Jan Kallsen

Munich University of Technology

Arcisstrasse 21

Munich, DE 80333

Germany

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,544

SSRN RANKINGS

Top 29,544

in Total Papers Downloads

3,205

SSRN CITATIONS
Rank 13,597

SSRN RANKINGS

Top 13,597

in Total Papers Citations

10

CROSSREF CITATIONS

99

Scholarly Papers (7)

1.

Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Mathematical Finance, 2008, 18(3), 473-492
Number of pages: 19 Posted: 20 Mar 2008 Last Revised: 22 Sep 2022
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 964 (44,750)
Citation 8

Abstract:

Loading...

mean-variance hedging, stochastic volatility, opportunity-neutral measure, leverage effect, Heston's model, affine process, option pricing, optimal investment

2.

On the Structure of General Mean-Variance Hedging Strategies

The Annals of Probability, 2007, 35(4), 1479-1531
Number of pages: 51 Posted: 03 May 2005 Last Revised: 22 Jun 2020
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 776 (60,231)
Citation 9

Abstract:

Loading...

mean-variance hedging, opportunity process, opportunity-neutral measure, incomplete market, Sharpe ratio, semimartingales

3.

Hedging by Sequential Regressions Revisited

Mathematical Finance, 2009, 19(4), 591-617
Number of pages: 27 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 598 (84,023)
Citation 2

Abstract:

Loading...

option, hedging, CAPM, sequential regression, opportunity-neutral measure

4.

A Counterexample Concerning the Variance-Optimal Martingale Measure

Mathematical Finance, 2008, 18(2), 305-316
Number of pages: 13 Posted: 03 Jul 2006 Last Revised: 22 Jun 2020
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 357 (155,146)
Citation 4

Abstract:

Loading...

variance-optimal martingale measure, duality, counterexample

5.

Option Pricing and Hedging with Small Transaction Costs

Swiss Finance Institute Research Paper No. 12-30
Number of pages: 23 Posted: 18 Sep 2012 Last Revised: 20 Dec 2012
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 229 (244,692)
Citation 1

Abstract:

Loading...

transaction costs, indifference pricing and hedging, exponential utility, asymptotics

6.

The General Structure of Optimal Investment and Consumption with Small Transaction Costs

Swiss Finance Institute Research Paper No. 13-15
Number of pages: 41 Posted: 09 Apr 2013 Last Revised: 16 May 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 191 (289,458)
Citation 10

Abstract:

Loading...

transaction costs, optimal investment and consumption, trading volume, asymptotics

7.

High-Resilience Limits of Block-Shaped Order Books

Swiss Finance Institute Research Paper No. 14-72
Number of pages: 12 Posted: 27 Sep 2014
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 90 (518,101)
Citation 5

Abstract:

Loading...

Limit order books; price impact; high-resilience limit