Mattias Jonsson

University of Michigan at Ann Arbor - Department of Mathematics

2074 East Hall

530 Church Street

Ann Arbor, MI 48109-1043

United States

SCHOLARLY PAPERS

3

DOWNLOADS

367

SSRN CITATIONS

1

CROSSREF CITATIONS

8

Scholarly Papers (3)

1.

Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures

Number of pages: 25 Posted: 17 Apr 2008
Aytac Ilhan, Mattias Jonsson and Ronnie Sircar
University of Oxford - Mathematical Institute, University of Michigan at Ann Arbor - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 205 (150,885)
Citation 1

Abstract:

Loading...

risk measures, hedging

2.

Option Pricing with an Exponential Effect Function

Number of pages: 14 Posted: 17 Apr 2004
Mattias Jonsson, Jussi Keppo and Xu Meng
University of Michigan at Ann Arbor - Department of Mathematics, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 149 (199,888)
Citation 3

Abstract:

Loading...

3.

Partial Hedging in a Stochastic Volatility Environment

Mathematical Finance, Vol. 12, pp. 375-409, 2002
Number of pages: 35 Posted: 07 Feb 2003
Mattias Jonsson and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 13 (573,211)
Citation 1
  • Add to Cart

Abstract:

Loading...