Research output per year
Research output per year
Personal profile
Primary fields of research
Stochastic analysis applied to
- pricing of financial derivative assets
- pricing of insurance assets
- optimal trading strategies
Current research
- Lagrange optimal stopping problems
- Probabilistic properties of stopping times
Keywords
- Faculty of Science
- applied probability
- insurance mathematics
- financial mathematics
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Dive into the research topics where Jesper Lund Pedersen is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 5 Similar Profiles
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Constrained Dynamic Optimality and Binomial Terminal Wealth
Pedersen, J. L. & Peskir, G., 2018, In: SIAM Journal on Control and Optimization. 56, 2, p. 1342-1357Research output: Contribution to journal › Journal article › Research › peer-review
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Optimal mean-variance portfolio selection
Pedersen, J. L. & Peskir, G., 1 Mar 2017, In: Mathematics and Financial Economics. 11, 2, p. 137–160Research output: Contribution to journal › Journal article › Research › peer-review
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Optimal mean–variance selling strategies
Pedersen, J. L. & Peskir, G., 1 Mar 2016, In: Mathematics and Financial Economics. 10, 2, p. 203-220Research output: Contribution to journal › Journal article › Research › peer-review
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Rationality Parameter for Exercising American Put
Gad, K. S. T. & Pedersen, J. L., Jun 2015, In: Risks. 3, 2, p. 103-111Research output: Contribution to journal › Journal article › Research › peer-review
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Variance optimal stopping for geometric Levy processes
Gad, K. S. T. & Pedersen, J. L., 1 Mar 2015, In: Advances in Applied Probability. 47, 1, p. 128-145Research output: Contribution to journal › Journal article › Research › peer-review
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Explicit solutions to some optimal variance stopping problems
Pedersen, J. L., Aug 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
8 Citations (Scopus) -
A digitalized employee option
Pedersen, J. L. & 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
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Optimal stopping problems for time-homogeneous diffusions: a review
Pedersen, J. L., 2005, Recent Advances in Applied Probability. Springer, p. 427-454Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
2 Citations (Scopus)