Publications

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Publications

TitleAuthorDateDownloadStatus
On a Class of Optimal Stopping Problems for Diffusions with Discontinous Coefficients Ludger Rüschendorf, Mikhail Urusov26.05.2008PDF384 kBto appear in "Annals of Applied Probability"
A Canonical Setting and Separating Times for
Continuous Local Martingales		Hans-Jürgen Engelbert, Mikhail Urusov, Mario Walter28.03.2008PDF234 kBto appear in "Stochastic Processes and their Applications"
Risk Aversion and the Dynamics of Optimal Liquidations Strategies in Illiquid MarketsAlexander Schied, Torsten Schöneborn08.02.2008PDF402 kBto appear in "Finance and Stochastics"
Optimal Stopping of Integral Functionals and a "no-loss" Free Boundary Formulation Denis Belomestny, Ludger Rüschendorf, Mikhail Urusov 21.01.2008PDF197 kBto appear in "Publication in Theory of Probability and its Applications"
Risk Minimization and Optimal Derivative Design in a Principal Agent GameUlrich Horst, Santiago Moreno23.11.2007PDF275 kBto appear in "Mathematics and Financial Economics"

Preprints

TitleAuthorDateDownload
On Securitization, Market Completion, and Equilibrium Risk TransferUlrich Horst, Tiran Pirvu, Goncalo dos Reis 11.07.2008PDF393 kB
Constrained Portfolio Liquidation in a Limit Order Book ModelAurélien Alfonsi, Alexander Schied, Antje Schulz25.06.2008PDF264 kB
Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading, Predatory Trading vs. Liquidity Provision
Alexander Schied, Torsten Schöneborn01.11.2007PDF319 kB
Optimal Portfolio Liquidation for CARA InvestorsAlexander Schied, Torsten Schöneborn27.09.2007PDF195 kB
Optimal Execution Strategies in Limit Order Books with General Shape FunctionsAurélien Alfonsi, Alexander Schied, Antje Schulz 10.08.2007PDF263 kB

PhD Theses

TitleAuthorDateDownload
Trade Execution in Illiquid MarketsTorsten Schöneborn13.05.2008PDF1,33 MB

Diploma Theses

TitleAuthorDateDownload
Is There Alpha Potential in Earnings Announcements? A characterization of EU and US market reactions
Aimee Foong
30.08.2009PDF895 kB
Optimal Display Strategies for Iceberg Orders
Gökhan Cebiroglu
15.03.2009PDF876 kB
Modelling Correlation Risk
Christopher Boortz
14.10.2008PDF1,04 MB
Optimal Portfolio Liquidation with Quadratic and Non-quadratic Risk MeasuresAdrien Roux27.09.2007PDF2,27 MB
Optimal Execution in Limit Order Book Markets with Call AuctionsAntje Schulz12.07.2007PDF1,33 MB
Soft Constraints - A Penalty Approach to the Superhedging ProblemLars Putzig30.05.2007PDF478 kB
Sample Path Explosion in Multifactor Stochastic Volatility ModelsMichael Rybak01.05.2007PDF702 kB

 

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