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Jan Kallsen

Identifiers

  • name variant Jan Kallsen 0.60 · backfill

Papers (15)

  1. Parameter Estimation for Partially Observed Affine and Polynomial Processes math.ST · 2025 · author #1
  2. Optimal linear filtering of partially observed polynomial processes in discrete and continuous time math.PR · 2025 · author #1
  3. High-Resilience Limits of Block-Shaped Order Books q-fin.TR · 2014 · author #1
  4. Hedging in L\'evy Models and the Time Step Equivalent of Jumps q-fin.CP · 2013 · author #3
  5. Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach q-fin.PM · 2013 · author #1
  6. On a Heath-Jarrow-Morton approach for stock options q-fin.PR · 2013 · author #1
  7. The General Structure of Optimal Investment and Consumption with Small Transaction Costs q-fin.PM · 2013 · author #1
  8. Option Pricing and Hedging with Small Transaction Costs q-fin.PR · 2012 · author #1
  9. On the Existence of Shadow Prices q-fin.PM · 2011 · author #3
  10. Asymptotic Power Utility-Based Pricing and Hedging q-fin.PM · 2009 · author #1
  11. On the Performance of Delta Hedging Strategies in Exponential L\'evy Models q-fin.CP · 2009 · author #3
  12. Existence of Shadow Prices in Finite Probability Spaces q-fin.PM · 2009 · author #1
  13. Utility maximization in models with conditionally independent increments q-fin.PM · 2009 · author #1
  14. On the Structure of General Mean-Variance Hedging Strategies q-fin.PM · 2007 · author #2
  15. Variance-optimal hedging for processes with stationary independent increments math.PR · 2006 · author #2

Mentions

  • 2503.05590 #1 · arxiv_oai · confidence 0.70 Jan Kallsen
  • 2503.05588 #1 · arxiv_oai · confidence 0.70 Jan Kallsen
  • 1409.7269 #1 · backfill · confidence 0.70 Jan Kallsen
  • 1309.7833 #3 · backfill · confidence 0.70 Jan Kallsen
  • 1309.3479 #1 · backfill · confidence 0.70 Jan Kallsen
  • 1305.5621 #1 · backfill · confidence 0.70 Jan Kallsen
  • 1303.3148 #1 · backfill · confidence 0.70 Jan Kallsen
  • 1209.2555 #1 · backfill · confidence 0.70 Jan Kallsen
  • 1111.6633 #3 · backfill · confidence 0.70 Jan Kallsen
  • 0912.3362 #1 · backfill · confidence 0.70 Jan Kallsen
  • 0911.4859 #3 · backfill · confidence 0.70 Jan Kallsen
  • 0911.4801 #1 · backfill · confidence 0.70 Jan Kallsen
  • 0911.3608 #1 · backfill · confidence 0.70 Jan Kallsen
  • 0708.1715 #2 · backfill · confidence 0.70 Jan Kallsen

Frequent Coauthors