Jan Kallsen

2.6k total citations
51 papers, 1.3k citations indexed

About

Jan Kallsen is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Jan Kallsen has authored 51 papers receiving a total of 1.3k indexed citations (citations by other indexed papers that have themselves been cited), including 48 papers in Finance, 21 papers in Economics and Econometrics and 13 papers in Management Science and Operations Research. Recurrent topics in Jan Kallsen's work include Stochastic processes and financial applications (48 papers), Financial Risk and Volatility Modeling (26 papers) and Economic theories and models (15 papers). Jan Kallsen is often cited by papers focused on Stochastic processes and financial applications (48 papers), Financial Risk and Volatility Modeling (26 papers) and Economic theories and models (15 papers). Jan Kallsen collaborates with scholars based in Germany, United Kingdom and Switzerland. Jan Kallsen's co-authors include Johannes Muhle‐Karbe, Albert N. Shiryaev, Aleš Černý, Peter Tankov, Thilo Meyer‐Brandis, Fred Espen Benth, Murad S. Taqqu, Ernst Eberlein, Christoph Kühn and Thorsten Rheinländer and has published in prestigious journals such as Virology, Mathematics of Operations Research and Journal of Multivariate Analysis.

In The Last Decade

Jan Kallsen

49 papers receiving 1.2k citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Jan Kallsen Germany	20	1.2k	591	268	226	111	51	1.3k
Gianluca Fusai Italy	17	746 0.6×	237 0.4×	192 0.7×	164 0.7×	161 1.5×	61	1.0k
Rüdiger Kiesel Germany	18	747 0.6×	518 0.9×	193 0.7×	215 1.0×	252 2.3×	58	1.2k
Thilo Meyer‐Brandis Norway	14	649 0.5×	316 0.5×	159 0.6×	125 0.6×	234 2.1×	47	841
Akihiko Takahashi Japan	19	1.1k 1.0×	264 0.4×	200 0.7×	173 0.8×	20 0.2×	132	1.3k
Jim Gatheral United States	16	1.2k 1.0×	491 0.8×	119 0.4×	176 0.8×	23 0.2×	40	1.3k
Farshid Jamshidian Netherlands	13	1.2k 1.0×	410 0.7×	121 0.5×	228 1.0×	31 0.3×	23	1.3k
Filip Lindskog Sweden	14	547 0.5×	216 0.4×	297 1.1×	113 0.5×	34 0.3×	32	819
Shaolin Ji China	15	635 0.5×	227 0.4×	360 1.3×	211 0.9×	16 0.1×	59	783
Phelim Boyle Canada	12	849 0.7×	347 0.6×	211 0.8×	305 1.3×	17 0.2×	30	1.1k
Stéphane Crépey France	19	891 0.7×	191 0.3×	185 0.7×	139 0.6×	10 0.1×	67	1.0k

Countries citing papers authored by Jan Kallsen

Since Specialization

Citations

This map shows the geographic impact of Jan Kallsen's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Jan Kallsen with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Jan Kallsen more than expected).

Fields of papers citing papers by Jan Kallsen

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Jan Kallsen. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Jan Kallsen. The network helps show where Jan Kallsen may publish in the future.

Co-authorship network of co-authors of Jan Kallsen

This figure shows the co-authorship network connecting the top 25 collaborators of Jan Kallsen. A scholar is included among the top collaborators of Jan Kallsen based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Jan Kallsen. Jan Kallsen is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Černý, Aleš, et al.. (2023). Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation. Mathematics of Operations Research. 49(2). 752–781.

Eberlein, Ernst & Jan Kallsen. (2019). Mathematical Finance. CERN Document Server (European Organization for Nuclear Research). 12 indexed citations

Kallsen, Jan, et al.. (2015). On a Heath–Jarrow–Morton approach for stock options. Finance and Stochastics. 19(3). 583–615. 12 indexed citations

Kallsen, Jan, et al.. (2013). Semimartingale Modelling in Finance. Annali Italiani di Chirurgia. 28(9). 519–34. 3 indexed citations

Kallsen, Jan, et al.. (2013). Asymptotic power utility-based pricing and hedging. Mathematics and Financial Economics. 8(1). 1–28. 4 indexed citations

Kallsen, Jan & Johannes Muhle‐Karbe. (2011). Existence of shadow prices in finite probability spaces. Mathematical Methods of Operations Research. 73(2). 251–262. 13 indexed citations

Kallsen, Jan, et al.. (2010). Variance-Optimal Hedging in General Affine Stochastic Volatility Models. Advances in Applied Probability. 42(1). 83–105. 3 indexed citations

Kallsen, Jan, et al.. (2010). Variance-Optimal Hedging in General Affine Stochastic Volatility Models. Advances in Applied Probability. 42(1). 83–105. 13 indexed citations

Kallsen, Jan & Johannes Muhle‐Karbe. (2010). UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS. International Journal of Theoretical and Applied Finance. 13(3). 459–477. 31 indexed citations

10.

Kallsen, Jan, et al.. (2010). Variance-Optimal Hedging for Time-Changed Lévy Processes. Applied Mathematical Finance. 18(1). 1–28. 14 indexed citations

11.

Kallsen, Jan & Johannes Muhle‐Karbe. (2009). Exponentially affine martingales, affine measure changes and exponential moments of affine processes. Stochastic Processes and their Applications. 120(2). 163–181. 43 indexed citations

12.

Černý, Aleš & Jan Kallsen. (2008). MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION. Mathematical Finance. 18(3). 473–492. 31 indexed citations

13.

Kallsen, Jan & Peter Tankov. (2006). Characterization of dependence of multidimensional Lévy processes using Lévy copulas. Journal of Multivariate Analysis. 97(7). 1551–1572. 109 indexed citations

14.

Kallsen, Jan & Christoph Kühn. (2006). On utility-based derivative pricing with and without intermediate trades. Multimedialer Archiv- und Publikationsserver der Christian-Albrechts-Universität zu Kiel (Christian-Albrechts-Universität zu Kiel). 24(4/2006). 2 indexed citations

15.

Kallsen, Jan. (2004). $\sigma$-Localization and $\sigma$-Martingales. Theory of Probability and Its Applications. 48(1). 152–163. 22 indexed citations

16.

Kallsen, Jan, et al.. (2002). Time Change Representation of Stochastic Integrals. Theory of Probability and Its Applications. 46(3). 522–528. 34 indexed citations

17.

Kallsen, Jan. (2002). Derivative pricing based on local utility maximization. Finance and Stochastics. 6(1). 115–140. 26 indexed citations

18.

Kallsen, Jan, et al.. (2000). Optimal portfolios for logarithmic utility. Stochastic Processes and their Applications. 89(1). 31–48. 82 indexed citations

19.

Kallsen, Jan. (1998). Duality Links between Portfolio Optimization and Derivative Pricing. FreiDok plus (Universitätsbibliothek Freiburg). 5 indexed citations

20.

Kallsen, Jan & Murad S. Taqqu. (1995). Option Pricing in ARCH-type Models: with Detailed Proofs. Virology. 8(1). 13–26. 2 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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