#### Recent preprints and working papers

- Rough PDEs for local stochastic volatility models (with Christian Bayer, Peter Friz, and Luca Pelizzari)

[ arXiv ] - Optimal execution and speculation with trade signals (with Alvaro Cartea and Laura Körber)

[ arXiv ] - Optimal investment with a noisy signal of future stock prices (with Yan Dolinsky)

[ arXiv ]

#### Published

- Merton’s optimal investment problem with jump signals (with Laura Körber)
*SIAM Journal on Financial Mathematics*, 13(4), 1302-1325, 2022

[ doi, arXiv ] - What if we knew what the future brings? Optimal Investment for a Frontrunner with Price Impact (with Yan Dolinsky and Miklos Rasonyi)
*Appl Math Optim*86, 25 (2022)

[ doi, arXiv ] - Liquidity in Competitive Dealer Markets (with Ibrahim Ekren and Johannes Muhle-Karbe)
*Mathematical Finance*, 31, 827– 856, 2021

[ doi, arXiv ] - A Note on Utility Indifference Pricing with Delayed Information (with Yan Dolinsky)
*SIAM Journal on Financial Mathematics*, 12(2), (2021), SC-31–SC-43.

[ doi, arXiv ] - On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping (with David Besslich)
*Annales de l’Institut Henri Poincaré**(B) Probabilités et Statistiques*, 57 (3), (2021), 1336–1368

[ doi, arXiv ] - Modelling information flows by Meyer-σ-fields in the singular stochastic control problem of irreversible investment (with David Besslich)
*The Annals of Applied Probability*, 30(6), (2020), 2923-2962

[ doi, arXiv ] - Scaling Limits for Super-replication with Transient Price Impact (with Yan Dolinsky)
*Bernoulli,*26(3), (2020), 2176-2201

[ doi, arXiv ] - Optimal Investment with Transient Price Impact (with Moritz Voß)
*SIAM Journal on Financial Mathematics*, 10(3), (2019), 723–768

[ doi, arXiv ] - Continuous-time Duality for Super-replication with Transient Price Impact (with Yan Dolinsky)
*The Annals of Applied Probability*, 29(6), (2019), 3893-3917

[ doi, arXiv ] - Super-Replication with Fixed Transaction Costs (with Yan Dolinsky)
*The Annals of Applied Probability*, 29(2), (2019), 739-757

[ doi, arXiv ] - Linear quadratic stochastic control problems with singular stochastic terminal constraint (with Moritz Voß)
*SIAM Journal on Control Optimization*, 56(2), (2018), 672-699

[ doi, arXiv ] - The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case (with Yan Dolinsky and Ari-Pekka Perkkiö)
*Finance and Stochastics*, 21(2), (2017), 487-508

[ doi, arXiv ] - Hedging with Temporary Price Impact (with Mete Soner and Moritz Voß)
*Mathematics and Financial Economics*, 11(2), (2017), 215-239

[ doi, arXiv ] - Convex Duality for stochastic singular control problems (with Helena Kauppila)
*The Annals of Applied Probability*, 27(1), (2017), 485-516

[ doi, arXiv ] - Super-replication with nonlinear transaction costs and volatility uncertainty (with Yan Dolinsky and Selim Gökay)
*The Annals of Applied Probability*, 26(3), (2016), 1698-1726

[ doi, arXiv ] - Supperreplication when trading at market indifference prices (with Selim Gökay)
*Finance and Stochastics*, 20(1), (2016), 153-182

[ doi, pdf (354 K) ] - A large model for a large investor trading at market indifference prices I: single-period case (with Dmitry Kramkov)
*Finance and Stochastics*, 19(2), (2015), pp. 449-472

[ doi, arXiv ] - A large model for a large investor trading at market indifference prices II: continuous-time case (with Dmitry Kramkov)
*The Annals of Applied Probability*, Vol. 25, No. 5, (2015), 2708–2742

