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Martin Klimmek

7 papers hereh-index 5175 citations13 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author2
  • last author5

Across the 7 of 7 papers where every author was matched, so the position is known.

fields
  • math.PR5
  • q-fin.PR2

identity via Semantic Scholar / OpenAlex

activity
20102013
most citedMaximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps

7 citations · 7 across the 7 of their papers we have counts for

collaborators
Showing 2011Show all

1 paper · 1 filter

q-fin.PR2011

Model independent hedging strategies for variance swaps

David Hobson, Martin Klimmek

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuou…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.