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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)
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Preprints
- [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)
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Dissertation
- C. Kahl, Modeling and simulation of stochastic volatility
in finance. PhD thesis, University of Wuppertal (summa cum laude)
(overview)
Published at dissertation.com,
available to buy at
Amazon, ISBN-10: 1581123833
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Diploma thesis
- C. Kahl, Positive numerical integration of stochastic
differential equations. Diploma thesis, University of Wuppertal
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Presentations
- 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
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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
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