Ralf Korn

University of Kaiserslautern - Department of Mathematics

D-67653 Kaiserslautern

Germany

SCHOLARLY PAPERS

20

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2,177

SSRN CITATIONS
Rank 23,866

SSRN RANKINGS

Top 23,866

in Total Papers Citations

11

CROSSREF CITATIONS

29

Scholarly Papers (20)

1.

Multi-Asset Spot and Option Market Simulation

Number of pages: 21 Posted: 05 Feb 2022
University of Kaiserslautern - Department of Mathematics, JP Morgan Chase, J.P. Morgan Chase & Co., University of Kaiserslautern - Department of Mathematics, JP Morgan, J.P. Morgan Chase & Co. and JP Morgan
Downloads 471 (87,511)

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volatility surface, generative modeling, mathematical finance, time series, neural networks, options, normalizing flows, multi-asset markets, generative adversarial networks, autoencoder, copulas, risk management, hedging

2.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
University of Lausanne, University of Wisconsin-Madison, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Kaiserslautern - Department of Mathematics, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Muenster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 349 (123,387)
Citation 4

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

Continuous-Time Delegated Portfolio Management with Homogeneous Expectations: Can an Agency Conflict Be Avoided?

Number of pages: 28 Posted: 14 Feb 2005
Holger Kraft and Ralf Korn
Goethe University Frankfurt and University of Kaiserslautern - Department of Mathematics
Downloads 245 (176,837)
Citation 2

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delegated portfolio decision, Merton's portfolio problem, principal-agent theory, quadratic contract, exchange option, growth optimal portfolio

Continuous-Time Delegated Portfolio Management with Homogeneous Expectations: Can an Agency Conflict be Avoided?

Financial Markets and Portfolio Management, Vol. 22, No. 1, pp. 67-90, 2008
Posted: 02 Apr 2008
Holger Kraft and Ralf Korn
Goethe University Frankfurt and University of Kaiserslautern - Department of Mathematics

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Delegated portfolio decision, Merton's portfolio problem, Principal-agent theory, Quadratic contract, Exchange option, Growth optimal portfolio

4.

Stochastic Impulse Control with Regime-Switching Dynamics

Number of pages: 43 Posted: 08 Apr 2015 Last Revised: 02 Jan 2017
University of Kaiserslautern - Department of Mathematics, affiliation not provided to SSRN and University of Trier
Downloads 203 (211,909)

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Control, Product Life Cycle, Stochastic Impulse Control, Intervention Costs, Regime Shifts

5.

Worst-Case Consumption-Portfolio Optimization

Number of pages: 30 Posted: 26 Mar 2013
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 157 (266,975)
Citation 6

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worst-case, crash, portfolio, consumption, verification

6.

Optimal Portfolios with Fixed Consumption or Income Streams

Number of pages: 24 Posted: 19 Oct 2006
Ralf Korn and Martin Krekel
University of Kaiserslautern - Department of Mathematics and UniCredit Bank AG
Downloads 144 (283,221)
Citation 2

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Portfolio Optimisation, Stochastic Control, HJB Equation

7.

Pricing Barrier Options in the Heston Model Using the Heath-Platen Estimator

Number of pages: 16 Posted: 09 Oct 2017 Last Revised: 06 Feb 2018
Sema Coskun and Ralf Korn
University of Koblenz, Mathematical Institute and University of Kaiserslautern - Department of Mathematics
Downloads 114 (337,026)
Citation 3

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Barrier option pricing, Heston stochastic volatility model, Heath-Platen estimator

8.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 112 (341,228)
Citation 1

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worst-case, crash scenario, robust optimization, Knightian uncertainty, efficiency, min-max approach

9.

Worst-Case-Optimal Dynamic Reinsurance for Large Claims

European Actuarial Journal, Volume 2, Number 1, pp. 21-48, July 2012
Number of pages: 35 Posted: 03 Apr 2012 Last Revised: 16 Sep 2013
University of Copenhagen, University of Kaiserslautern - Department of Mathematics and Dublin City University - School of Mathematical Sciences
Downloads 103 (361,078)
Citation 1

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dynamic proportional reinsurance, reserve process, worst–case scenario approach, Cramer–Lundberg model, differential game, robust optimization

10.

