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## Kallsen, Jan

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 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
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#### 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
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#### 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
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#### 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)

#### 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 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
2002
Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Zbl 1099.62048
Kallsen, Jan; Tankov, Peter
2006
On the structure of general mean-variance hedging strategies. Zbl 1124.91028
Černý, Aleš; Kallsen, Jan
2007
A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo
2007
Optimal portfolios for logarithmic utility. Zbl 1048.91064
Goll, Thomas; Kallsen, Jan
2000
A complete explicit solution to the log-optimal portfolio problem. Zbl 1034.60047
Goll, Thomas; Kallsen, Jan
2003
On using shadow prices in portfolio optimization with transaction costs. Zbl 1194.91175
Kallsen, J.; Muhle-Karbe, J.
2010
Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206
Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek
2006
A didactic note on affine stochastic volatility models. Zbl 1104.60024
Kallsen, Jan
2006
Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Zbl 1185.60045
Kallsen, Jan; Muhle-Karbe, Johannes
2010
Utility maximization in affine stochastic volatility models. Zbl 1198.91192
Kallsen, Jan; Muhle-Karbe, Johannes
2010
Pricing derivatives of American and game type in incomplete markets. Zbl 1052.91039
Kallsen, Jan; Kühn, Christoph
2004
Time change representation of stochastic integrals. Zbl 1034.60055
Kallsen, J.; Shiryaev, A. N.
2001
The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006
Kallsen, Jan; Muhle-Karbe, Johannes
2017
Option pricing and hedging with small transaction costs. Zbl 1347.91231
Kallsen, Jan; Muhle-Karbe, Johannes
2015
Derivative pricing based on local utility maximization. Zbl 1007.91020
Kallsen, Jan
2002
$$\sigma$$-localization and $$\sigma$$-martingales. Zbl 1069.60042
Kallsen, J.
2003
Hedging by sequential regressions revisited. Zbl 1205.91156
Černý, Aleš; Kallsen, Jan
2009
Option pricing in ARCH-type models. Zbl 0911.90028
1998
Pricing options on variance in affine stochastic volatility models. Zbl 1239.91164
Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz
2011
Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668
Kallsen, Jan; Pauwels, Arnd
2011
Existence of shadow prices in finite probability spaces. Zbl 1217.91170
Kallsen, Jan; Muhle-Karbe, Johannes
2011
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
2009
Mean-variance hedging and optimal investment in Heston’s model with correlation. Zbl 1141.91413
Černý, Aleš; Kallsen, Jan
2008
Utility-based derivative pricing in incomplete markets. Zbl 0996.91045
Kallsen, Jan
2002
Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183
Kallsen, Jan; Rheinländer, Thorsten
2011
On the existence of shadow prices. Zbl 1280.91070
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes
2013
Variance-optimal hedging in general affine stochastic volatility models. Zbl 1189.91231
Kallsen, Jan; Pauwels, Arnd
2010
A counterexample concerning the variance-optimal martingale measure. Zbl 1133.91397
Černý, Aleš; Kallsen, Jan
2008
A utility maximization approach to hedging in incomplete markets. Zbl 0952.91027
Kallsen, Jan
1999
On a Heath-Jarrow-Morton approach for stock options. Zbl 1390.91302
Kallsen, Jan; Krühner, Paul
2015
Utility maximization in models with conditionally independent increments. Zbl 1202.91299
Kallsen, J.; Muhle-Karbe, J.
2010
On the performance of delta hedging strategies in exponential Lévy models. Zbl 1281.91158
Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd
2013
COGARCH as a continuous-time limit of GARCH(1,1). Zbl 1172.62025
Kallsen, Jan; Vesenmayer, Bernhard
2009
Semimartingale modelling in finance. Zbl 0937.91059
Kallsen, Jan
1998
On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447
Kallsen, Jan; Kühn, Christoph
2006
Mathematical finance. Zbl 1452.91001
Eberlein, Ernst; Kallsen, Jan
2019
Asymptotic power utility-based pricing and hedging. Zbl 1308.91142
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard
2014
Method of moment estimation in time-changed Lévy models. Zbl 1215.62086
Kallsen, Jan; Muhle-Karbe, Johannes
2011
Option pricing. Zbl 1178.91197
Kallsen, Jan
2009
A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. Zbl 0954.60046
