Academics

Academics

The three men depicted here, Copernicus, von Leibniz, and Gauß, are among my academic ancestors. You can read more about them and others on my Personal page in this section: Academic Genealogy.

Research Product

Following is a partial list of my research. Here you may download the paper and copy its BibTeX entry. For articles published in peer-reviewed scientific journals a link also appears to scholar.google listing works citing these. In one instance [Beaver, Kettler, Scholes 1970] a link also appears to yahoo for citations from the general literature.

My Ph.D. dissertation, and presentations associated with my disputation day — the trial lecture and the defense — appear on my Personal page in this section: Ph.D. Disputation and Award Ceremony.

Selected Papers

  • Kettler, Paul C., Olivier Menoukeu Pamen, and Frank Proske, On local times: application to pricing using bid-ask, November 2014. J. Math. Finance 4 (2).
    Download Published Version
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    BibTeX entry
  • Kettler, Paul C., Frank Proske, and Mark Rubtsov, Sensitivity with respect to the yield curve: duration in a stochastic setting. November 2013, Inspired by Finance: The Musiela Festschrift, Springer, Berlin, 363-386.
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    BibTeX entry
  • Kettler, Paul C., Frank Proske, and Aleh L. Yablonski, Market microstructure and price discovery, March 2013, J. Math. Finance 3 (1).
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    Download Preprint
    BibTeX entry
  • Kettler, Paul C., and Georg Muntingh, A χ-distribution model of hail storm damage, November 2012.
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    BibTeX entry
  • Kettler, Paul C., Lévy-copula-driven financial processes, November 2012.
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    BibTeX entry
  • Benth, Fred Espen and Paul C. Kettler, Dynamic copula models for the spark spread, March 2011, Quant. Finance 11 (3), 407–421.
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    BibTeX entry
    Citations
  • Kettler, Paul C., Stratification of an ideal aggregate when subject to the Brazil nut effect, February 2011.
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    BibTeX entry
  • Kettler, Paul C., A stochastic variance ratio test to discriminate between time and space effects of discrepancy between filtrations, January 2009.
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    BibTeX entry
  • Kettler, Paul C., Fréchet–Hoeffding lower limit copulas in higher dimensions, August 2008.
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    BibTeX entry
  • Kettler, Paul C., Utility copulas, May 2008.
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    BibTeX entry
  • Kettler, Paul C., A comparison of pre-rounding and post-rounding floating point divide orders, March 2008.
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    BibTeX entry
  • Kettler, Paul C., The pyramid distribution, September 2007.
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    BibTeX entry
  • Kettler, Paul C., A transformation to solve indefinite quadratic equations in integers, June 2007.
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    BibTeX entry
  • Benth, Fred Espen, Martin Groth, and Paul C. Kettler, A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives, September 2006, Int. J. Theoretical Appl. Finance 9 (6), 843–867.
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    BibTeX entry
    Citations
  • Weil, Roman L. and Paul C. Kettler, Rearranging matrices to block-angular form for decomposition (and other) algorithms, September 1971, Manag. Sci. 1 (Theory Series) 18, 98–108. MR 45 #1366.
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    BibTeX entry
    Citations
  • Beaver, William H., Paul C. Kettler, and Myron S. Scholes, The association between market-determined and accounting-determined risk measures, October 1970, Account. Rev. 45 (4), 654–682.
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    BibTeX entry
    Citations
    Citations (all)
  • Shanno, David F. and Paul C. Kettler, Optimal conditioning of quasi-Newton methods, July 1970, Math. Comput. 24, 657–664. MR 42 #8906.
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    BibTeX entry
    Citations
  • Kettler, Paul C., Hilbert Space analysis of integral equations, April 1962, Junior Paper, Department of Mathematics, Princeton University, William Feller, adviser.
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    BibTeX entry

Selected Monographs

  • Kettler, Paul C., Vertex and Path Attributes of the Generalized Hypercube with Simplex Cuts, January 2008.
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  • Kettler, Paul C., Ergodic Theory, April 1963, Senior Thesis, Department of Mathematics, Princeton University, William Feller, adviser.
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  • Kettler, Paul C., Integer Points of Nonlinear Manifolds, January 2008.
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Selected Notes

  • Kettler, Paul C., A simplified approach to holding patterns, December 2016.
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  • Kettler, Paul C., Birthday Guessing, September 2010.
    Download|
  • Kettler, Paul C., The Arrow–Pratt indexes of risk aversion
    and convex risk measures they imply
    , January 2009.
    Download|

