10 citations · 20 across the 7 of their papers we have counts for
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q-fin.PR2014
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…
q-fin.PR2013★ 5 cited
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…