Can Outstanding Dividend Payments Be Estimated by American Options?

Number of pages: 27 Posted: 24 Feb 2017 Last Revised: 10 Jun 2017
Sascha Desmettre, Sarah Grün and Ralf Korn
Johannes Kepler University Linz, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Downloads 82 (415,891)

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discrete dividends, no-arbitrage bounds, least squares estimator, American options

Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model

Number of pages: 18 Posted: 09 Oct 2017
Sema Coskun, Ralf Korn and Sascha Desmettre
University of Koblenz, Mathematical Institute, University of Kaiserslautern - Department of Mathematics and Johannes Kepler University Linz
Downloads 71 (456,311)

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Fong-Vasicek Model, Monte Carlo Method, Heath-Platen Estimator

Application of the Heath–Platen Estimator in the Fong–Vasicek Short Rate Model

Journal of Computational Finance, Forthcoming
Number of pages: 24 Posted: 24 May 2019
Sema Coskun, Ralf Korn and Sascha Desmettre
University of Koblenz, Mathematical Institute, University of Kaiserslautern - Department of Mathematics and Johannes Kepler University Linz
Downloads 2 (936,535)
Citation 1
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Fong–Vasicek (FV) model, Monte Carlo method, Heath–Platen (HP) estimator, variance reduction, bond option pricing

12.

Portfolio Optimization with Early Announced Discrete Dividends

Number of pages: 13 Posted: 13 Feb 2018
Sascha Desmettre, Sarah Grün and Ralf Korn
Johannes Kepler University Linz, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Downloads 58 (498,777)
Citation 1

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discrete dividends, optimal portfolios, early announcement

13.

On the Stability of Continuous-Time Portfolio Problems with Stochastic Opportunity Set

Number of pages: 12 Posted: 23 Jul 2004
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt
Downloads 39 (587,175)
Citation 2

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Optimal portfolios, stochastic interest rate, Cox-Ingersoll-Ross model, stochastic volatility, Heston model, stochastic market price of risk

14.

A Mean-Field Game Model for Optimal Trading at the Intraday Electricity Market

Number of pages: 23 Posted: 20 Jan 2022
Sema Coskun and Ralf Korn
University of Koblenz, Mathematical Institute and University of Kaiserslautern - Department of Mathematics
Downloads 26 (668,072)

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Mean-field games, optimal trading, electricity markets

15.

Optimal Consumption and Investment for a Large Investor: An Intensity‐Based Control Framework

Mathematical Finance, Vol. 23, Issue 4, pp. 687-717, 2013
Number of pages: 31 Posted: 06 Aug 2013
University of Kaiserslautern, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 1 (912,171)

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optimal consumption and investment, large investor, market manipulation, regime‐shift model

16.

Optimal Management and Inflation Protection for Defined Contribution Pension Plans

Posted: 29 Mar 2007
University of Leicester - Department of Mathematics, University of Kaiserslautern - Department of Mathematics and University of Glasgow

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Pension mathematics, inflation, long-term investment

Optimal Portfolios with Defaultable Securities: A Firm Value Approach

Posted: 10 Mar 2002
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt

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Optimal Portfolios with Defaultable Securities: A Firm Value Approach

Posted: 19 Feb 2005
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt

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18.

Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

Posted: 25 Jan 2001
Ralf Korn
University of Kaiserslautern - Department of Mathematics

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19.

Optimal Control of Option Portfolios and Applications

Posted: 31 Mar 1999
Ralf Korn and Siegfried Trautmann
University of Kaiserslautern - Department of Mathematics and Johannes Gutenberg University Mainz - Faculty of Law and Economics

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20.

Value Preserving Portfolio Strategies and the Minimal Martingale Measure

Posted: 19 Jul 1998
Ralf Korn
University of Kaiserslautern - Department of Mathematics

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