Invited Talks

  • May 27, 2013: Is it the talk? or is it the cake? Presentation to the Department of Applied Physics, School of Science, Aalto University, Espoo, Finland.
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  • October 4, 2012: Dynamic copula models for the spark spread. Joint research with Fred Espen Benth. Presented to the Conference on Energy Finance, Trondheim, Norway.
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  • September 28, 2012: Is it the talk? or is it the cake? Presentation to the Statistics Seminar, Department of Mathematical Sciences, Norwegian University of Science and Technology, Trondheim, Norway.
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  • May 22, 2012: Dynamic copula models for the spark spread. Joint research with Fred Espen Benth. Presented to the ElCarbonRisk Invitation Research Seminar, Molde University College, Molde, Norway.
    Download|
  • March 20, 2012: Dynamic copula models for the spark spread. Joint research with Fred Espen Benth. Presented to the Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Trondheim, Norway.
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  • March 8, 2012: A chi-distribution model of hail storm damage. Joint research with Georg Muntingh. Presented to the Centre of Mathematics for Applications, University of Oslo, Norway.
    Download|
  • May 24, 2011: Dynamic copula models for the spark spread. Joint research with Fred Espen Benth. Presentation to the First Annual Meeting and Research Conference of the European Region of Sigma Xi, Aalto University, Helsinki (Espoo), Finland.
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  • May 23, 2011: Sensitivity with respect to the yield curve: duration in a stochastic setting. Joint research with Frank Proske and Mark Rubtsov. Presentation to the Second Annual Meeting and Research Conference of the Nordic Chapter of Sigma Xi, Aalto University, Helsinki (Espoo), Finland.
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  • May 18, 2010: Is it the talk? or is it the cake? Presentation to the First Annual Meeting and Research Conference of the Nordic Chapter of Sigma Xi, Copenhagen (Dragør), Denmark.
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  • March 5, 2009: Potential contributions of copula theory in risk management and finance. Presentation to the Seminar on Mathematical Statistics, Institute of Mathematics, Brno University of Technology, Czech Republic.
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  • March 5, 2009: Is it the talk? or is it the cake? Presentation to the Seminar on Mathematical Statistics, Institute of Mathematics, Brno University of Technology, Czech Republic.
    Download|
  • November 10, 2008: Sensitivity with respect to the yield curve: duration in a stochastic setting. Presentation to the Centre of Mathematics for Applications, University of Oslo, Norway.
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  • September 18, 2008: Fréchet–Hoeffding lower limit copulas in higher dimensions. Presentation to the Centre of Mathematics for Applications, University of Oslo, Norway.
    Download|
  • April 24, 2008: Model selection, Data acquisition, analysis — thoughts and ideas. Presentation to the analysts of Point Carbon, Oslo and Washington.
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  • October 18, 2007: Investigations into dependency between financial Lévy processes using copula methods. Presentation to the Department of Functional Analysis, Mechanical and Mathematical Faculty, Belarusian State University, Minsk, Belarus.
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  • October 18, 2007: Potential contributions of copula theory in risk management and finance. Presentation to the Department of Functional Analysis, Mechanical and Mathematical Faculty, Belarusian State University, Minsk, Belarus.
    Download|
  • September 6, 2007: Is it the talk? or is it the cake? Presentation to the Centre of Mathematics for Applications, University of Oslo, Norway.
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  • November 15, 2006: Modelling Energy Substitutes — a comparison of electricity to gas. Presentation to the Conference on Modelling & Measuring Energy Commodities Risk 2006, Energy Forum, London, England.
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  • May 9, 2006: Monopoly to competition — a stochastic process. Presentation to the Stochastic Analysis Seminar, Centre of Mathematics for Applications and Department of Mathematics, University of Oslo, Norway.
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  • March 29, 2006: Dynamic copula models for the spark spread. Joint research with Fred Espen Benth, Presentation to the Conference on Mathematical Finance for Electricity and Related Markets, Centre of Mathematics for Applications and Department of Mathematics, University of Oslo, Norway.
    Download|
  • March 3, 2006: Option strategies for speculating and hedging. Presentation to the Department of Functional Analysis, Mechanical and Mathematical Faculty, Belarusian State University, Minsk, Belarus
  • October 15, 2004: The pyramid distribution, its copula and Lévy process. Presentation to the 11th Workshop in Mathematics and Economics, “Mathematical Finance and Copulas,” Centre of Mathematics for Applications and Department of Mathematics, University of Oslo, Norway