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Thorsten Rheinländer · Study
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Author
Thorsten Rheinländer
10 works
· latest 2015
· 4 institutions
cluster: provisional
ORCID 0000-0002-1993-0924
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Citations
1,179
Works here
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Most cited in this library
Exponential Hedging and Entropic Penalties
2002 · 369 citations
Risk Management: Value at Risk and Beyond
2003 · 340 citations
Mean-variance hedging for continuous processes: New proofs and examples
1998 · 127 citations
On the minimal entropy martingale measure
2002 · 123 citations
On $L^2$-projections on a space of stochastic integrals
1997 · 93 citations
Works
10 shown
Relative liquidity and future volatility
Journal of Financial Markets
·
2015
·
4 authors
·
Open access
24
citations
Hedging Derivatives
Advanced series on statistical science and applied probability
·
2011
·
2 authors
·
book
26
citations
Asymptotic utility-based pricing and hedging for exponential utility
Statistics & Risk Modeling
·
2011
·
2 authors
25
citations
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
The Annals of Applied Probability
·
2006
·
2 authors
·
Open access
21
citations
An entropy approach to the Stein and Stein model with correlation
Finance and Stochastics
·
2005
·
1 author
31
citations
Risk Management: Value at Risk and Beyond
Journal of the American Statistical Association
·
2003
·
1 author
·
other
340
citations
On the minimal entropy martingale measure
The Annals of Probability
·
2002
·
2 authors
·
Open access
123
citations
Exponential Hedging and Entropic Penalties
Mathematical Finance
·
2002
·
6 authors
369
citations
Mean-variance hedging for continuous processes: New proofs and examples
Finance and Stochastics
·
1998
·
3 authors
127
citations
On $L^2$-projections on a space of stochastic integrals
The Annals of Probability
·
1997
·
2 authors
·
Open access
93
citations