Christian Kahl

University of Wuppertal

Gaußstraße 20

42097 Wuppertal

Germany

ABN-Amro Bank, United Kingdom

London EC2N 4BN

United Kingdom

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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Top 13,318

in Total Papers Citations

5

CROSSREF CITATIONS

85

Scholarly Papers (3)

1.

Optimal Fourier Inversion in Semi-Analytical Option Pricing

Tinbergen Institute Discussion Paper No. 2006-066/2
Number of pages: 21 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 1,452 (16,160)
Citation 19

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Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations

2.
Downloads 943 ( 30,506)
Citation 37

Complex Logarithms in Heston-Like Models

Number of pages: 30 Posted: 17 Mar 2008
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 941 (30,170)
Citation 5

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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, option pricing, Fourier inversion, Variance Gamma, Schöbel-Zhu,exact simulation

Complex Logarithms in Heston-Like Models

Mathematical Finance, Vol. 20, Issue 4, pp. 671-694, October 2010
Number of pages: 24 Posted: 27 Sep 2010
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 2 (809,736)
Citation 4
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3.

Why the Rotation Count Algorithm Works

Tinbergen Institute Discussion Paper No. 2006-065/2
Number of pages: 33 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 921 (31,593)
Citation 13

Abstract:

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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, moment stability, option pricing