95 citations · 324 across the 10 of their papers we have counts for
16 papers
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
Aleš Černý, Christoph Czichowsky, Jan Kallsen
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numerair…
Are American options European after all?
Sören Christensen, Jan Kallsen, Matthias Lenga
We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide…
On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria
Jan Kallsen, Paul Krühner
The dynamics of a Markov process are often specified by its infinitesimal generator or, equivalently, its symbol. This paper contains examples of analytic symbols which do not dete…
High-Resilience Limits of Block-Shaped Order Books
Jan Kallsen, Johannes Muhle-Karbe
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the res…
Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach
Jan Kallsen, Shen Li
We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen an…
Hedging in Lévy Models and the Time Step Equivalent of Jumps
Aleš Černý, Stephan Denkl, Jan Kallsen
We consider option hedging in a model where the underlying follows an exponential Lévy process. We derive approximations to the variance-optimal and to some suboptimal strategies a…