Christian Kahl - Publications







University of

Departments of


Papers in refereed Journals
  • [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)
            • [4]. R. Lord, C. Kahl, Complex logarithms in Heston-like models, Rabobank International and ABN·AMRO 2008, Submitted for publication (pdf)
            • [3]. P.Jäckel, C. Kahl, Hyp-Hyp Hooray, ABN AMRO Financial markets 2007, Submitted for publication (pdf)
            • [2]. 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)
              • [1]. C. Kahl, M. Günther, Complete the Correlation matrix, University of Wuppertal, Department Mathematics and ABN AMRO Financial markets, 2005, Submitted to SIAM Journal On Matrix Analysis and Applications, (pdf)
                • C. Kahl, Modeling and simulation of stochastic volatility in finance. PhD thesis, University of Wuppertal (summa cum laude) (overview)
                  Published at, available to buy at Amazon, ISBN-10: 1581123833
                  Diploma thesis
                  • C. Kahl, Positive numerical integration of stochastic differential equations. Diploma thesis, University of Wuppertal
                    • 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
                    Other Publications
                    • 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

                       © 2008 by Christian Kahl •