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TU Berlin
Fakultaet II
Institut fuer Mathematik

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Publications

  • The Scaling Limit of Superreplication Prices with Small
    Transaction Costs in the Multivariate Case (with Yan Dolinsky and Ari-Pekka Perrkiö)
    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. 1453
    [ doi, arXiv ]
  • On a stochastic differential equation arising in a price impact model (with Dmitry Kramkov)
    Stoch. Proc. Appl., Vol. 123(3) (2014), pp. 1160--117
    [ doi, arXiv ]
  • Optimal Order Scheduling for Determinstic Liquidity Patterns (with Antje Fruth)
    SIAM J. Finan. Math. 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 H. Föllmer)
    in Paris-Princeton Lectures on Mathematical Finance, Hrsg.: 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 D. Baum)
    Mathematical Finance (2004), 14, 1–18
    [ doi, pdf (247 K) ]
  • Existence and Structure of Stochastic Equilibria with Intertemporal Substitution (with F. Riedel)
    Finance and Stochastics (2001), 5, 487-509
    [ doi, pdf (243 K) ]
  • Optimal Consumption Choice with Intertemporal Substitution (with F. Riedel)
    The Annals of Applied Probability (2001), 11, 750-788
    [ doi, postscript (1 MB) ]
  • Singular Control of Optional Random Measures - Stochastic Optimization and Representation Problems
    Arising in the Microeconomic Theory of Intertemporal Consumption Choice
    Dissertation (2000), Humboldt University of Berlin
    [ postscript (2,5 MB) , zipped postscript (905 K) ]
  • Non-Time Additive Utility Maximization - the Case of Certainty (with F. Riedel)
    Journal of Mathematical Economics (2000), 33, 271-290
    [ doi, postscript (364 K) ]

Working Papers

  • Linear quadratic stochastic control problems with singular stochastic terminal constraint (with Moritz Voß)
    [ arXiv ]
  • Super-Replication with Fixed Transaction Costs (with Yan Dolinsky)
    [ 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) ]
  • 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

Survey

  • Mathematics: A Key Technology in Finance
    Notes for the DFG-Research Center "Mathematics for key technologies" (2002), Humboldt-Universität zu Berlin
    [ postscript (2859 K) ] [ zip (576 K) ]