Prof. Dr.
Peter Bank
Professor of Mathematical Finance


 Continuoustime Duality for Superreplication with Transient Price Impact
(with Yan Dolinsky)
To appear in The Annals of Applied Probability
[ arXiv ]
 SuperReplication with Fixed Transaction Costs
(with Yan Dolinsky)
The Annals of Applied Probability, 29(2), (2019), 739757
[ doi, arXiv ]
 Linear quadratic stochastic control problems with singular stochastic terminal constraint
(with Moritz Voß)
SIAM J. Control Optim., 56(2), (2018), 672699
[ doi, arXiv ]
 The Scaling Limit of Superreplication Prices with Small
Transaction Costs in the Multivariate Case (with Yan Dolinsky and AriPekka Perkkiö)
Finance and Stochastics, 21(2), (2017), 487508
[ doi,
arXiv ]
 Hedging with Temporary Price Impact (with Mete Soner and Moritz Voß)
Mathematics and Financial Economics, 11(2), (2017), 215239
[ doi,
arXiv ]
 Convex Duality for stochastic singular control problems (with Helena Kauppila)
The Annals of Applied Probability, 27(1), (2017), 485516
[ doi,
arXiv ]
 Superreplication with nonlinear transaction costs and
volatility uncertainty (with Yan Dolinsky and Selim Gökay)
The Annals of Applied Probability, 26(3), (2016), 16981726
[ doi,
arXiv ]
 Supperreplication when trading at market indifference prices (with Selim Gökay)
Finance and Stochastics,
20(1), (2016), 153182
[ doi, pdf (354 K) ]
 A large model for a large investor trading at market indifference prices I: singleperiod case (with Dmitry Kramkov)
Finance and Stochastics, 19(2), (2015), pp. 449472
[ doi, arXiv ]
 A large model for a large investor trading at market indifference prices II: continuoustime 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)
Stoch. Proc. Appl., Vol. 123(3) (2014), pp. 1160117
[ doi, arXiv ]
 Optimal Order Scheduling for Determinstic Liquidity Patterns (with Antje Fruth)
SIAM J. Finan. Math. 51 (2014), pp. 137152
[ doi, arXiv ]
 Parameterdependent optimal stopping for onedimensional diffusions (with Christoph Baumgarten)
Electronic Journal of Probability (2010), 19711993
[ doi,
pdf (512 K) ]
 On Gittins’ Index Theorem in Continuous Time (with Christian Küchler)
Stochastic Processes and Their Applications (2007), 13571371
[ doi,
pdf (228 K) ]
 Optimal Control under a Dynamic Fuel Constraint
SIAM Journal on Control and Optimization (2005), Vol. 44, No. 4, 15291541
[ 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, Multiarmed Bandits, and Optimal Consumption Plans: A Unifying View (with Hans Föllmer)
in ParisPrinceton 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 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, 487509
[ doi,
pdf (243 K) ]
 Optimal Consumption Choice with Intertemporal Substitution (with Frank Riedel)
The Annals of Applied Probability (2001), 11, 750788
[ 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) ]
 NonTime Additive Utility Maximization  the Case of Certainty (with F. Riedel)
Journal of Mathematical Economics (2000), 33, 271290
[ doi,
postscript (364 K) ]


 Modelling information flow in stochastic optimal control: How Meyer$\sigma$fields settle the clash between exogenous and endogenous jumps
(with David Besslich)
[ arXiv
]
 On a Stochastic Representation Theorem for Meyermeasurable Processes
and its Applications in Stochastic Optimal Control and Optimal Stopping
(with David Besslich)
[ arXiv
]
 On El Karoui's General Theory of Optimal Stopping
(with David Besslich)
[ arXiv
]
 Scaling Limits for Superreplication with Transient Price Impact
(with Yan Dolinsky)
[ arXiv
]
 Liquidity in Competitive Dealer Markets
(with Ibrahim Ekren and Johannes MuhleKarbe)
[ arXiv ]
 Optimal Investment with Transient Price Impact
(with Moritz Voß)
[ arXiv ]
 Optimal Dynamic Choice of Durable and Perishable Goods (with Frank Riedel)
Discussion Paper 03009 (2003), Department of Economics, Stanford University
[ pdf (369 K) ]
 No Free Lunch for Large Investors
Discussion Paper 37 (1999), Sonderforschungsbereich 373, HumboldtUniversität zu Berlin
[ postscript (712 K) ]
 Pricing and Hedging of Forwards, Futures and Swaps by Change of Numéraire
Discussion Paper 65 (1997), Sonderforschungsbereich 373, HumboldtUniversität zu Berlin


 Mathematics: A Key Technology in Finance
Notes for the DFGResearch Center "Mathematics for key technologies" (2002), HumboldtUniversität zu Berlin
[ postscript (2859 K) ] [ zip (576 K) ]