Kallsen, Jan
1999
Mathematical finance. Zbl 1452.91001
Eberlein, Ernst; Kallsen, Jan
2019
The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006
Kallsen, Jan; Muhle-Karbe, Johannes
2017
Option pricing and hedging with small transaction costs. Zbl 1347.91231
Kallsen, Jan; Muhle-Karbe, Johannes
2015
On a Heath-Jarrow-Morton approach for stock options. Zbl 1390.91302
Kallsen, Jan; Krühner, Paul
2015
Asymptotic power utility-based pricing and hedging. Zbl 1308.91142
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard
2014
On the existence of shadow prices. Zbl 1280.91070
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes
2013
On the performance of delta hedging strategies in exponential Lévy models. Zbl 1281.91158
Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd
2013
Pricing options on variance in affine stochastic volatility models. Zbl 1239.91164
Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz
2011
Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668
Kallsen, Jan; Pauwels, Arnd
2011
Existence of shadow prices in finite probability spaces. Zbl 1217.91170
Kallsen, Jan; Muhle-Karbe, Johannes
2011
Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183
Kallsen, Jan; Rheinländer, Thorsten
2011
Method of moment estimation in time-changed Lévy models. Zbl 1215.62086
Kallsen, Jan; Muhle-Karbe, Johannes
2011
On using shadow prices in portfolio optimization with transaction costs. Zbl 1194.91175
Kallsen, J.; Muhle-Karbe, J.
2010
Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Zbl 1185.60045
Kallsen, Jan; Muhle-Karbe, Johannes
2010
Utility maximization in affine stochastic volatility models. Zbl 1198.91192
Kallsen, Jan; Muhle-Karbe, Johannes
2010
Variance-optimal hedging in general affine stochastic volatility models. Zbl 1189.91231
Kallsen, Jan; Pauwels, Arnd
2010
Utility maximization in models with conditionally independent increments. Zbl 1202.91299
Kallsen, J.; Muhle-Karbe, J.
2010
Hedging by sequential regressions revisited. Zbl 1205.91156
Černý, Aleš; Kallsen, Jan
2009
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
2009
COGARCH as a continuous-time limit of GARCH(1,1). Zbl 1172.62025
Kallsen, Jan; Vesenmayer, Bernhard
2009
Option pricing. Zbl 1178.91197
Kallsen, Jan
2009
Mean-variance hedging and optimal investment in Heston’s model with correlation. Zbl 1141.91413
Černý, Aleš; Kallsen, Jan
2008
A counterexample concerning the variance-optimal martingale measure. Zbl 1133.91397
Černý, Aleš; Kallsen, Jan
2008
On the structure of general mean-variance hedging strategies. Zbl 1124.91028
Černý, Aleš; Kallsen, Jan
2007
A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo
2007
Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Zbl 1099.62048
Kallsen, Jan; Tankov, Peter
2006
Variance-optimal hedging for processes with stationary independent increments. Zbl 1189.91206
Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek
2006
A didactic note on affine stochastic volatility models. Zbl 1104.60024
Kallsen, Jan
2006
On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447
Kallsen, Jan; Kühn, Christoph
2006
Pricing derivatives of American and game type in incomplete markets. Zbl 1052.91039
Kallsen, Jan; Kühn, Christoph
2004
A complete explicit solution to the log-optimal portfolio problem. Zbl 1034.60047
Goll, Thomas; Kallsen, Jan
2003
$$\sigma$$-localization and $$\sigma$$-martingales. Zbl 1069.60042
Kallsen, J.
2003
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
2002
Derivative pricing based on local utility maximization. Zbl 1007.91020
Kallsen, Jan
2002
Utility-based derivative pricing in incomplete markets. Zbl 0996.91045
Kallsen, Jan
2002
Time change representation of stochastic integrals. Zbl 1034.60055
Kallsen, J.; Shiryaev, A. N.
2001
Optimal portfolios for logarithmic utility. Zbl 1048.91064
Goll, Thomas; Kallsen, Jan
2000
A utility maximization approach to hedging in incomplete markets. Zbl 0952.91027
Kallsen, Jan
1999
A stochastic differential equation with a unique (up to indistinguishability) but not strong solution. Zbl 0954.60046
Kallsen, Jan
1999
Option pricing in ARCH-type models. Zbl 0911.90028
1998
Semimartingale modelling in finance. Zbl 0937.91059
Kallsen, Jan
1998
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#### 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
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#### 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
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#### 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)

#### Wikidata Timeline

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