Jan Kallsen

Finance · 2000–2010

A researcher in the Science corpus: 16 papers; trusts 48 researchers and is trusted by 45 researchers here, as inferred from the citation graph.

Subfields

• Finance — 91 citations into it; #710 of 10,518 by trust here, #1,277 by citations
• Economics and Econometrics — 68 citations into it; #10,016 of 23,481 by trust here, #9,259 by citations
• Management Science and Operations Research — 24 citations into it; #899 of 11,946 by trust here, #1,794 by citations
• Demography — 8 citations into it; #442 of 4,236 by trust here, #1,200 by citations
• Statistics and Probability — 5 citations into it; #9,237 of 12,932 by trust here, #11,487 by citations

Whom Jan Kallsen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Peter P. Carr
2. Ole E. Barndorff-Nielsen
3. Wim Schoutens
4. Sebastian Raible
5. Thomas Goll
6. Damir Filipovi'c
7. N. Shephard
8. Dmitry O. Kramkov
9. Liuren Wu
10. Walter Schachermayer

Who trusts Jan Kallsen overall

1. Peter Tankov
2. Johannes Muhle‐Karbe
3. Ernst Eberlein
4. Ole E. Barndorff-Nielsen
5. Fred Espen Benth
6. Thomas Goll
7. Claudia Klüppelberg
8. K. Böcker
9. Ales Cerný
10. St'ephane Cr'epey

Papers from Jan Kallsen's perspective

Ordered by how strongly the researchers Jan Kallsen trusts endorse each paper. Same corpus, a different order for every researcher.

1. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
2. Generalized autoregressive conditional heteroskedasticity
3. Time-Changed Levy Processes and Option Pricing ⁄
4. The Variance Gamma Process and Option Pricing
5. Exponential Hedging and Entropic Penalties
6. Processes of normal inverse Gaussian type
7. Optimal investment in incomplete markets when wealth may become negative
8. On the Existence of Minimax Martingale Measures
9. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
10. Tempering stable processes

Their papers

• Risk management based on stochastic volatility (2003) — 71 citations
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006) — 222 citations
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007) — 257 citations
• Optimal portfolios for logarithmic utility (2000) — 161 citations
• A Complete Explicit Solution to the Log-Optimal Portfolio Problem (2003) — 142 citations
• On using shadow prices in portfolio optimization with transaction costs (2010) — 113 citations
• Utility-Based Derivative Pricing in Incomplete Markets (2002) — 66 citations
• On the Structure of General Mean-Variance Hedging Strategies (2007) — 141 citations
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes (2010) — 79 citations
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010) — 60 citations
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010) — 47 citations
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (2008) — 47 citations
• Variance-Optimal Hedging for Processes with Stationary Independent Increments (2006) — 126 citations
• A Didactic Note on Affine Stochastic Volatility Models (2006) — 107 citations
• Convertible Bonds: Financial Derivatives of Game Type (2005) — 51 citations
• Time Change Representation of Stochastic Integrals (2002) — 96 citations