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1

Optimal trade execution under price-sensitive risk preferences

Ankirchner, Stefan, Kruse, Thomas

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 419 KB

english, 2013

2

ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO

ANKIRCHNER, STEFAN, PIGORSCH, CHRISTIAN, SCHWEIZER, NIKOLAUS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 368 KB

english, 2014

3

The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders

Stefan Ankirchner, Steffen Dereich and Peter Imkeller

Journal:

The Annals of Probability

Year:

2006

Language:

english

File:

PDF, 2.71 MB

english, 2006

4

On measure solutions of backward stochastic differential equations

Stefan Ankirchner, Peter Imkeller, Alexandre Popier

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 980 KB

english, 2009

5

Cross hedging with stochastic correlation

Stefan Ankirchner, Gregor Heyne

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 822 KB

english, 2012

6

Finite utility on financial markets with asymmetric information and structure properties of the price dynamics

Stefan Ankirchner, Peter Imkeller

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2005

Language:

english

File:

PDF, 233 KB

english, 2005

7

PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

Stefan Ankirchner, Peter Imkeller, Gonçalo Dos Reis

Journal:

Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 237 KB

english, 2010

8

Hedging Forward Positions: Basis Risk Versus Liquidity Costs

Ankirchner, Stefan, Kratz, Peter, Kruse, Thomas

Journal:

SIAM Journal on Financial Mathematics

Year:

2013

Language:

english

File:

PDF, 369 KB

english, 2013

9

CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

ANKIRCHNER, STEFAN, BLANCHET-SCALLIET, CHRISTOPHETTE, EYRAUD-LOISEL, ANNE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 338 KB

english, 2010

10

Futures Cross-Hedging with a Stationary Basis

Ankirchner, Stefan, Dimitroff, Georgi, Heyne, Gregor, Pigorsch, Christian

Journal:

Journal of Financial and Quantitative Analysis

Year:

2012

Language:

english

File:

PDF, 321 KB

english, 2012

11

Optimal Trade Execution Under Price-Sensitive Risk Preferences

Ankirchner, Stefan, Kruse, Thomas

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 379 KB

english, 2011

12

Hedging Forward Positions: Basis Risk Versus Liquidity Costs

Ankirchner, Stefan, Kratz, Peter, Kruse, Thomas

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 371 KB

english, 2012

13

Last minute panic in zero sum games

Ankirchner, Stefan, Blanchet-Scalliet, Christophette, Kümmel, Kai

Journal:

ESAIM Control Optimisation and Calculus of Variations

Year:

2019

Language:

english

File:

PDF, 484 KB

english, 2019

14

On filtration enlargements and purely discontinuous martingales

Stefan Ankirchner

Journal:

Stochastic Processes and their Applications

Year:

2008

Language:

english

File:

PDF, 367 KB

english, 2008

15

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Stefan Ankirchner, Azzouz Dermoune

Journal:

Applied Mathematics & Optimization

Year:

2011

Language:

english

File:

PDF, 636 KB

english, 2011

16

Initial Enlargement of Filtrations and Entropy of

Stefan Ankirchner, Jakub Zwierz

Journal:

Journal of Theoretical Probability

Year:

2011

Language:

english

File:

PDF, 563 KB

english, 2011

17

Cross-hedging minimum return guarantees: Basis and liquidity risks

Ankirchner, Stefan, Schneider, Judith C., Schweizer, Nikolaus

Journal:

Journal of Economic Dynamics and Control

Year:

2014

Language:

english

File:

PDF, 1.25 MB

english, 2014

18

BSDEs with Singular Terminal Condition and a Control Problem with Constraints

Ankirchner, Stefan, Jeanblanc, Monique, Kruse, Thomas

Journal:

SIAM Journal on Control and Optimization

Year:

2014

Language:

english

File:

PDF, 308 KB

english, 2014

19

Metrics on the set of semimartingale filtrations

Ankirchner, Stefan

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2006

Language:

english

File:

PDF, 168 KB

english, 2006

20

PREFACE

Ankirchner, Stefan, Arnold, Ludwig, Kloeden, Peter, pavlyukevich, Ilya

Journal:

Stochastics and Dynamics

Year:

2011

Language:

english

File:

PDF, 1.19 MB

english, 2011

21

A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT

ANKIRCHNER, STEFAN, HEYNE, GREGOR, IMKELLER, PETER

Journal:

Stochastics and Dynamics

Year:

2008

Language:

english

File:

