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2017

Kalinin, Alexander (2017) Markovian integral equations and path-dependent partial differential equations. Open Access Mannheim [Doctoral dissertation]
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Strehle, Elias (2017) Single- and multiplayer trade execution strategies under transient price impact. Open Access Mannheim [Doctoral dissertation]
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2016

Voloshchenko, Iryna (2016) On pathwise functional Itô calculus and its applications to mathematical finance. Open Access Mannheim [Doctoral dissertation]
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Schied, Alexander (2016) On a class of generalized Takagi functions with linear pathwise quadratic variation. Journal of Mathematical Analysis and Applications 433 2 974-990 [Article]

Neuman, Eyal ; Schied, Alexander (2016) Optimal portfolio liquidation in target zone models and catalytic superprocesses. Finance and Stochastics 20 2 495-509 [Article]

Mishura, Yuliya ; Schied, Alexander (2016) Constructing functions with prescribed pathwise quadratic variation. Journal of Mathematical Analysis and Applications 442 1 117-137 [Article]

Föllmer, Hans ; Schied, Alexander (2016) Stochastic finance : an introduction in discrete time. Berlin ; Boston, MA [Book]

Schied, Alexander ; Voloshchenko, Iryna (2016) Pathwise no-arbitrage in a class of delta hedging strategies. Probability, uncertainty, and quantitative risk 1 3 1-24 [Article]

Alfonsi, Aurélien ; Klöck, Florian ; Schied, Alexander (2016) Multivariate transient price impact and matrix-valued positive definite functions. Mathematics of operations research 41 3 914-934 [Article]

2015

Krätschmer, Volker ; Schied, Alexander ; Zähle, Henryk (2015) Quasi-Hadamard differentiability of general risk functionals and its application. Statistics and Risk Modeling 32 1 25-47 [Article]

Lazgham, Mourad (2015) A state-constrained stochastic optimal control problem arising in portfolio liquidation. Open Access Mannheim [Doctoral dissertation]
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2014

Zhang, Tao (2014) Nash Equilibria in Market Impact Models : Differential Game, Transient Price Impact and Transaction Costs. Open Access Mannheim [Doctoral dissertation]
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Schied, Alexander (2014) Model-free CPPI. Journal of Economic Dynamics & Control 40 84-94 [Article]

Schied, Alexander ; Krätschmer, Volker ; Zähle, Henryk (2014) Comparative and qualitative robustness for law-invariant risk measures. Finance and Stochastics 18 2 271-295 [Article]

2013

Klöck, Florian (2013) Regularity of Market Impact Models : Time-Dependent Impact, Dark Pools and Multivariate Transient Impact. Open Access Mannheim [Doctoral dissertation]
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Schied, Alexander (2013) Finanzmathematik. Wiesbaden 267-282 [Book chapter]

Alfonsi, Aurélien ; Schied, Alexander (2013) Capacitary measures for completely monotone kernels via singular control. SIAM Journal on Control and Optimization 51 2 1758-1780 [Article]

Schied, Alexander (2013) Finanzmathematik. Wiesbaden 1015-1029 [Book chapter]

Gatheral, Jim ; Schied, Alexander (2013) Dynamical models for market impact and algorithms for optimal order execution. Cambridge 579-602 [Book chapter]

Föllmer, Hans ; Schied, Alexander (2013) Probabilistic aspects of finance. Bernoulli : Official Journal of the Bernoulli Society for Mathematical Statistics and Probability 19 4 1306-1326 [Article]

Schied, Alexander (2013) Robust strategies for optimal order execution in the Almgren-Chriss framework. Applied Mathematical Finance 20 3 264-286 [Article]

Lorenz, Christopher ; Schied, Alexander (2013) Drift dependence of optimal trade execution strategies under transient price impact. Finance and Stochastics 17 4 743-770 [Article]

Schied, Alexander (2013) A control problem with fuel constraint and Dawson-Watanabe superprocesses. The Annals of Applied Probability 23 6 2472-2499 [Article]

2012

Gatheral, Jim ; Schied, Alexander ; Slynko, Alla (2012) Transient linear price impact and Fredholm integral equations. Mathematical Finance 22 3 445-474 [Article]

Krätschmer, Volker ; Schied, Alexander ; Zähle, Henryk (2012) Qualitative and infinitesimal robustness of tail-dependent statistical functionals. Journal of Multivariate Analysis : JMVA 103 1 35-47 [Article]

Alfonsi, Aurélien ; Schied, Alexander ; Slynko, Alla (2012) Order Book Resilience, Price Manipulation and the Positive Portfolio Problem. SIAM Journal on Financial Mathematics : SIFIN 3 1 511-533 [Article]

2011

Gatheral, Jim ; Schied, Alexander (2011) Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. International Journal of Theoretical and Applied Finance : IJTAF 14 3 353-368 [Article]

Gatheral, Jim ; Schied, Alexander ; Slynko, Alla (2011) Exponential resilience and decay of market impact. Milano 225-236 [Book chapter]

Föllmer, Hans ; Schied, Alexander (2011) Stochastic Finance : An Introduction in Discrete Time. Berlin [u.a.] [Book]

Schied, Alexander ; Slynko, Alla (2011) Some mathematical aspects of market impact modeling. Zürich 153-179 [Book chapter]

2010

Schied, Alexander ; Schöneborn, Torsten ; Tehranchi, Michael (2010) Optimal basket liquidation for CARA investors is deterministic. Applied Mathematical Finance 17 6 471-489 [Article]

Alfonsi, Aurélien ; Schied, Alexander (2010) Optimal trade execution and absence of price manipulations in limit order book models. SIAM Journal on Financial Mathematics : SIFIN 1 490-522 [Article]

Alfonsi, Aurélien ; Fruth, Antje ; Schied, Alexander (2010) Optimal execution strategies in limit order books with general shape functions. Quantitative Finance 10 2 143-157 [Article]

Föllmer, Hans ; Schied, Alexander (2010) Coherent and convex risk measures. Chichester [u.a.] 355-363 [Book chapter]

2009

Schied, Alexander ; Schöneborn, Torsten (2009) Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Finance and Stochastics 13 2 181-204 [Article]

Föllmer, Hans ; Schied, Alexander ; Weber, Stefan (2009) Robust preferences and robust portfolio choice. Amsterdam [u.a.] 29-87 [Book chapter]

2008

Alfonsi, Aurélien ; Fruth, Antje ; Schied, Alexander (2008) Constrained portfolio liquidation in a limit order book model. Banach Center Publications 83 9-25 [Article]

Schied, Alexander (2008) Robust optimal control for a consumption-investment problem. Mathematical Methods of Operations Research 67 1 1-20 [Article]

This list was created automatically on Fri Apr 26 00:18:04 2019 CEST