Carl Lindberg

Chalmers University of Technology

Assistant Professor

Gothenburg

SE-412 96 Goteborg

Sweden

  • Chalmers University of Technology

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SCHOLARLY PAPERS

6

DOWNLOADS

824

TOTAL CITATIONS

1

Scholarly Papers (6)

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1.

The Estimation of the Barndorff-Nielsen and Shephard Model from Daily Data Based on Measures of Trading Intensity

Applied Stochastic Models in Business and Industry, Vol. 24, pp. 277-289, 2008
Number of pages: 13 Posted: 13 Oct 2009 Last Revised: 26 Oct 2009
Carl Lindberg
Chalmers University of Technology
Downloads 213 (298,391)

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Barndorff-Nielsen and Shephard model, generalized hyperbolic distribution, normal inverse Gaussian distribution, number of trades, stochastic volatility, trading intensity

2.

The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model

International Journal of Applied Mathematics & Statistics, Vol. 16, No. M10, pp. 11-37, March 2010
Number of pages: 27 Posted: 11 Oct 2009 Last Revised: 25 Nov 2009
Fred Espen Benth, Martin Groth and Carl Lindberg
University of Oslo, University of Oslo and Chalmers University of Technology
Downloads 173 (360,946)

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stochastic volatility, utility indifference option pricing, risk aversion, Lévy processes

3.

Portfolio Optimization and a Factor Model in a Stochastic Volatility Market

Stochastics, Vol. 78, No. 5, pp. 259-279, October 2006
Number of pages: 21 Posted: 13 Oct 2009 Last Revised: 26 Oct 2009
Carl Lindberg
Chalmers University of Technology
Downloads 155 (396,880)

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Stochastic control, Portfolio optimization, Verification theorem, Feynman-Kac formula, Stochastic volatility, Non-Gaussian Ornstein-Uhlenbeck process

4.

Portfolio Optimization When Expected Stock Returns are Determined by Exposure to Risk

Bernoulli, Vol. 15, No. 2, pp. 464-474, 2009
Number of pages: 11 Posted: 13 Oct 2009 Last Revised: 26 Oct 2009
Carl Lindberg
Chalmers University of Technology
Downloads 149 (409,956)

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1/ n strategy, Black–Scholes model, expected stock returns, Markowitz' problem, portfolio optimization, ranks

5.

Optimal Liquidation of a Call Spread

Number of pages: 9 Posted: 11 Oct 2009
Erik Ekström, Carl Lindberg, Johan Tysk and Henrik Wanntorp
The University of Manchester, Chalmers University of Technology, Uppsala University and affiliation not provided to SSRN
Downloads 97 (567,279)
Citation 1

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optimal stopping, call spread, Bachelier model

6.

News-Generated Dependence and Optimal Portfolios for N Stocks in a Market of Barndorff-Nielsen and Shephard Type

Mathematical Finance, Vol. 16, No. 3, pp. 549-568, July 2006
Number of pages: 20 Posted: 13 Oct 2009 Last Revised: 26 Oct 2009
Carl Lindberg
Chalmers University of Technology
Downloads 37 (913,965)

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Portfolio optimization, stochastic volatility, verification theorem, Feynman-Kac formula, non-Gaussian Ornstein–Uhlenbeck process, news-generated dependence