Carl Lindberg

Chalmers University of Technology

Assistant Professor

Gothenburg

SE-412 96 Goteborg

Sweden

SCHOLARLY PAPERS

6

DOWNLOADS

727

SSRN CITATIONS

1

CROSSREF CITATIONS

9

Scholarly Papers (6)

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 170 (320,219)

Abstract:

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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 155 (346,300)

Abstract:

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

3.

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 142 (371,825)

Abstract:

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

4.

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 140 (375,952)

Abstract:

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

5.

Optimal Liquidation of a Call Spread

Number of pages: 9 Posted: 11 Oct 2009
The University of Manchester, Chalmers University of Technology, Uppsala University and affiliation not provided to SSRN
Downloads 89 (520,775)
Citation 1

Abstract:

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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 31 (841,428)

Abstract:

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