Christian Kahl

University of Wuppertal

Gaußstraße 20

42097 Wuppertal

Germany

ABN-Amro Bank, United Kingdom

London EC2N 4BN

United Kingdom

  • University of Wuppertal

  • ABN-Amro Bank, United Kingdom

SCHOLARLY PAPERS

3

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5

CROSSREF CITATIONS

85

Scholarly Papers (3)

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1.

Optimal Fourier Inversion in Semi-Analytical Option Pricing

Tinbergen Institute Discussion Paper No. 2006-066/2
Number of pages: 21 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 1,386 (15,604)
Citation 19

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Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations

2.

Complex Logarithms in Heston-Like Models

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Citation 35

Complex Logarithms in Heston-Like Models

Number of pages: 30 Posted: 17 Mar 2008
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 926 (27,975)
Citation 5

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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, option pricing, Fourier inversion, Variance Gamma, Schöbel-Zhu,exact simulation

Complex Logarithms in Heston-Like Models

Mathematical Finance, Vol. 20, Issue 4, pp. 671-694, October 2010
Number of pages: 24 Posted: 27 Sep 2010
Roger Lord and Christian Kahl
Cardano Risk Management and
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Citation 2
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3.

Why the Rotation Count Algorithm Works

Tinbergen Institute Discussion Paper No. 2006-065/2
Number of pages: 33 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 907 (29,265)
Citation 13

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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, moment stability, option pricing