. 41 2010 Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Zbl 1185.60045Kallsen, Jan; Muhle-Karbe, Johannes 24 2010 Utility maximization in affine stochastic volatility models. Zbl 1198.91192Kallsen, Jan; Muhle-Karbe, Johannes 20 2010 Variance-optimal hedging in general affine stochastic volatility models. Zbl 1189.91231Kallsen, Jan; Pauwels, Arnd 8 2010 Utility maximization in models with conditionally independent increments. Zbl 1202.91299Kallsen, J.; Muhle-Karbe, J. 5 2010 Hedging by sequential regressions revisited. Zbl 1205.91156Černý, Aleš; Kallsen, Jan 14 2009 Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463Kallsen, Jan; Vierthauer, Richard 12 2009 COGARCH as a continuous-time limit of GARCH(1,1). Zbl 1172.62025Kallsen, Jan; Vesenmayer, Bernhard 4 2009 Option pricing. Zbl 1178.91197Kallsen, Jan 1 2009 Mean-variance hedging and optimal investment in Heston’s model with correlation. Zbl 1141.91413Černý, Aleš; Kallsen, Jan 12 2008 A counterexample concerning the variance-optimal martingale measure. Zbl 1133.91397Černý, Aleš; Kallsen, Jan 8 2008 On the structure of general mean-variance hedging strategies. Zbl 1124.91028Černý, Aleš; Kallsen, Jan 47 2007 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo 46 2007 Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Zbl 1099.62048Kallsen, Jan; Tankov, Peter 51 2006 Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek 41 2006 A didactic note on affine stochastic volatility models. Zbl 1104.60024Kallsen, Jan 25 2006 On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447Kallsen, Jan; Kühn, Christoph 2 2006 Pricing derivatives of American and game type in incomplete markets. Zbl 1052.91039Kallsen, Jan; Kühn, Christoph 20 2004 A complete explicit solution to the log-optimal portfolio problem. Zbl 1034.60047Goll, Thomas; Kallsen, Jan 45 2003 \(\sigma\)-localization and \(\sigma\)-martingales. Zbl 1069.60042Kallsen, J. 16 2003 The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 70 2002 Derivative pricing based on local utility maximization. Zbl 1007.91020Kallsen, Jan 18 2002 Utility-based derivative pricing in incomplete markets. Zbl 0996.91045Kallsen, Jan 12 2002 Time change representation of stochastic integrals. Zbl 1034.60055Kallsen, J.; Shiryaev, A. N. 20 2001 Optimal portfolios for logarithmic utility. Zbl 1048.91064Goll, Thomas; Kallsen, Jan 46 2000 A utility maximization approach to hedging in incomplete markets. Zbl 0952.91027Kallsen, Jan 8 1999 A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. Zbl 0954.60046Kallsen, Jan 1 1999 Option pricing in ARCH-type models. Zbl 0911.90028Kallsen, Jan; Taqqu, Murad S. 14 1998 Semimartingale modelling in finance. Zbl 0937.91059Kallsen, Jan 4 1998 all cited Publications top 5 cited Publications all top 5 Cited by 685 Authors 30 Muhle-Karbe, Johannes 24 Kallsen, Jan 13 Benth, Fred Espen 11 Guasoni, Paolo 10 Platen, Eckhard 10 Tankov, Peter 9 Klüppelberg, Claudia 8 Eberlein, Ernst W. 8 Papapantoleon, Antonis 8 Siu, Tak Kuen 7 Arai, Takuji 7 Choulli, Tahir 7 Schachermayer, Walter 6 Černý, Aleš 6 Kardaras, Constantinos 6 Keller-Ressel, Martin 6 Krühner, Paul 6 Sgarra, Carlo 5 Bäuerle, Nicole 5 Czichowsky, Christoph 5 Hubalek, Friedrich 5 Kuhn, Christoph 5 Nutz, Marcel 5 Sass, Jörn 5 Schweizer, Martin 5 Seifried, Frank Thomas 5 Teichmann, Josef 5 Vanmaele, Michèle 4 Angelini, Flavio 4 Barndorff-Nielsen, Ole Eiler 4 Cartea, Álvaro 4 Criens, David 4 Cui, Xiangyu 4 Dhaene, Jan 4 Elliott, Robert James 4 Escobar, Marcos 4 Gapeev, Pavel V. 4 Grbac, Zorana 4 Herdegen, Martin 4 Herzel, Stefano 4 Imai, Yuto 4 Khedher, Asma 4 Larsson, Martin 4 Li, Duan 4 Mostovyi, Oleksii 4 Robertson, Scott 4 Russo, Francesco 4 Schwab, Christoph 4 Yamazaki, Akira 4 Yang, Junjian 4 Zagst, Rudi 4 Žitković, Gordan 3 Barigou, Karim 3 Belak, Christoph 3 Bichuch, Maxim 3 Esmaeili, Habib 3 Gerhold, Stefan 3 Glau, Kathrin 3 Grothe, Oliver 3 Heß, Markus 3 Ivanov, Roman V. 3 Klebaner, Fima C. 3 Kohlmann, Michael 3 Kramkov, Dmitriĭ Olegovich 3 Kwok, Yue-Kuen 3 Kyriakou, Ioannis 3 Larsen, Kasper Green 3 Marfe, Roberto 3 Mayerhofer, Eberhard 3 Meyer-Brandis, Thilo 3 Neykova, Daniela 3 Ortega, Juan-Pablo 3 Pauwels, Arnd 3 Reich, Nils 3 Rheinländer, Thorsten 3 Ruf, Johannes 3 Rüschendorf, Ludger 3 Sîrbu, Mihai 3 Stojanović, Srđan Đ. 3 Stricker, Christophe 3 Wong, Hoi Ying 3 Xiong, Dewen 3 Zheng, Wendong 2 Agliardi, Rossella 2 Altarovici, Albert 2 Badescu, Alexandru M. 2 Bender, Christian 2 Blatter, Anja 2 Branger, Nicole 2 Buchmann, Boris 2 Campi, Luciano 2 Chan, Leunglung 2 Chen, Ze 2 Chiu, Mei Choi 2 Christensen, Morten Mosegaard 2 Cretarola, Alessandra 2 Cuchiero, Christa 2 Cui, Zhenyu 2 Dai, Min 2 Dai, Wanyang ...and 585 more Authors all top 