PDF, 200 KB

english, 2008

22

SKOROKHOD EMBEDDINGS IN BOUNDED TIME

ANKIRCHNER, STEFAN, STRACK, PHILIPP

Journal:

Stochastics and Dynamics

Year:

2011

Language:

english

File:

PDF, 192 KB

english, 2011

23

Optimal Cross Hedging of Insurance Derivatives

Ankirchner, Stefan, Imkeller, Peter, Popier, Alexandre

Journal:

Stochastic Analysis and Applications

Year:

2008

Language:

english

File:

PDF, 190 KB

english, 2008

24

Monotone Utility Convergence

Stefan Ankirchner

Journal:

Journal of Applied Probability

Year:

2006

Language:

english

File:

PDF, 916 KB

english, 2006

25

Controlling the Occupation Time of an Exponential Martingale

Ankirchner, Stefan, Blanchet-Scalliet, Christophette, Jeanblanc, Monique

Journal:

Applied Mathematics & Optimization

Year:

2016

Language:

english

File:

PDF, 472 KB

english, 2016

26

Numerical approximation of irregular SDEs via Skorokhod embeddings

Ankirchner, Stefan, Kruse, Thomas, Urusov, Mikhail

Journal:

Journal of Mathematical Analysis and Applications

Year:

2016

Language:

english

File:

PDF, 755 KB

english, 2016

27

Finite, integrable and bounded time embeddings for diffusions

Ankirchner, Stefan, Hobson, David, Strack, Philipp

Journal:

Year:

2015

Language:

english

File:

PDF, 218 KB

english, 2015

28

The Shannon information of filtrations and the additional logarithmic utility of insiders

Ankirchner, Stefan, Dereich, Steffen, Imkeller, Peter

Journal:

The Annals of Probability

Year:

2006

Language:

english

File:

PDF, 308 KB

english, 2006

29

WLLN for arrays of nonnegative random variables

Ankirchner, Stefan, Kruse, Thomas, Urusov, Mikhail

Journal:

Statistics & Probability Letters

Year:

2017

Language:

english

File:

PDF, 424 KB

english, 2017

30

Classical and Variational Differentiability of BSDEs with Quadratic Growth

Ankirchner, Stefan, Imkeller, Peter, Dos Reis, Goncalo

Journal:

Electronic Journal of Probability

Year:

2007

Language:

english

File:

PDF, 428 KB

english, 2007

31

A Verification Theorem for Optimal Stopping Problems with Expectation Constraints

Ankirchner, Stefan, Klein, Maike, Kruse, Thomas

Journal:

Applied Mathematics & Optimization

Year:

2017

Language:

english

File:

PDF, 851 KB

english, 2017

32

A functional limit theorem for irregular SDEs

Ankirchner, Stefan, Kruse, Thomas, Urusov, Mikhail

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2017

Language:

english

File:

PDF, 279 KB

english, 2017

33

Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints

Ankirchner, Stefan, Klein, Maike, Kruse, Thomas

Journal:

Applied Mathematics & Optimization

Year:

2017

Language:

english

File:

PDF, 327 KB

english, 2017

34

Monotone utility convergence

Ankirchner, Stefan

Journal:

Journal of Applied Probability

Year:

2006

Language:

english

File:

PDF, 147 KB

english, 2006

35

Optimal Control of Diffusion Coefficients via Decoupling Fields

Ankirchner, Stefan, Fromm, Alexander

Journal:

SIAM Journal on Control and Optimization

Year:

2018

File:

PDF, 374 KB

2018

36

Optimal Control of Diffusion Coefficients via Decoupling Fields

Ankirchner, Stefan, Fromm, Alexander

Journal:

SIAM Journal on Control and Optimization

Year:

2018

Language:

english

File:

PDF, 374 KB

english, 2018

37

Estimating Residual Hedging Risk with Least-Squares Monte Carlo

Ankirchner, Stefan, Pigorsch, Christian, Schweizer, Nikolaus

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 457 KB

english, 2012

38

Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk

Ankirchner, Stefan, Schneider, Judith C., Schweizer, Nikolaus

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 471 KB

english, 2012

39

Price-Sensitive Liquidation In Continuous-Time

Ankirchner, Stefan, Kruse, Thomas

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 343 KB

english, 2012

40

The De Vylder–Goovaerts conjecture holds within the diffusion limit

Ankirchner, Stefan, Blanchet-Scalliet, Christophette, Kazi-Tani, Nabil

Journal:

Journal of Applied Probability

Year:

2019

Language:

english

File:

PDF, 160 KB

english, 2019