Stochastics and Quantitative Financial Mathematics • Technische Universität Berlin
- Optimal trading with general signals and liquidation in target zone models (with Johannes Muhle-Karbe and Kevin Ou), accepted for publication in Market Microstructure and Liquidity, 2019.
- 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.
- 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.