Sören Christensen

Gothenburg University

Associate Professor

Göteborg, 41296

Sweden

SCHOLARLY PAPERS

5

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CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

A General Verification Result for Stochastic Impulse Control Problems

SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627-649, 2017
Posted: 03 Jul 2016 Last Revised: 02 Sep 2019
Christoph Belak, Sören Christensen and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and University of Trier

Abstract:

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Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls

2.

Utility Maximization in a Factor Model with Constant and Proportional Transaction Costs

Finance and Stochastics, Volume 23, Issue 1, pp. 29-96, 2019.
Posted: 04 May 2016 Last Revised: 15 Jan 2019
Christoph Belak and Sören Christensen
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften and Gothenburg University

Abstract:

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Portfolio optimization, Transaction costs, Superharmonic functions, Viscosity solutions, Impulse control

3.

A Method for Pricing American Options Using Semi‐Infinite Linear Programming

Mathematical Finance, Vol. 24, Issue 1, pp. 156-172, 2014
Number of pages: 17 Posted: 13 Dec 2013
Sören Christensen
Gothenburg University
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American options, optimal stopping, excessive functions, harmonic functions, upper bounds, semi‐infinite linear programming

4.

Worst-Case Optimal Investment with a Random Number of Crashes

Statistics and Probability Letters, Volume 90, pp. 140-148, July 2014.
Posted: 21 Nov 2013 Last Revised: 02 May 2016
Christoph Belak, Sören Christensen and Olaf Menkens
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences

Abstract:

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optimal investment, market crashes, worst-case scenario, financial bubbles

5.

Worst-Case Portfolio Optimization in a Market with Bubbles

International Journal of Theoretical and Applied Finance, Vol. 19, No. 2, 1650009 (36 pages), 2016.
Posted: 04 Sep 2013 Last Revised: 03 May 2016
Christoph Belak, Sören Christensen and Olaf Menkens
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences

Abstract:

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optimal investment, market crashes, worst-case scenario, regime switching, financial bubbles