Person: Kohlmann, Michael
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Kohlmann
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Michael
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- PublicationJournal articleA Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market(2013) Kohlmann, Michael; Dewen, Xiong; Siyuan, LiPublished in: Stochastic Analysis and Applications ; 31 (2013), 4. - pp. 632-662. - ISSN 0736-2994. - eISSN 1532-9356
- PublicationJournal articleModeling the forward CDS spreads with jumps(2012) Xiong, Dewen; Kohlmann, MichaelPublished in: Stochastic Analysis and Applications ; 30 (2012), 3. - pp. 375-402. - ISSN 0736-2994
- PublicationJournal articleDefaultable Bond Markets with Jumps(2012) Xiong, Dewen; Kohlmann, MichaelPublished in: Stochastic Analysis and Applications ; 30 (2012), 2. - pp. 285-321. - ISSN 0736-2994
- PublicationContribution to a collectionJump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems(2011) Kohlmann, Michael; Xiong, DewenPublished in: Stochastic analysis, stochastic systems, and applications to finance / Tsoi, Allanus et al. (ed.). - Singapore [u.a.] : World Scientific, 2011. - pp. 145-192. - ISBN 978-981-4355-70-4
- PublicationJournal articleThe Compatible Bond-Stock Market With Jumps(2011) Xiong, Dewen; Kohlmann, MichaelPublished in: International Journal of Theoretical and Applied Finance ; 14 (2011), 05. - pp. 723-755. - ISSN 0219-0249
- PublicationJournal articleAn S-related DCV generated by a convex function in a jump market(2010) Xiong, Dewen; Kohlmann, MichaelPublished in: Stochastic analysis and applications ; 28 (2010), 2. - pp. 202-225
- PublicationJournal articleMean variance hedging in a general jump model(2010) Kohlmann, Michael; Xiong, Dewen; Ye, ZhongxingPublished in: Applied mathematical finance ; 17 (2010), 1. - pp. 29-57
- PublicationJournal articleThe S-related dynamic convex valuation in the brownian motion setting(2010) Kohlmann, Michael; Xiong, DewenPublished in: Stochastic analysis and applications ; 28 (2010), 2. - pp. 171-189
- PublicationJournal articleThe mean-variance hedging in a bond market with jumps(2010) Xiong, Dewen; Kohlmann, MichaelPublished in: Stochastic analysis and applications ; 28 (2010), 5. - pp. 793-819
- PublicationJournal articleMean variance hedging in a general jump market(2010) Xiong, Dewen; Kohlmann, MichaelPublished in: International journal of theoretical and applied finance ; 13 (2010), 5. - pp. 789-820