A utility maximization approach to hedging in incomplete markets. - Jan Kallsen (Math. Methods Oper. Res., 1999)

Optimal portfolios for exponential Lévy processes. - Jan Kallsen (Math. Methods Oper. Res., 2000)

Derivative pricing based on local utility maximization. - Jan Kallsen (Finance Stochastics, 2002)

The cumulant process and Esscher's change of measure. - Jan Kallsen; Albert N. Shiryaev (Finance Stochastics, 2002)

Pricing derivatives of American and game type in incomplete markets. - Jan Kallsen; Christoph Kühn (Finance Stochastics, 2004)

Existence of shadow prices in finite probability spaces. - Jan Kallsen; Johannes Muhle-Karbe (Math. Methods Oper. Res., 2011)

On the existence of shadow prices. - Giuseppe Benedetti; Luciano Campi; Jan Kallsen; Johannes Muhle-Karbe (Finance Stochastics, 2013)

On a Heath-Jarrow-Morton approach for stock options. - Jan Kallsen; Paul Krühner (Finance Stochastics, 2015)

Learning to steer with Brownian noise. - Stefan Ankirchner; Sören Christensen; Jan Kallsen; Philip Le Borne; Stefan Perko (CoRR, 2024)

Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation. - Ales Cerný; Christoph Czichowsky; Jan Kallsen (Math. Oper. Res., 2024)

Is Learning in Biological Neural Networks Based on Stochastic Gradient Descent? An Analysis Using Stochastic Processes. - Sören Christensen; Jan Kallsen (Neural Comput., 2024)