Academics2

Academics

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.

Note that my Ph.D. dissertation, and presentations associated with with my disputation day — the trial lecture and the defense — appear on my Personal page of this site, here: Disputation

Selected Papers

  • Kettler, Paul C., Frank Proske, and Aleh L. Yablonski, Market microstructure and price discovery, March 2012. Submitted for peer review.

    [button link=”http://www.paulcarlislekettler.net/docs/micro.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KPYMMP” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Benth, Fred Espen and Paul C. Kettler, Dynamic copula models for the spark spread, March 2011, Quant. Finance 11 (3), 407–421.

    [button link=”http://www.paulcarlislekettler.net/docs/SpreadCopula.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/BKDCM” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]
    [button link=”http://scholar.google.com/scholar?cites=6752198706315930717&as_sdt=2005&sciodt=0,5&hl=en” color=”blue” target=”blank” size=”small”]Citations[/button]

  • Kettler, Paul C., Stratification of an ideal aggregate when subject to the Brazil nut effect, February 2011.

    [button link=”http://www.paulcarlislekettler.net/docs/Strata.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KSIA” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., Frank Proske, and Mark Rubtsov, Sensitivity with respect to the yield curve: duration in a stochastic setting, May 2010. Forthcoming in Festschrift für Marek Musiela, Springer 2012.

    [button link=”http://www.paulcarlislekettler.net/docs/Dur02.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KPRSRY” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., Olivier Menoukeu Pamen, and Frank Proske, On local times: application to pricing using bid-ask, June 2009. Submitted for peer review.

    [button link=”http://www.paulcarlislekettler.net/docs/Oliv.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KMPLT” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., A stochastic variance ratio test to discriminate between time and space effects of discrepancy between filtrations, January 2009.

    [button link=”http://www.paulcarlislekettler.net/docs/R2.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KSVRT” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., Lévy-copula-driven financial processes, January 2009.

    [button link=”http://www.paulcarlislekettler.net/docs/LCDFP.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KLCDFP” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., Fréchet–Hoeffding lower limit copulas in higher dimensions, August 2008.

    [button link=”http://www.paulcarlislekettler.net/docs/FHcop.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KFHLLC” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., Utility copulas, May 2008.

    [button link=”http://www.paulcarlislekettler.net/docs/Util.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KUC” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., A comparison of pre-rounding and post-rounding floating point divide orders, March 2008.

    [button link=”http://www.paulcarlislekettler.net/docs/FPD.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KCPRPR” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., The pyramid distribution, September 2007.

    [button link=”http://www.paulcarlislekettler.net/docs/Pyramid.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KPD” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • Kettler, Paul C., A transformation to solve indefinite quadratic equations in integers, June 2007.

    [button link=”http://www.paulcarlislekettler.net/docs/FQT.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KTSIQE” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Fnewton-qmc.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/BGKQMC” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]
    [button link=”http://scholar.google.com/scholar?cites=17549557088220009687&as_sdt=2005&sciodt=0,5&hl=en” color=”blue” target=”blank” size=”small”]Citations[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Weil_Kettler.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/WKRM” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]
    [button link=”http://scholar.google.com/scholar?cites=170664133279769786&as_sdt=2005&sciodt=0,5&hl=en” color=”blue” target=”blank” size=”small”]Citations[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Beaver_Kettler_Scholes.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/BKSAMA” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]
    [button link=”http://scholar.google.com/scholar?cites=11311410522838925959&as_sdt=2005&sciodt=0,5&hl=en” color=”blue” target=”blank” size=”small”]Citations (peer-reviewed)[/button]
    [button link=”http://search.yahoo.com/search;_ylt=Amnk7nwSp561PU6RDvH_vSibvZx4?p=beaver+kettler+scholes&toggle=1&cop=mss&ei=UTF-8&fr=yfp-t-701n” color=”blue” target=”blank” size=”small”]Citations (general)[/button]

  • Shanno, David F. and Paul C. Kettler, Optimal conditioning of quasi-Newton methods, July 1970, Math. Comput. 24, 657–664. MR 42 #8906.

    [button link=”http://www.paulcarlislekettler.net/docs/Shanno_Kettler.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/SKOC” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]
    [button link=”http://scholar.google.com/scholar?cites=631883137550130091&as_sdt=2005&sciodt=0,5&hl=en” color=”blue” target=”blank” size=”small”]Citations[/button]

  • Kettler, Paul C., Hilbert Space analysis of integral equations, April 1962, Junior Paper, Department of Mathematics, Princeton University, William Feller, adviser.

    [button link=”http://www.paulcarlislekettler.net/docs/HSA.pdf” color=”green” target=”blank” size=”small”]Download[/button]
    [button link=”http://www.paulcarlislekettler.net/docs/bibtex/KHSA” color=”purple” target=”blank” size=”small”]Bibtex entry[/button]

Selected Monographs

  • Kettler, Paul C., Vertex and Path Attributes of the Generalized Hypercube with Simplex Cuts, January 2008.

    [button link=”http://www.paulcarlislekettler.net/docs/VPA.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • Kettler, Paul C., Ergodic Theory, April 1963, Senior Thesis, Department of Mathematics, Princeton University, William Feller, adviser.

    [button link=”http://www.paulcarlislekettler.net/docs/Ergodic.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • Kettler, Paul C., Integer Points of Nonlinear Manifolds, January 2008.

    [button link=”http://www.paulcarlislekettler.net/docs/IPNM.pdf” color=”green” target=”blank” size=”small”]Download[/button]

Selected Notes

  • Kettler, Paul C., Birthday Guessing, September 2010.

    [button link=”http://paulcarlislekettler.net/docs/Birthday.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • Kettler, Paul C., The Arrow-Pratt index of relative risk aversion, January 2009.

    [button link=”http://paulcarlislekettler.net/docs/ArrowPratt.pdf” color=”green” target=”blank” size=”small”]Download[/button]

Invited Talks

  • 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, University of Oslo, Norway.

    [button link=”http://www.paulcarlislekettler.net/docs/Electricity_NTNU.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Hail_talk.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Electricity_Helsinki.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Dur_talk03.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Utility_Copenhagen.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Brno_Faculty.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Brno_Students.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Dur_talk.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • September 18, 2008: Fréchet–Hoeffding lower limit copulas in higher dimensions. Presentation to the Centre of Mathematics for Applications, University of Oslo, Norway.

    [button link=”http://www.paulcarlislekettler.net/docs/FHcop_talk.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • April 24, 2008: Model selection, Data acquisition, analysis — thoughts and ideas. Presentation to the analysts of Point Carbon, Oslo and Washington.

    [button link=”http://www.paulcarlislekettler.net/docs/PointC.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Defense_Belarus.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Lecture_Belarus.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • September 6, 2007: Is it the talk? or is it the cake? Presentation to the Centre of Mathematics for Applications, University of Oslo, Norway.

    [button link=”http://www.paulcarlislekettler.net/docs/Utility.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/London.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Monopoly.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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.

    [button link=”http://www.paulcarlislekettler.net/docs/Electricity2006.pdf” color=”green” target=”blank” size=”small”]Download[/button]

  • 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
  • September 21, 2004: Option strategies for speculating and hedging, the pyramid distribution and its copula; Soria Moria Conference, Centre of Mathematics for Applications, University of Oslo, Norway