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A Generalized Donsker Theorem and Approximating SDEs with Irregular Coefficients, with S. Ankirchner and M. Urusov, 2014. |
arxiv
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Inverse Optimal Stopping, with P. Strack, 2014. |
arxiv
|
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Optimal Stopping with Private Information, with P. Strack, To appear in the Journal of Economic Theory, 2015. |
SSRN
|
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Optimal position targeting with stochastic linear-quadratic costs, with S. Ankirchner, To appear in Banach Center Publications, 2013. |
pdf
|
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BSDEs with singular terminal condition and control problems with a constraint, with S. Ankirchner and M. Jeanblanc, SIAM Journal on Control and Optimization, 52(2):893–913, 2014. |
arxiv
|
| • |
Optimal Trade Execution Under Price-Sensitive Risk Preferences, with S. Ankirchner, Quantitative Finance, 13(9):1395–1409, 2013. |
SSRN
|
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Hedging Forward Positions: Basis Risk Versus Liquidity Costs, with S. Ankirchner and P. Kratz, SIAM Journal on Financial Mathematics, 4:1, 668-696, 2013. |
SSRN
|
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Price-Sensitive Liquidation In Continuous-Time, with S. Ankirchner, submitted, 2012. |
SSRN
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