Stochastics and Quantitative Financial Mathematics • Technische Universität Berlin
Preprints
Publications
Continuous-time mean field games with finite state space and common noise (with Daniel Hoffmann and Frank T. Seifried ), to appear in Applied Mathematics and Optimization , 2021.
Liquidation in target zone models (with Johannes Muhle-Karbe and Kevin Ou ), Market Microstructure and Liquidity , Vol. 4, No. 03n04, 1950010 (12 pages), 2020.
Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies (with Jörn Sass ), Finance and Stochastics , Vol. 23, No. 4, pp. 861-888, 2019.
Utility maximisation in a factor model with constant and proportional transaction costs (with Sören Christensen ), Finance and Stochastics , Vol. 23, No. 1, pp. 29-96, 2019.
Backward nonlinear expectation equations (with Thomas Seiferling and Frank T. Seifried ), Mathematics and Financial Economics , Vol. 12, No. 1, pp. 111-134, 2018.
A general verification result for stochastic impulse control problems (with Sören Christensen and Frank T. Seifried ), SIAM Journal on Control and Optimization , Vol. 55, No. 2, pp. 627-649, 2017.
Worst-case portfolio optimization in a market with bubbles (with Sören Christensen and Olaf Menkens ), International Journal of Theoretical and Applied Finance, Vol. 19, No. 2, 1650009 (36 pages), 2016 .
Awarded with the Joseph A. Schumpeter Prize 2017 of the Department IV, University of Trier , and Deutsche Bundesbank, Hauptverwaltung in Rheinland-Pfalz und dem Saarland .
On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs (with Olaf Menkens and Jörn Sass ), SIAM Journal on Control and Optimization , Vol. 53, No. 5, pp. 2878-2897, 2015.
Worst-case portfolio optimization with proportional transaction costs (with Olaf Menkens and Jörn Sass ), Stochastics: An International Journal of Probability and Stochastic Processes , Vol. 87, No. 4, pp. 623-663, 2015.
Worst-case optimal investment with a random number of crashes (with Sören Christensen and Olaf Menkens ), Statistics & Probability Letters , Vol. 90, pp. 140-148, 2014.
PhD Thesis
Diploma Thesis
Worst-case portfolio optimization under proportional transaction costs , University of Kaiserslautern, 2011.
Awarded with the Landesbank Baden-Württemberg Auszeichnung für herausragende Leistung im Rahmen der Abschlussarbeit .