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), to appear in Appl Math Optim
[ doi, 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