Photo of Dr Paul Eisenberg

Dr Paul Eisenberg

Lecturer in Actuarial and Financial Mathematics Mathematical Sciences

Publications

Selected Publications

  1. Holder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients (Journal article - 2017)
  2. On a Heath-Jarrow-Morton approach for stock options (Journal article - 2015)
  3. Affine processes with compact state space (Journal article - 2018)
  4. Dynamic trading under integer constraints (Journal article - 2018)

2020

Abstract polynomial processes (Journal article)

Benth, F. E., Detering, N., & Kruhner, P. (n.d.). Abstract polynomial processes. Retrieved from http://arxiv.org/abs/2010.02483v1

Independent increment processes: A multilinearity preserving property (Journal article)

Benth, F. E., Detering, N., & Krühner, P. (n.d.). Multilinear processes in Banach space. Stochastics: An International Journal of Probability and Stochastic Processes. doi:10.1080/17442508.2020.1802458

On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria (Journal article)

Kallsen, J., & Krühner, P. (2020). On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria. Electronic Journal of Probability, 25, 33 pages. doi:10.1214/20-EJP494

DOI: 10.1214/20-EJP494

Authors’ Reply on the Discussion of Krafft and Pankratz (Journal article)

Boado-Penas, C., Eisenberg, J., Helmert, A., & Krühner, P. (2020). Authors’ Reply on the Discussion of Krafft and Pankratz. European Actuarial Journal, 10(1), 25-27. doi:10.1007/s13385-020-00231-4

DOI: 10.1007/s13385-020-00231-4

2019

A new approach for satisfactory pensions with no guarantees (Journal article)

Boado-Penas, M. C., Eisenberg, J., Helmert, A., & Krühner, P. (2019). A new approach for satisfactory pensions with no guarantees. European Actuarial Journal. doi:10.1007/s13385-019-00220-2

DOI: 10.1007/s13385-019-00220-2

Maximising with-profit pensions without guarantees (Journal article)

Boado-Penas, M. C., Eisenberg, J., & Krühner, P. (n.d.). Maximising with-profit pensions without guarantees. doi:10.1007/s13385-019-00220-2

DOI: 10.1007/s13385-019-00220-2

Stochastic Volterra integral equations and a class of first order stochastic partial differential equations (Journal article)

Benth, F. E., Detering, N., & Kruehner, P. (n.d.). Stochastic Volterra integral equations and a class of first order stochastic partial differential equations. Retrieved from http://arxiv.org/abs/1903.05045v2

2018

Dynamic trading under integer constraints (Journal article)

Gerhold, S., & Kruhner, P. (2018). Dynamic trading under integer constraints. FINANCE AND STOCHASTICS, 22(4), 919-957. doi:10.1007/s00780-018-0369-3

DOI: 10.1007/s00780-018-0369-3

Suboptimal Control of Dividends under Exponential Utility (Journal article)

Eisenberg, J., & Krühner, P. (n.d.). Suboptimal Control of Dividends under Exponential Utility. Retrieved from http://arxiv.org/abs/1809.01983v2

The impact of negative interest rates on optimal capital injections (Journal article)

Eisenberg, J., & Krühner, P. (2018). The impact of negative interest rates on optimal capital injections. Insurance: Mathematics and Economics, 82, 1-10. doi:10.1016/j.insmatheco.2018.06.004

DOI: 10.1016/j.insmatheco.2018.06.004

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models (Journal article)

Benth, F. E., & Kruhner, P. (2018). Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models. FINANCE AND STOCHASTICS, 22(2), 327-366. doi:10.1007/s00780-018-0355-9

DOI: 10.1007/s00780-018-0355-9

Affine processes with compact state space (Journal article)

Kruhner, P., & Larsson, M. (2018). Affine processes with compact state space. Electronic Journal of Probability, 23, 23 pages. doi:10.1214/18-EJP156

DOI: 10.1214/18-EJP156

Time change equations for Levy-type processes (Journal article)

Kruehner, P., & Schnurr, A. (2018). Time change equations for Levy-type processes. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 128(3), 963-978. doi:10.1016/j.spa.2017.06.011

DOI: 10.1016/j.spa.2017.06.011

2017

Holder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients (Journal article)

Banos, D., & Kruhner, P. (2017). Holder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 127(6), 1785-1799. doi:10.1016/j.spa.2016.09.015

DOI: 10.1016/j.spa.2016.09.015

A note on the optimal dividends paid in a foreign currency (Journal article)

Eisenberg, J., & Krühner, P. (n.d.). A Note on the Optimal Dividends Paid in a Foreign Currency. Retrieved from http://arxiv.org/abs/1603.07615v1

DOI: 10.1017/s1748499516000191

Brownian trading excursions and avalanches (Journal article)

Hubalek, F., Krühner, P., & Rheinländer, T. (n.d.). Brownian trading excursions and avalanches. Retrieved from http://arxiv.org/abs/1701.00993v1

2016

Optimal density bounds for marginals of Itô processes (Journal article)

Baños, D., & Krühner, P. (n.d.). Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients. Retrieved from http://arxiv.org/abs/1408.2386v5

DOI: 10.31390/cosa.10.2.01

2015

On a Heath-Jarrow-Morton approach for stock options (Journal article)

Kallsen, J., & Kruehner, P. (2015). On a Heath-Jarrow-Morton approach for stock options. Finance and Stochastics, 19(3), 583-615. doi:10.1007/s00780-015-0263-1

DOI: 10.1007/s00780-015-0263-1

Integrability of multivariate subordinated Levy processes in Hilbert space (Journal article)

Benth, F. E., & Kruhner, P. (2015). Integrability of multivariate subordinated Levy processes in Hilbert space. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 87(3), 458-476. doi:10.1080/17442508.2014.966826

DOI: 10.1080/17442508.2014.966826

Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach (Journal article)

Benth, F. E., & Kruehner, P. (2015). Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 6(1), 825-869. doi:10.1137/15100268X

DOI: 10.1137/15100268X

2014

Representation of Infinite-Dimensional Forward Price Models in Commodity Markets (Journal article)

Benth, F. E., & Krühner, P. (n.d.). Representation of infinite dimensional forward price models in commodity markets. Retrieved from http://arxiv.org/abs/1403.4111v1

DOI: 10.1007/s40304-014-0030-1