Christian Kahl - Publications

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University of
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• C. Kahl, Modeling and simulation of stochastic volatility in finance. PhD thesis, University of Wuppertal (summa cum laude) (overview)
  Published at dissertation.com, available to buy at Amazon, ISBN-10: 1581123833, Errata
  

• [2]. C. Kahl, R. Lord, Fourier Inversion Methods in Finance forthcoming in Handbook of Computational Finance Springer, 2010 (home)

• [1]. L. Andersen, P.Jäckel, C. Kahl, Simulation of square-root processes forthcoming in Encyclopedia of Quantitative Finance John Wiley and Sons, 2010 (pdf)

• [8]. R. Lord, C. Kahl, Complex logarithms in Heston-like models, forthcoming in Mathematical Finance (pdf)

• [7]. C. Kahl, M. Günther, Complete the Correlation matrix, in Breitner, M.; Denk, G.; Rentrop, P. (eds.): From Nano to Space. Springer, Berlin 2008, pp. 229-244. (pdf)

• [6]. P.Jäckel, C. Kahl, Hyp-Hyp Hooray, Wilmott, March 2008 (pdf)

• [5]. C. Kahl, M. Günther, T. Roßberg, Structure preserving stochastic integration schemes in interest rate derivative modeling, Applied Numerical Mathematics Vol. 58, Issue 3, 2008, pp. 284-295 (pdf)

• [4]. R. Lord, C. Kahl, Optimal Fourier inversion in semi-analytical option pricing, Journal of Computational Finance, Vol. 10, No. 4, 2007, pp. 1-30 (pdf)

• [3]. C. Kahl, P.Jäckel, Fast strong approximation Monte-Carlo schemes for stochastic volatility models, Journal of Quantitative Finance , Vol. 6, No. 6, 2006, pp. 513-536 (pdf)

• [2]. C. Kahl, H. Schurz, Balanced Milstein Methods for SDE's, Monte Carlo Methods and Applications, Vol 12, No. 2, 2006, pp. 143-170 (pdf)

• [1]. C. Kahl, P.Jäckel, Not-so-complex logarithms in the Heston model, Wilmott, September 2005, pp. 94-103 (pdf)

• [2]. P.Jäckel, C. Kahl, Positive semi-definite correlation matrix completion for stochastic volatility models, OTC Analytics and ABN AMRO 2009 (pdf)

• [1]. R. Lord, C. Kahl, Why the rotation count algorithm works, Modelling and Research, Rabobank International and Tinbergen Institute, Erasmus University of Rotterdam, University of Wuppertal, Department Mathematics and ABN AMRO Financial markets, 2006, Submitted to Journal of Mathematical Finance, (pdf)

• C. Kahl, Positive numerical integration of stochastic differential equations. Diploma thesis, University of Wuppertal, 2004

• C. Kahl, Numerical integration schemes for stochastic volatility models, Inria Rocquencourt, Advanced Mathematical Methods for Finance, Paris, 2006,

• C. Kahl, Quantitative finance, University of Wuppertal, Department Mathematics, 2005

• C. Kahl, Lanczos Verfahren zur Berechnung innerer Eigenwerte von Anderson Matrizen, Forschungszentrum Jülich, Beiträge zum Wissenschaftlichen Rechnen - Ergebnisse des Gaststudentenprogramms 2003 des John von Neumann-Instituts für Computing, Technical Report IB-2003-10, 2003