Angelika Esser

Sal. Oppenheim Jr. & Cie.

Untermainanlage 1

Frankfurt, 60329

Germany

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,295

SSRN RANKINGS

Top 29,295

in Total Papers Downloads

1,549

CITATIONS

4

Scholarly Papers (7)

1.

Derivatives Written on a Power of the Stock Price: General Valuation Principles and Application to Stochastic Volatility Models

EFMA 2003 Helsinki Meetings
Number of pages: 24 Posted: 05 May 2003
Angelika Esser
Sal. Oppenheim Jr. & Cie.
Downloads 571 (46,538)
Citation 2

Abstract:

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2.

Modeling Feedback Effects with Stochastic Liquidity

EFMA 2003 Helsinki Meetings
Number of pages: 23 Posted: 14 Jun 2003
Angelika Esser and Burkart Mönch
Sal. Oppenheim Jr. & Cie. and affiliation not provided to SSRN
Downloads 262 (115,783)
Citation 3

Abstract:

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stochastic liquidity, large trader, liquidity derivative

3.

Modelling Feedback Effects with Stochastic Liquidity

Number of pages: 23 Posted: 18 Mar 2002
Angelika Esser and Burkart Mönch
Sal. Oppenheim Jr. & Cie. and affiliation not provided to SSRN
Downloads 251 (121,032)

Abstract:

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illiquid markets, large trader models, feedback-effect, stochastic liquidity, asset price process, hedging error

4.

Mean-Variance Hedging with Limited Capital - a Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 210 (144,222)

Abstract:

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Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

5.

When are Static Superhedging Strategies Optimal?

EFMA 2004 Basel Meetings Paper
Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 139 (206,812)

Abstract:

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Incomplete markets, superhedging, stochastic volatility, stochastic jumps

6.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 116 (237,732)

Abstract:

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Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

7.

General Valuation Principles for Arbitrary Payoffs and Applications to Power Options Under Stochastic Volatility

Financial Markets and Portfolio Management, Vol. 17, No. 3, pp. 351-372, 2003
Posted: 12 Sep 2005
Angelika Esser
Sal. Oppenheim Jr. & Cie.

Abstract:

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