Research output per year
Research output per year
- 19 results
Search results
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2024
Abstract polynomial processes
Benth, F., Detering, N. & Krühner, P., 2024, In: Electronic Journal of Probability. 29, p. 1-41 41 p., 122.Publication: Scientific journal › Journal article › peer-review
Open Access -
Regime-switching affine term structures
Celary, A., Krühner, P. & Eksi-Altay, Z., Jan 2024, In: Quantitative Finance. 24, 1Publication: Scientific journal › Journal article › peer-review
Open Access -
2022
Maximizing with-profit pensions without guarantees
Boado-Penas, M. D. C., Eisenberg, J. & Krühner, P., 2022, In: Applied Stochastic Models in Business and Industry. 38, 2, p. 308-322Publication: Scientific journal › Journal article › peer-review
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Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
Benth, F. E., Detering, N. & Krühner, P., 2022, In: Stochastics. 94, 7, p. 1054-1076Publication: Scientific journal › Journal article › peer-review
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2020
A new approach for satisfactory pensions with no guarantees
Boado-Penas, C., Julia, E., Helmert, A. & Krühner, P., 2020, In: European Actuarial Journal. 10, p. 3 - 21Publication: Scientific journal › Journal article › peer-review
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Independent increment processes: a multilinearity preserving property
Benth, F., Detering, N. & Krühner, P., 2020, (E-pub ahead of print) In: Stochastics. 93, 6, p. 803-832Publication: Scientific journal › Journal article › peer-review
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On uniqueness of solutions to martingale problems — counterexamples and sufficient criteria
Kallsen, J. & Krühner, P., 2020, In: Electronic Journal of Probability. 25Publication: Scientific journal › Journal article › peer-review
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2018
Affine processes with compact state space
Krühner, P. & Larsson, M., 2018, In: Electronic Journal of Probability. 23Publication: Scientific journal › Journal article › peer-review
Open Access -
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, F. & Krühner, P., 2018, In: Finance and Stochastics. 22, p. 327 - 366Publication: Scientific journal › Journal article › peer-review
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Dynamic trading under integer constraints
Gerhold, S. & Krühner, P., 2018, In: Finance and Stochastics. 22, p. 919 - 957Publication: Scientific journal › Journal article › peer-review
Open Access -
The impact of negative interest rates on optimal capital injections
Eisenberg, J. & Krühner, P., 2018, In: Insurance, Mathematics and Economics. 82, p. 1 - 10Publication: Scientific journal › Journal article › peer-review
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Time change equations for Lévy-type processes
Krühner, P. & Schnurr, A., 2018, In: Stochastic Processes and their Applications. 128, p. 963 - 978Publication: Scientific journal › Journal article › peer-review
Open Access -
2017
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
Banos, D. & Krühner, P., 2017, In: Stochastic Processes and their Applications. 127, 6, p. 1785 - 1799Publication: Scientific journal › Journal article › peer-review
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2016
A note on the optimal dividends paid in a foreign currency
Eisenberg, J. & Krühner, P., 2016, In: Annals of Actuarial Science. 11, 1, p. 67 - 73Publication: Scientific journal › Journal article › peer-review
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Optimal density bounds for marginals of Itô processes
Banos, D. & Krühner, P., 2016, In: Communications in Stochastic Analysis. 10, 2, p. 131-150 1.Publication: Scientific journal › Journal article › peer-review
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2015
Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach
Benth, F. & Krühner, P., 2015, In: SIAM Journal on Financial Mathematics. 6, 1, p. 825 - 869Publication: Scientific journal › Journal article › peer-review
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Integrability of multivariate subordinated Lévy processes in Hilbert space
Benth, F. & Krühner, P., 2015, In: Stochastics. 87, 3, p. 458 - 476Publication: Scientific journal › Journal article › peer-review
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On a Heath–Jarrow–Morton approach for stock options
Kallsen, J. & Krühner, P., 2015, In: Finance and Stochastics. 19, p. 583 - 615Publication: Scientific journal › Journal article › peer-review
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2014
Representation of Infinite-Dimensional Forward Price Models in Commodity Markets
Benth, F. & Krühner, P., 2014, In: Communications in Mathematics and Statistics. 2, p. 47 - 106Publication: Scientific journal › Journal article › peer-review