Jesper Lund Pedersen
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2002
- Published
On nonlinear integral equations arising in problems of optimal stopping
Pedersen, Jesper Lund & Peskir, G., 2002, Functional Analysis VII. Aarhus, Vol. 46. p. 159-175Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
The minimum maximum of a continuous martingale with given initial and terminal laws
Hobson, D. G. & Pedersen, Jesper Lund, 2002, In: Annals of Probability. 30, 2, p. 978-999Research output: Contribution to journal › Journal article › Research › peer-review
- 2003
- Published
Optimal prediction of the ultimate maximum of Brownian motion
Pedersen, Jesper Lund, 2003, In: Stochastics: An International Journal of Probability and Stochastic Processes . 75, 4, p. 205-219Research output: Contribution to journal › Journal article › Research › peer-review
- 2005
- Published
Optimal stopping problems for time-homogeneous diffusions: a review
Pedersen, Jesper Lund, 2005, Recent Advances in Applied Probability. Springer, p. 427-454Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Representations of first hitting time density of an Ornstein-Uhlenbeck Process
Alili, L., Patie, P. & Pedersen, Jesper Lund, 2005, In: Stochastic Models. 21, 4, p. 967-980Research output: Contribution to journal › Journal article › Research › peer-review
- 2007
- Published
A digitalized employee option
Pedersen, Jesper Lund & Jensen, B., 2007, In: Stochastics: An International Journal of Probability and Stochastic Processes . 79, 1-2Research output: Contribution to journal › Journal article › Research › peer-review
- 2011
- Published
Explicit solutions to some optimal variance stopping problems
Pedersen, Jesper Lund, 2011, In: Stochastics: An International Journal of Probability and Stochastic Processes . 83, 4–6, p. 505–518 14 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2015
- Published
Variance optimal stopping for geometric Levy processes
Gad, K. S. T. & Pedersen, Jesper Lund, 2015, In: Advances in Applied Probability. 47, 1, p. 128-145Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Rationality Parameter for Exercising American Put
Gad, K. S. T. & Pedersen, Jesper Lund, Jun 2015, In: Risks. 3, 2, p. 103-111Research output: Contribution to journal › Journal article › Research › peer-review
- 2016
- Published
Optimal mean–variance selling strategies
Pedersen, Jesper Lund & Peskir, G., 2016, In: Mathematics and Financial Economics. 10, 2, p. 203-220Research output: Contribution to journal › Journal article › Research › peer-review
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304
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Optimal mean-variance portfolio selection
Research output: Contribution to journal › Journal article › Research › peer-review
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164
downloads
Rationality Parameter for Exercising American Put
Research output: Contribution to journal › Journal article › Research › peer-review
Published