Stefan Ankirchner Institute for Applied Mathematics

Information , Semimartingales. Humboldt Universität zu Berlin. March 22, 2005. PDF

Research papers

S. Ankirchner, T. Kruse: Price-sensitive liquidation in continuous-time. December, 2011. SSRN
S. Ankirchner, T. Kruse: Optimal Trade Execution Under Price-Sensitive Risk Preferences. October, 2011. SSRN
S. Ankirchner, G. Dimitroff, G. Heyne, C. Pigorsch: Futures Cross-hedging with a stationary spread. August, 2011. PDF
S. Ankirchner, P. Strack: Skorokhod embeddings in bounded time. February, 2011. PDF
S. Ankirchner, A. Dermoune: Multiperiod mean-variance portfolio optimization via market cloning. June, 2010. PDF
S. Ankirchner , G. Heyne: Cross hedging with stochastic correlation. 2010. Springer
S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Credit Risk Premia , Quadratic BSDEs with a Single Jump. November, 2009. arXiv
S. Ankirchner , J. Zwierz: Initial enlargement of filtrations , entropy of Poisson compensators. June, 2008. PDF
S. Ankirchner , P. Imkeller: Quadratic hedging of catastrophe risk by using short term climate predictions. February, 2008. PDF
S. Ankirchner, P. Imkeller, A. Popier: On measure solution of Backward Stochastic Differential Equations. July 8, 2008. arXiv
S. Ankirchner, G. Heyne, P. Imkeller: A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. December, 2007. PDF
S. Ankirchner: On filtration enlargements , purely discontinuous martingales. November, 2007. PDF
S. Ankirchner, P. Imkeller, G. Dos Reis: Pricing , hedging of derivatives based on non-tradable underlyings. July, 2007. arXiv
S. Ankirchner, P. Imkeller, G. Dos Reis: Variational , Classical Differentiability of BSDEs with quadratic growth. January 30, 2007. arXiv
S. Ankirchner , P. Imkeller: Financial markets with asymmetric information: information drift, additional utility , entropy. August 25, 2006. PDF
S. Ankirchner: Monotone utility convergence. March 28, 2006. PDF
S. Ankirchner: Metrics on the set of semimartingale filtrations. March 6, 2006. PDF
S. Ankirchner, S. Dereich, P. Imkeller: The Shannon information of filtrations , the additional logarthmic utility of insiders. arXiv
S. Ankirchner, P. Imkeller, A. Popier: Optimal cross hedging of insurance derivatives. January 10, 2006. New version of March 19, 2007. arXiv
S. Ankirchner: Utility duality under additional information, conditional measures versus filtration enlargements. SFB 649 Discussion paper, May 25, 2005. PDF
S. Ankirchner, S. