Thomas Liebmann

Frankfurt School of Finance & Management

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

382

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

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 (250,160)
Citation 4

Abstract:

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

2.

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 (527,094)
Citation 2

Abstract:

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Path dependence, optimal payoff, risk aversion, Esscher transform

3.

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 (675,012)

Abstract:

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