Stefan Kassberger

Frankfurt School of Finance & Management

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

1,109

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Efficient Portfolio Optimization in the Multivariate Generalized Hyperbolic Framework

Number of pages: 24 Posted: 12 Dec 2007
Stefan Kassberger
Frankfurt School of Finance & Management
Downloads 510 (105,747)

Abstract:

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Portfolio optimization, robust optimization, asset allocation, risk management, multivariate Generalized Hyperbolic distribution, Conditional Value at Risk, Worst Case Conditional Value at Risk

2.

q-Optimal Martingale Measures for Exponential Lévy Processes

Number of pages: 47 Posted: 03 Mar 2008
Stefan Kassberger and Thomas Liebmann
Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 231 (249,976)
Citation 4

Abstract:

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Exponential Lévy process, time-changed Lévy process, q-optimal equivalent martingale measure, minimal generalized relative entropy

3.

Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk

Number of pages: 22 Posted: 15 Sep 2010 Last Revised: 08 Oct 2015
Stefan Kassberger, Martin Hellmich and Wolfgang M. Schmidt
Frankfurt School of Finance & Management, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 217 (265,230)

Abstract:

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credit default, structural model, credit default swap, hyper-exponential jump diffusion, spectrally negative Kou process, entropy-based calibration

4.

When are Path-Dependent Payoffs Suboptimal?

Number of pages: 11 Posted: 08 Dec 2009
Stefan Kassberger and Thomas Liebmann
Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 92 (526,519)
Citation 2

Abstract:

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Path dependence, optimal payoff, risk aversion, Esscher transform

5.

Utility-Efficient Payoffs

Number of pages: 28 Posted: 28 Oct 2014
Stefan Kassberger and Thomas Liebmann
Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 59 (674,378)

Abstract:

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Utility-efficient payoffs, cost-efficient payoffs, utility optimisation, statistical arbitrage

6.

A Fully Parametric Approach to Return Modelling and Risk Management of Hedge Funds

Financial Markets and Portfolio Management, Vol. 20, No. 4, pp. 472-491, 2006
Posted: 23 Jan 2007
Stefan Kassberger and Ruediger Kiesel
Frankfurt School of Finance & Management and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

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Hedge funds, NIG distribution, Risk management