5 Cited in 106 Serials 43 Finance and Stochastics 35 International Journal of Theoretical and Applied Finance 35 Quantitative Finance 34 Mathematical Finance 30 The Annals of Applied Probability 26 Stochastic Processes and their Applications 21 Applied Mathematical Finance 18 Stochastics 16 SIAM Journal on Financial Mathematics 14 Mathematics and Financial Economics 13 Insurance Mathematics & Economics 11 Journal of Computational and Applied Mathematics 11 Journal of Economic Dynamics & Control 10 Stochastic Analysis and Applications 9 Asia-Pacific Financial Markets 8 Journal of Applied Probability 8 European Journal of Operational Research 7 Decisions in Economics and Finance 6 SIAM Journal on Control and Optimization 6 Mathematical Methods of Operations Research 5 Journal of Mathematical Analysis and Applications 5 Journal of Multivariate Analysis 5 Review of Derivatives Research 5 Journal of Industrial and Management Optimization 4 Applied Mathematics and Optimization 4 Journal of Econometrics 4 Statistics & Probability Letters 4 Bernoulli 4 Methodology and Computing in Applied Probability 3 Advances in Applied Probability 3 Theory of Probability and its Applications 3 Probability Theory and Related Fields 3 Annals of Operations Research 3 Electronic Journal of Probability 3 Scandinavian Actuarial Journal 3 ASTIN Bulletin 3 Annals of Finance 3 Modern Stochastics. Theory and Applications 2 Scandinavian Journal of Statistics 2 The Annals of Probability 2 The Annals of Statistics 2 Automatica 2 Mathematics of Operations Research 2 Journal of Time Series Analysis 2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 2 Automation and Remote Control 2 International Journal of Computer Mathematics 2 Journal of Statistical Computation and Simulation 2 Mathematical Problems in Engineering 2 Stochastic Models 2 Computational Management Science 2 Journal of the Korean Statistical Society 2 Electronic Journal of Statistics 2 International Journal of Stochastic Analysis 2 Dependence Modeling 1 Computers & Mathematics with Applications 1 Lithuanian Mathematical Journal 1 Mathematical Methods in the Applied Sciences 1 Moscow University Mathematics Bulletin 1 Psychometrika 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Demonstratio Mathematica 1 International Statistical Review 1 Journal of Mathematical Economics 1 Kybernetika 1 Operations Research 1 Tokyo Journal of Mathematics 1 Journal of Information & Optimization Sciences 1 Bulletin of the Iranian Mathematical Society 1 Acta Mathematicae Applicatae Sinica. English Series 1 Asia-Pacific Journal of Operational Research 1 Journal of Theoretical Probability 1 Applied Mathematics Letters 1 Asymptotic Analysis 1 Japan Journal of Industrial and Applied Mathematics 1 Communications in Statistics. Theory and Methods 1 Potential Analysis 1 Theory of Probability and Mathematical Statistics 1 Complexity 1 Journal of Nonparametric Statistics 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Abstract and Applied Analysis 1 Australian & New Zealand Journal of Statistics 1 Chaos 1 Extremes 1 Communications in Nonlinear Science and Numerical Simulation 1 Stochastic Environmental Research and Risk Assessment 1 Brazilian Journal of Probability and Statistics 1 Discrete and Continuous Dynamical Systems. Series B 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Stochastics and Dynamics 1 JMMA. Journal of Mathematical Modelling and Algorithms 1 Mediterranean Journal of Mathematics 1 Statistical Methods and Applications 1 Discrete and Continuous Dynamical Systems. Series S 1 Journal of Nonlinear Science and Applications 1 Probability Surveys 1 \(p\)-Adic Numbers, Ultrametric Analysis, and Applications 1 European Actuarial Journal ...and 6 more Serials all top 5 Cited in 25 Fields 449 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 364 Probability theory and stochastic processes (60-XX) 79 Statistics (62-XX) 54 Systems theory; control (93-XX) 31 Numerical analysis (65-XX) 17 Operations research, mathematical programming (90-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 15 Partial differential equations (35-XX) 6 Integral transforms, operational calculus (44-XX) 5 Ordinary differential equations (34-XX) 5 Integral equations (45-XX) 3 Functional analysis (46-XX) 3 Operator theory (47-XX) 2 Measure and integration (28-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Approximations and expansions (41-XX) 2 Computer science (68-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Potential theory (31-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 1 Quantum theory (81-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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