Stefan Kassberger

Frankfurt School of Finance & Management gemeinnützige GmbH

Sonnemannstraße 9-11

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

6

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Top 45,286

in Total Papers Downloads

918

SSRN CITATIONS

1

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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 gemeinnützige GmbH
Downloads 463 (61,615)

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 gemeinnützige GmbH and Frankfurt School of Finance & Management gemeinnützige GmbH
Downloads 195 (156,940)
Citation 4

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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 gemeinnützige GmbH, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 157 (189,850)

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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 gemeinnützige GmbH and Frankfurt School of Finance & Management gemeinnützige GmbH
Downloads 68 (337,527)
Citation 1

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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 gemeinnützige GmbH and Frankfurt School of Finance & Management gemeinnützige GmbH
Downloads 35 (448,961)

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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 gemeinnützige GmbH and University of Duisburg-Essen - Faculty of Economic Science

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Hedge funds, NIG distribution, Risk management