Publications

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Publications

TitleAuthorDateDownloadStatus
Risk Aversion and the Dynamics of Optimal Liquidations Strategies in Illiquid MarketsAlexander Schied, Torsten SchönebornPDF402 kBFinance and Stochastics 13, 181 - 204 (2009)
Constrained Portfolio Liquidation in a Limit Order Book ModelAurélien Alfonsi, Antje Fruth, Alexander SchiedPDF465 kBBanach Center Publications, 83, 9 - 25 (2008)
Risk Minimization and Optimal Derivative Design in a Principal Agent GameUlrich Horst, Santiago Moreno-BrombergPDF275 kBMathematics and Financial Economics, 2, 1 - 27 (2008)
On Securitization, Market Completion and Equilibrium Risk TransferUlrich Horst, Traian A. Pirvu, Goncalo dos Reis 05.01.2010PDF496 kBto appear in "Mathematics and Financial Economics"
Optimal Execution Strategies in Limit Order Books with General Shape FunctionsAurélien Alfonsi, Antje Fruth, Alexander Schied17.11.2008PDF284 kBto appear in "Quantitative Finance"
Old and New Approaches to LIBOR ModellingAntonis Papapantoleon26.10.2009PDF224 kBto appear in "Statistica Neerlandica"
Analysis of Fourier Transfor Valuation Formulas and ApplicationsErnst Eberlein, Kathrin Glau, Antonis Papapantoleon11.09.2009PDF300 kBto appear in "Applied Mathematical Finance"
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 MartingalesHans-Jürgen Engelbert, Mikhail Urusov, Mario Walter28.03.2008PDF234 kBto appear in "Stochastic Processes and their Applications"
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"

Preprints

TitleAuthorDateDownload
Efficiency and Equilibria in Games of Optimal Derivative DesignUlrich Horst, Santiago Moreno-Bromberg17.01.2010PDF485 kB
Illiquidity and Derivative ValuationUlrich Horst, Felix Naujokat12.01.2010PDF1.236 kB
The Market Impact of a Limit OrderNikolaus Hautsch, Ruihong Huang01.2010PDF572 kB
Optimal Liquidation in Dark PoolsPeter Kratz, Torsten Schöneborn10.12.2009PDF676 kB
Quantifying High-Frequency Market Reactions to Real-Time News Sentiment AnnouncementsAxel Groß-Klußmann, Nikolaus Hautsch12.2009PDF856 kB
Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy ModelsErnst Eberlein, Kathrin Glau, Antonis Papapantoleon30.10.2009PDF272 kB
A Blocking and Regularization Approach to High Dimensional Realized Covariance EstimationNikolaus Hautsch, Lada M. Kyj, Roel C.A. Oomen10.2009PDF252 kB
Parameter-Dependent Optimal Stopping Problems for Linear DiffusionsPeter Bank, Christoph Baumgarten07.09.2009PDF308 kB
Equilibrium Pricing in Incomplete Markets under Translation Invariant PreferencesPatrick Cheridito, Ulrich Horst, Michael Kupper, Traian A. Pirvu09.2009PDF332 kB
Strong Taylor Approximation of Stochastic Differential Equations and Application to the Lévy LIBOR ModelAntonis Papapantoleon, Maria Siopacha30.06.2009PDF296 kB
Covariance Estimation in Dynamic Portfolio Optimization: A Realized Single Factor ModelKatherine Ensor, Lada M. Kyj, Barbara Ostdiek06.2009PDF524 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

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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