Concepedia

Jan Kallsen

JK

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Publications

35

Citations

2.3K

H-Index

25

Active since

1998

Affiliations

Christian-Albrechts-Universität zu Kiel(Current)

University of Freiburg

City, University of London

Technical University of Munich

Munich University of Applied Sciences

Jan Kallsen is an author at Christian-Albrechts-Universität zu Kiel specializing in financial economics, finance, and stochastic processes.

Publications per year

1998–2015

35

Publications

35

The cumulant process and Esscher's change of measure

Jan Kallsen, Albert N. Shiryaev · Finance and Stochastics · 2002 · 295 citations · Full text

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A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Fred Espen Benth, Jan Kallsen, Thilo Meyer‐Brandis · Applied Mathematical Finance · 2007 · 259 citations · Full text

, , +17

Characterization of dependence of multidimensional Lévy processes using Lévy copulas

Jan Kallsen, Peter Tankov · Journal of Multivariate Analysis · 2006 · 214 citations · Full text

, , +11

Optimal portfolios for logarithmic utility

Thomas Goll, Jan Kallsen · Stochastic Processes and their Applications · 2000 · 151 citations

, , +14

Optimal portfolios for exponential Lévy processes

Jan Kallsen · Mathematical Methods of Operations Research · 2000 · 142 citations

, , +14

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