10 citations · 20 across the 7 of their papers we have counts for
7 papers
Maximising with-profit pensions without guarantees
M. Carmen Boado-Penas, Julia Eisenberg, Paul Krühner
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing th…
Brownian trading excursions and avalanches
Friedrich Hubalek, Paul Krühner, Thorsten Rheinländer
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-be…
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…
Derivatives pricing in energy markets: an infinite dimensional approach
Fred Espen Benth, Paul Krühner
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical eviden…
Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explic…
Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth, Paul Krühner
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipović. The forward d…
On a Heath-Jarrow-Morton approach for stock options
Jan Kallsen, Paul Krühner
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and…