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Research Articles



 
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S. Ankirchner, C. Blanchet-Scalliet and K. Kümmel: Last Minute Panic in zero sum games. 2016.
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S. Ankirchner, T. Kruse and M. Urusov: WLLN for arrays of non-negative random variables. Statistics & Prob. Letters. 2017.
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S. Ankirchner, C. Blanchet-Scalliet and M. Jeanblanc: Controlling the occupation time of an exponential martingale. Applied Mathematics and Optimization, 2016.
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S. Ankirchner, M. Klein and T. Kruse: A verification theorem for optimal stopping problems with expectation constraints. November 2015.
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S. Ankirchner, T. Kruse and M. Urusov: Numerical approximation of irregular SDEs via Skorokhod embeddings. J. Math. Anal. Appl., 440(2):692-715, 2016.    
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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.
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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.

Springer


S. Ankirchner, M. Jeanblanc and T. Kruse: BSDEs with singular terminal condition and control problems with constraints. To appear in 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, T. Kruse: Price-sensitive liquidation in continuous-time. SSRN paper. 2012. 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: 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

Co-authors

Christophette Blanchet-Scalliet
Steffen Dereich
Azzouz Dermoune
Georgi Dimitroff
Goncalo Dos Reis
Anne Eyraud-Loisel
Gregor Heyne
David Hobson
Peter Imkeller

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