Preprints
Please contact us if you encounter any problems downloading our preprints.
- Continuous equilibrium in affine and information-based capital asset pricing models (Ulrich Horst, Michael Kupper, Andrea Macrina, Christoph Mainberger)
- Forward-backward systems for expected utility maximization (Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Reveillac & Jianing Zhang)
- Optimal liquidation in dark pools (Peter Kratz & Thorsten Schöneborn)
- The Stability of the Constrained Utility Maximization Problem - A BSDE Approach (Markus Mocha & Nicholas Westray)
- Quadratic Semimartingale BSDEs under an Exponential Moments Condition (Markus Mocha & Nicholas Westray)
- BSDEs in Utility Maximization with BMO Market Price of Risk (Christoph Frei, Markus Mocha & Nicholas Westray)
- Optimal display of iceber orders (Gökhan Cebiroglu & Ulrich Horst)
- When to Cross the Spread: Curve Following with Singular Control (Felix Naujokat & Ulrich Horst)
- Equilibrium in incomplete markets under translation invariant preferences (Patrick Cheridito, Ulrich Horst, Michael Kupper & Traian Pirvu
News
- Coming up: 4th Humboldt Distinguished Lecture Series in Applied Mathematics by Paul Embrechts
- Oliver Janke joins the Chair as a research assistant effective April 1st. Welcome!
d-fine fellowship
d-fine, the consultancy specializing in the financial sector, sponsors a PhD fellowship "Optimization in Financial Markets". The fellowship has been awarded to Paulwin Gräwe.
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