[ doi, arXiv ] - The stochastic field of aggregate utilities and its saddle conjugate (with Dmitry Kramkov)
*Proceedings of the Steklov Institute of Mathematics*, Vol. 287 (2014), pp. 14–53

[ doi, arXiv ] - On a stochastic differential equation arising in a price impact model (with Dmitry Kramkov)
*Stochastic Processes and their Applications*, Vol. 123(3) (2014), pp. 1160–117

[ doi, arXiv ] - Optimal Order Scheduling for Determinstic Liquidity Patterns (with Antje Fruth)
*SIAM Journal on Financial Mathematics*, 5-1 (2014), pp. 137-152

[ doi, arXiv ] - Parameter-dependent optimal stopping for one-dimensional diffusions (with Christoph Baumgarten)
*Electronic Journal of Probability*(2010), 1971-1993

[ doi, pdf (512 K) ] - On Gittins’ Index Theorem in Continuous Time (with Christian Küchler)
*Stochastic Processes and Their Applications*(2007), 1357-1371

[ doi, pdf (228 K) ] - Optimal Control under a Dynamic Fuel Constraint
*SIAM Journal on Control and Optimization*(2005), Vol. 44, No. 4, 1529-1541

[ doi, pdf (255 K) ] - A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems (with N. El Karoui)
*The Annals of Probability*(2004), Vol. 32, No. 1B, 1030–1067

[ doi, pdf (313 K) ] - American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View (with Hans Föllmer)

in Paris-Princeton Lectures on Mathematical Finance, Editors: R. Carmona, E. Cinlar, I. Ekeland, E. Jouini, J. Scheinkman, N. Touzi,*Lecture Notes in Mathematics*, Vol. 1814, Springer, 2003.

(This paper has won the Best Paper Award at the Blaise Pascal International Conference on Financial Modelling, Paris 2003. – shared with Josef Teichmann)

[ doi, pdf (882 K) ] - Hedging and Portfolio Optimization in Financial Markets with a Large Trader (with Dietmar Baum)
*Mathematical Finance*(2004), 14, 1–18

[ doi, pdf (247 K) ] - Existence and Structure of Stochastic Equilibria with Intertemporal Substitution (with Frank Riedel)
*Finance and Stochastics*(2001), 5, 487-509

[ doi, pdf (243 K) ] - Optimal Consumption Choice with Intertemporal Substitution (with Frank Riedel)
*The Annals of Applied Probability*(2001), 11, 750-788

[ doi, postscript (1 MB) ] - Non-Time Additive Utility Maximization – the Case of Certainty (with F. Riedel)
*Journal of Mathematical Economics*(2000), 33, 271-290

[ doi, postscript (364 K) ]

#### Further material

- On Lenglart’s Theory of Meyer-σ-fields and El Karoui’s General Theory of Optimal Stopping (with David Besslich)

[ arXiv ] - Optimal Dynamic Choice of Durable and Perishable Goods (with Frank Riedel)

Discussion Paper 03-009 (2003), Department of Economics, Stanford University

[ pdf (369 K) ] - Mathematics: A Key Technology in Finance

Notes for the DFG-Research Center „Mathematics for key technologies“ (2002), Humboldt University of Berlin

[ postscript (2859 K) ] [ zip (576 K) ] - Singular Control of Optional Random Measures – Stochastic Optimization and Representation Problems Arising in the Microeconomic Theory of Intertemporal Consumption Choice
*Dissertation, Humboldt University of Berlin*(2000)

[ postscript (2,5 MB) , zipped postscript (905 K) ] - No Free Lunch for Large Investors

Discussion Paper 37 (1999), Sonderforschungsbereich 373, Humboldt-Universität zu Berlin

[ postscript (712 K) ] - Pricing and Hedging of Forwards, Futures and Swaps by Change of Numéraire

Discussion Paper 65 (1997), Sonderforschungsbereich 373, Humboldt-Universität zu Berlin