P
Paul Krühner
Researcher at University of Liverpool
Publications - 36
Citations - 226
Paul Krühner is an academic researcher from University of Liverpool. The author has contributed to research in topics: Martingale (probability theory) & Forward price. The author has an hindex of 7, co-authored 35 publications receiving 192 citations. Previous affiliations of Paul Krühner include University of Oslo & Vienna University of Technology.
Papers
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Journal ArticleDOI
Representation of Infinite-Dimensional Forward Price Models in Commodity Markets
Fred Espen Benth,Paul Krühner +1 more
TL;DR: In this article, the forward price dynamics in commodity markets are modeled as a process with values in a Hilbert space of absolutely continuous functions defined by Filipovic (consistency problems for Heath-Jarrow-Morton interest rate models, 2001).
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Derivatives pricing in energy markets: an infinite dimensional approach
Fred Espen Benth,Paul Krühner +1 more
TL;DR: This work connects empirical evidence about energy forward prices known from the literature to propose stochastic models, and analyzes the covariance operator and representations of such variables, as well as presenting applications to the pricing of spread and energy quanto options.
Posted Content
On a Heath-Jarrow-Morton approach for stock options
Jan Kallsen,Paul Krühner +1 more
TL;DR: This paper proves the existence and uniqueness of arbitrage-free models given basic building blocks and provides necessary and sufficient conditions for absence of Arbitrage.
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On a Heath–Jarrow–Morton approach for stock options
Jan Kallsen,Paul Krühner +1 more
TL;DR: In this article, the authors transfer the Heath-Jarrow-Morton approach to the modelling of call options with all strikes and maturities, and provide necessary and sufficient conditions for absence of arbitrage.
Journal ArticleDOI
Affine processes with compact state space
Paul Krühner,Martin Larsson +1 more
TL;DR: In this article, the authors studied the behavior of affine processes with compact state space and proved that no diffusion is possible, jumps are possible and enforce a grid-like structure of the state space; jump components can feed into drift components, but not vice versa.