Olaf Menkens

Dublin City University — Ireland

Economics, Econometrics and Finance · Social Sciences

7h-index187citations26works0.02yr avg
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Research Topics

Stochastic processes and financial applications(17), Insurance, Mortality, Demography, Risk Management(7), Financial Markets and Investment Strategies(6), Financial Risk and Volatility Modeling(6), Risk and Portfolio Optimization(6)

Publications26 total

WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES
International Journal of Theoretical and Applied Finance·2016· 1 cited
Pricing Contingent Claims under Jump Uncertainty
SSRN Electronic Journal·2016· 1 citedOpen Access
Pricing and Hedging of European Plain Vanilla Options under Jump Uncertainty
SSRN Electronic Journal·2016· 1 citedOpen Access
Worst-case portfolio optimization with proportional transaction costs
Stochastics·2015· 7 cited
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
SIAM Journal on Control and Optimization·2015· 9 cited
Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
Springer proceedings in mathematics & statistics·2015· 3 citedOpen Access
Worst-case optimal investment with a random number of crashes
Statistics & Probability Letters·2014· 6 cited
Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
SSRN Electronic Journal·2014· 1 citedOpen Access
Costs and Benefits of Crash Hedging
SSRN Electronic Journal·2014· 3 citedOpen Access
Asian and Australian options: A common perspective
Journal of Economic Dynamics and Control·2013· 13 cited
Reinsurance for Large Claims
2013
Worst-Case Portfolio Optimization with Proportional Transaction Costs
SSRN Electronic Journal·2013· 7 citedOpen Access
Worst-Case Optimal Investment with a Random Number of Crashes
SSRN Electronic Journal·2013· 3 citedOpen Access
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
SSRN Electronic Journal·2013· 2 citedOpen Access
Worst-Case Portfolio Optimization in a Market with Bubbles
SSRN Electronic Journal·2013· 2 citedOpen Access
Worst-case-optimal dynamic reinsurance for large claims
European Actuarial Journal·2012· 24 cited
Worst-Case-Optimal Dynamic Reinsurance for Large Claims
SSRN Electronic Journal·2012· 2 citedOpen Access
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
Mathematical Methods of Operations Research·2011· 17 cited
Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
SSRN Electronic Journal·2011· 1 citedOpen Access
Asian Options from an Australian Perspective
SSRN Electronic Journal·2011· 4 citedOpen Access
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Frequent Co-authors

Christoph Belak(8), Christian‐Oliver Ewald(5), Ralf Korn(4), Jörn Saß(4), Sören Christensen(4), Zhaojun Yang(3), Mogens Steffensen(2), Sai Hung Marten Ting(2), Christoph Knochenhauer(1)