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Research Articles

S. Ankirchner and M. Klein. Bayesian sequential testing with expectation constraints. 2018.
S. Ankirchner, S. Engelhardt, A. Fromm and G. dos Reis. The Skorokhod embedding problem for inhomogeneous diffusions. 2018.
S. Ankirchner, C. Blanchet-Scalliet and N. Kazi-Tani. The De Vylders-Goovaerts conjecture holds true within the diffusion limit. 2018.
S. Ankirchner, A. Fromm. Optimal control of diffusion coefficients via decoupling fields. SICON. 2018.
S. Ankirchner, C. Blanchet-Scalliet and K. Kümmel: Last Minute Panic in zero sum games. ESAIM: COCV. 2018. HAL
S. Ankirchner, N. Kazi-Tani, M. Klein and T. Kruse: Optimal stopping with expectation constraints: 3 points suffice. 2017. HAL
S. Ankirchner, A. Fromm, T. Kruse and A. Popier: Optimal position targeting via decoupling fields. 2017.
S. Ankirchner, M. Klein and T. Kruse: A verification theorem for optimal stopping problems with expectation constraints. Applied Mathematics and Optimization, 2017. Please note the Erratum.
S. Ankirchner, T. Kruse and M. Urusov: WLLN for arrays of non-negative random variables. Statistics & Prob. Letters. 2017.

S. Ankirchner, C. Blanchet-Scalliet and M. Jeanblanc: Controlling the occupation time of an exponential martingale. Applied Mathematics and Optimization, 2016.

S. Ankirchner, T. Kruse and M. Urusov: Numerical approximation of irregular SDEs via Skorokhod embeddings. J. Math. Anal. Appl., 440(2):692-715, 2016.    
S. Ankirchner, T. Kruse and M. Urusov: A functional limit theorem for irregular SDEs. Annales de l'Institut Henry Poincaré (B) Probabilités et Statistiques, 2016.

S. Ankirchner and T. Kruse: Optimal position targeting with stochastic linear-quadratic costs. Banach Center Publications. 2015. pdf_logo

S. Ankirchner, D. Hobson and P. Strack: Finite, integrable and bounded time embeddings for diffusions. Bernoulli. 2015. arXiv

S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Optimal liquidation with additional information. Mathematics and Financial Economics. Online 2015.


S. Ankirchner, M. Jeanblanc and T. Kruse: BSDEs with singular terminal condition and control problems with constraints. SIAM J. Control Optim. 2014. arXiv

S. Ankirchner, J. Schneider and N. Schweizer: Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk. JEDC, 2014. SSRN

S. Ankirchner, C. Pigorsch and N. Schweizer: Estimating Residual Hedging Risk with Least-Squares Monte Carlo. IJTAF. 2014. SSRN
 S. Ankirchner, P. Kratz and T. Kruse: Hedging Forward Positions: Basis Risk Versus Liquidity Costs. SIAM J. Financial Math. 2013. SSRN

S. Ankirchner, T. Kruse: Price-sensitive liquidation in continuous-time. SSRN paper. 2012. SSRN

S. Ankirchner, T. Kruse: Optimal Trade Execution Under Price-Sensitive Risk Preferences. Quantitative Finance. 2012. SSRN

S. Ankirchner, G. Dimitroff, G. Heyne, C. Pigorsch: Futures Cross-hedging with a stationary spread. JFQA. 2012. pdf_logo

S. Ankirchner, P. Strack: Skorokhod embeddings in bounded time. Stochastics and Dynamics. 2011. pdf_logo

S. Ankirchner, A. Dermoune: Multiperiod mean-variance portfolio optimization via market cloning. Applied Mathematics and Optimization. 2011. pdf_logo

S. Ankirchner, J. Zwierz: Initial enlargement of filtrations and entropy of Poisson compensators. Journal of Theoretical Probability. 2011. pdf_logo

S. Ankirchner, G. Heyne: Cross hedging with stochastic correlation. Finance and Stochastics. 2010. Springer

S. Ankirchner, P. Imkeller, G. Dos Reis: Pricing and hedging of derivatives based on non-tradable underlyings. Mathematical Finance. 2010. arXiv

S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Credit Risk Premia and Quadratic BSDEs with a Single Jump. IJTAF. 2010. arXiv

S. Ankirchner, P. Imkeller, A. Popier: On measure solution of Backward Stochastic Differential Equations. Stoch. Proc. Appl. 2009. arXiv

S. Ankirchner, P. Imkeller: Quadratic hedging of catastrophe risk by using short term climate predictions. Preprint. 2008. pdf_logo

S. Ankirchner, P. Imkeller, A. Popier: Optimal cross hedging of insurance derivatives. Stoch. Analysis and Applications. 2008. arXiv

S. Ankirchner, G. Heyne, P. Imkeller: A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Stochastics and Dynamics. 2008. pdf_logo

S. Ankirchner: On filtration enlargements and purely discontinuous martingales. Stoch. Proc. Appl. 2008. pdf_logo

S. Ankirchner, P. Imkeller, G. Dos Reis: Variational and Classical Differentiability of BSDEs with quadratic growth. Electronic Journal of Probability. 2007. arXiv

S. Ankirchner, S. Dereich, P. Imkeller: Enlargement of filtrations and continuous Girsanov-type embeddings. Seminaire de Probabilites XL. 2007. pdf_logo

S. Ankirchner, P. Imkeller: Financial markets with asymmetric information: information drift, additional utility and entropy. Proc. of the 6th Ritsumeikan Intern. Symposium. 2007. pdf_logo

S. Ankirchner: Monotone utility convergence. Journal of Applied Probability. 2006. pdf_logo

S. Ankirchner: Metrics on the set of semimartingale filtrations. Stochastics. 2006. pdf_logo

S. Ankirchner, S. Dereich, P. Imkeller: The Shannon information of filtrations and the additional logarthmic utility of insiders. Annals of Probability. 2006. arXiv

S. Ankirchner: Utility duality under additional information, conditional measures versus filtration enlargements. SFB 649 Discussion paper, 2005. pdf_logo

Information , Semimartingales. Humboldt Universität zu Berlin. March 22, 2005. pdf_logo


Christophette Blanchet-Scalliet
Steffen Dereich
Azzouz Dermoune
Georgi Dimitroff
Goncalo Dos Reis

Stefan Engelhardt
Anne Eyraud-Loisel
Alexander Fromm
Gregor Heyne
David Hobson
Peter Imkeller

Monique Jeanblanc
Nabil Kazi-Tani
Maike Klein
Kai Kümmel
Peter Kratz
Thomas Kruse
Christian Pigorsch
Alexandre Popier
Judith Schneider
Nikolaus Schweizer
Philipp Strack
Mikhail Urusov
Jakub Zwierz