Ralf Korn
Ralf Korn
Professor für Mathematik, TU Kaiserslautern
Bestätigte E-Mail-Adresse bei mathematik.uni-kl.de - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Optimal portfolios: stochastic models for optimal investment and risk management in continuous time
R Korn
World Scientific, 1997
4501997
Option pricing and portfolio optimization: modern methods of financial mathematics
R Korn, E Korn
American Mathematical Soc., 2001
3592001
Digital communications
R Korn, P Wilmott
3201985
Monte Carlo methods and models in finance and insurance
R Korn, E Korn, G Kroisandt
CRC press, 2010
2412010
Portfolio optimisation with strictly positive transaction costs and impulse control
R Korn
Finance and Stochastics 2 (2), 85-114, 1998
2301998
A stochastic control approach to portfolio problems with stochastic interest rates
R Korn, H Kraft
SIAM Journal on Control and Optimization 40 (4), 1250-1269, 2002
2112002
Optimal portfolios with bounded capital at risk
S Emmer, C Klüppelberg, R Korn
Mathematical Finance 11 (4), 365-384, 2001
1862001
Some applications of impulse control in mathematical finance
R Korn
Mathematical Methods of Operations Research 50 (3), 493-518, 1999
1471999
Optionsbewertung und Portfolio-Optimierung: Moderne Methoden der Finanzmathematik
R Korn, E Korn
Springer-Verlag, 2014
1202014
On the Stability of Continuous‐Time Portfolio Problems with Stochastic Opportunity Set
R Korn, H Kraft
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
692004
Optimal impulse control when control actions have random consequences
R Korn
Mathematics of Operations Research 22 (3), 639-667, 1997
671997
Continuous-time portfolio optimization under terminal wealth constraints
R Korn, S Trautmann
Zeitschrift für Operations Research 42 (1), 69-92, 1995
661995
Optimal index tracking under transaction costs and impulse control
IRC Buckley, R Korn
International journal of theoretical and applied Finance 1 (03), 315-330, 1998
631998
An energy efficient FPGA accelerator for monte carlo option pricing with the heston model
C De Schryver, I Shcherbakov, F Kienle, N Wehn, H Marxen, A Kostiuk, ...
2011 International Conference on Reconfigurable Computing and FPGAs, 468-474, 2011
622011
Optimal portfolios with defaultable securities a firm value approach
R Korn, H Kraft
International Journal of Theoretical and Applied Finance 6 (08), 793-819, 2003
552003
Worst-case scenario portfolio optimization: a new stochastic control approach
R Korn, O Menkens
Mathematical Methods of Operations Research 62 (1), 123-140, 2005
542005
Worst-case scenario investment for insurers
R Korn
Insurance: Mathematics and Economics 36 (1), 1-11, 2005
512005
On value preserving and growth optimal portfolios
R Korn, M Schäl
Mathematical Methods of Operations Research 50 (2), 189-218, 1999
511999
An analysis of pricing methods for basket options
M Krekel, J de Kock, R Korn, TK Man
The Best of Wilmott 2, 181-188, 2006
502006
Optimal portfolios under the threat of a crash
R Korn, P Wilmott
International Journal of Theoretical and Applied Finance 5 (02), 171-187, 2002
502002
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