Jan Kallsen

Munich University of Technology

Arcisstrasse 21

Munich, DE 80333

Germany

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 18,559

SSRN RANKINGS

Top 18,559

in Total Papers Downloads

2,883

SSRN CITATIONS
Rank 10,439

SSRN RANKINGS

Top 10,439

in Total Papers Citations

10

CROSSREF CITATIONS

99

Scholarly Papers (10)

1.

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

Mathematical Finance, 2008, 18(3), 473-492
Number of pages: 24 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Aleš Černý and Jan Kallsen
The Business School (formerly Cass), City, University of London and Munich University of Technology
Downloads 869 (29,793)
Citation 6

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
The Business School (formerly Cass), City, University of London and Munich University of Technology
Downloads 733 (37,661)
Citation 4

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
The Business School (formerly Cass), City, University of London and Munich University of Technology
Downloads 534 (57,056)
Citation 4

Abstract:

Loading...

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

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
The Business School (formerly Cass), City, University of London and Munich University of Technology
Downloads 317 (105,073)
Citation 1

Abstract:

Loading...

variance-optimal martingale measure, duality, counterexample

A Counterexample Concerning the Variance-Optimal Martingale Measure

Mathematical Finance, Vol. 18, Issue 2, pp. 305-316, April 2008
Number of pages: 12 Posted: 12 Mar 2008
Aleš Černý and Jan Kallsen
The Business School (formerly Cass), City, University of London and Munich University of Technology
Downloads 9 (675,345)
  • Add to Cart

Abstract:

Loading...

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 196 (171,086)
Citation 1

Abstract:

Loading...

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

Option Pricing and Hedging with Small Transaction Costs

Mathematical Finance, Vol. 25, Issue 4, pp. 702-723, 2015
Number of pages: 22 Posted: 14 Sep 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Loading...

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

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 161 (203,694)
Citation 10

Abstract:

Loading...

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

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

Mathematical Finance, Vol. 27, Issue 3, pp. 659-703, 2017
Number of pages: 45 Posted: 15 Jun 2017
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 0
Citation 1
  • Add to Cart

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 58 (398,787)
Citation 4

Abstract:

Loading...

Limit order books; price impact; high-resilience limit

8.

Pricing Options on Variance in Affine Stochastic Volatility Models

Mathematical Finance, Vol. 21, Issue 4, pp. 627-641, 2011
Number of pages: 15 Posted: 23 Aug 2011
Munich University of Technology, University of Michigan at Ann Arbor and affiliation not provided to SSRN
Downloads 2 (703,191)
Citation 2
  • Add to Cart

Abstract:

Loading...

quadratic variation, realized variance, volatility swap, affine process, stochastic volatility, leverage effect, Laplace transform approach

9.

Hedging by Sequential Regressions Revisited

Mathematical Finance, Vol. 19, Issue 4, pp. 591-617, October 2009
Number of pages: 27 Posted: 21 Oct 2009
Aleš Černý and Jan Kallsen
affiliation not provided to SSRN and Munich University of Technology
Downloads 2 (703,191)
  • Add to Cart

Abstract:

Loading...

10.

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

Mathematical Finance, Vol. 18, Issue 3, pp. 473-492, July 2008
Number of pages: 20 Posted: 16 Jun 2008
Alea Cerný and Jan Kallsen
affiliation not provided to SSRN and Munich University of Technology
Downloads 2 (703,191)
  • Add to Cart

Abstract:

Loading...