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Research Articles

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. HAL
S. Ankirchner, T. Kruse and M. Urusov: WLLN for arrays of non-negative random variables. Statistics & Prob. Letters. 2017.
S. Ankirchner, C. Blancet-Scalliet and K. Kümmel: Last Minute Panic in zero sum games. 2016.

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
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