Olaf Menkens

Dublin City University - School of Mathematical Sciences

Dublin

Ireland

SCHOLARLY PAPERS

11

DOWNLOADS

743

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (11)

1.

Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus

Mathematical Methods of Operations Research, Volume 74, Number 1, pp. 93-120, 2011
Number of pages: 39 Posted: 30 Jun 2009 Last Revised: 16 Sep 2013
Southern University of Science and Technology - Department of Finance, University of Glasgow and Dublin City University - School of Mathematical Sciences
Downloads 323 (92,958)
Citation 1

Abstract:

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Asian options, option pricing, hedging, Malliavin calculus

2.

Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash

In: K. Glau et al. (eds.) Innovations in Quantitative Risk Management, Springer Proceedings in Mathematics & Statistics, vol. 99, pp. 267-288, (2015).
Number of pages: 23 Posted: 19 Feb 2014 Last Revised: 13 Mar 2015
Olaf Menkens
Dublin City University - School of Mathematical Sciences
Downloads 107 (253,078)
Citation 2

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Optimal portfolios, crash modelling, worst--case scenario, Value at Risk, $q$--quantile crash hedging strategy, efficiency, deterministic portfolio strategies, geometric interpretation of the crash hedging strategy.

3.

Worst-Case-Optimal Dynamic Reinsurance for Large Claims

European Actuarial Journal, Volume 2, Number 1, pp. 21-48, July 2012
Number of pages: 35 Posted: 03 Apr 2012 Last Revised: 16 Sep 2013
Mogens Steffensen, Ralf Korn and Olaf Menkens
University of Copenhagen, University of Kaiserslautern - Department of Mathematics and Dublin City University - School of Mathematical Sciences
Downloads 92 (279,778)
Citation 1

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dynamic proportional reinsurance, reserve process, worst–case scenario approach, Cramer–Lundberg model, differential game, robust optimization

4.

Costs and Benefits of Crash Hedging

Number of pages: 31 Posted: 18 Feb 2014 Last Revised: 16 Mar 2014
Olaf Menkens
Dublin City University - School of Mathematical Sciences
Downloads 83 (298,462)
Citation 3

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optimal portfolios, crash modelling, worst-case scenario, efficiency, costs and benefits of crash hedging, portfolio insurance, break even crash sizes, logarithmic utility

5.

Pricing and Hedging of European Plain Vanilla Options under Jump Uncertainty

Number of pages: 45 Posted: 03 May 2016 Last Revised: 12 Jun 2016
Olaf Menkens
Dublin City University - School of Mathematical Sciences
Downloads 74 (319,334)
Citation 1

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European Plain Vanilla Option Pricing, Superhedging, Jump Uncertainty, Worst-Case Scenarios

6.

Pricing Contingent Claims under Jump Uncertainty

Number of pages: 33 Posted: 03 May 2016 Last Revised: 29 Jan 2017
Christoph Belak and Olaf Menkens
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften and Dublin City University - School of Mathematical Sciences
Downloads 64 (345,329)
Citation 1

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Option Pricing, Superhedging, Jump Uncertainty, Worst-Case Scenarios, Constrained BSDEs, Viscosity Solutions

7.

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
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences

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

8.

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
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences

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

9.

On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs

SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878-2897, 2015.
Posted: 23 Aug 2013 Last Revised: 03 May 2016
Christoph Belak, Olaf Menkens and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Dublin City University - School of Mathematical Sciences and University of Kaiserslautern - Department of Mathematics

Abstract:

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unbounded viscosity solutions, comparison principle, optimal terminal wealth, transaction costs

10.

Worst-Case Portfolio Optimization with Proportional Transaction Costs

Stochastics An International Journal of Probability and Stochastic Processes, Volume 87, Issue 4, pp. 623-663, 2015
Posted: 29 Jan 2013 Last Revised: 03 May 2016
Christoph Belak, Olaf Menkens and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Dublin City University - School of Mathematical Sciences and University of Kaiserslautern - Department of Mathematics

Abstract:

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Portfolio optimization, worst-case scenarios, crash modeling, transaction costs, dynamic programming, viscosity solutions

11.

Asian and Australian options: A common perspective

Journal of Economic Dynamics and Control, Vol. 37, No. 5, 2013
Posted: 09 Sep 2009 Last Revised: 17 Sep 2013
University of Glasgow, Dublin City University - School of Mathematical Sciences and The University of Sydney

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Asset pricing, Derivatives, Asian Options, Numerical Methods