Erweiterte Suche
Zurück zur Übersicht
Exportieren als [feed] RSS 1.0 [feed] RSS 2.0

Zitation

Gruppieren nach: Erscheinungsjahr | Autoren | Dokumenttyp | Keine Sortierung
Springe zu: A | F | G | K | L | M | N | S | V | Z

A

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

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

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

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

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

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

F

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

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

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

Föllmer, Hans ; Schied, Alexander (2010) Coherent and convex risk measures. Cont, Rama Encyclopedia of Quantitative Finance Encyclopedia of Quantitative Finance Chichester [u.a.] 1 355-363 [Buchkapitel]

Föllmer, Hans ; Schied, Alexander ; Weber, Stefan (2009) Robust preferences and robust portfolio choice. Bensoussan, Alain Special volume: Mathematical modeling and numerical methods in finance Handbook of Numerical Analysis Amsterdam [u.a.] 15 29-87 [Buchkapitel]

G

Gatheral, Jim ; Schied, Alexander (2013) Dynamical models for market impact and algorithms for optimal order execution. Fouque, Jean-Pierre Handbook on Systemic Risk Cambridge 579-602 [Buchkapitel]

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

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 River Edge, NJ [u.a.] 14 3 353-368 [Zeitschriftenartikel]

Gatheral, Jim ; Schied, Alexander ; Slynko, Alla (2011) Exponential resilience and decay of market impact. Abergel, Frédéric Econophysics of Order-driven Markets In: Econophysics of Order-driven Markets. Milano 225-236 [Buchkapitel]

K

Kalinin, Alexander (2017) Markovian integral equations and path-dependent partial differential equations. Open Access Mannheim [Dissertation]
[img]
Vorschau

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

Klöck, Florian (2013) Regularity of Market Impact Models : Time-Dependent Impact, Dark Pools and Multivariate Transient Impact. Open Access Mannheim [Dissertation]
[img]
Vorschau

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

L

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

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

M

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

N

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

S

Strehle, Elias (2017) Single- and multiplayer trade execution strategies under transient price impact. Open Access Mannheim [Dissertation]
[img]
Vorschau

Schied, Alexander (2016) On a class of generalized Takagi functions with linear pathwise quadratic variation. Journal of Mathematical Analysis and Applications Amsterdam [u.a.] 433 2 974-990 [Zeitschriftenartikel]

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

Schied, Alexander (2014) Model-free CPPI. Journal of Economic Dynamics & Control Amsterdam [u.a.] 40 84-94 [Zeitschriftenartikel]

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

Schied, Alexander (2013) Finanzmathematik. Zeidler, Eberhard Springer-Handbuch der Mathematik Wiesbaden 3 267-282 [Buchkapitel]

Schied, Alexander (2013) Finanzmathematik. Zeidler, Eberhard Springer-Taschenbuch der Mathematik Wiesbaden 1015-1029 [Buchkapitel]

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

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

Schied, Alexander ; Slynko, Alla (2011) Some mathematical aspects of market impact modeling. Blath, Jochen Surveys in Stochastic Processes EMS Series of Congress Reports Zürich 153-179 [Buchkapitel]

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

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

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

V

Voloshchenko, Iryna (2016) On pathwise functional Itô calculus and its applications to mathematical finance. Open Access Mannheim [Dissertation]
[img]
Vorschau

Z

Zhang, Tao (2014) Nash Equilibria in Market Impact Models : Differential Game, Transient Price Impact and Transaction Costs. Open Access Mannheim [Dissertation]
[img]
Vorschau

Diese Liste wurde am Sat Nov 23 01:53:42 2024 CET automatisch erstellt.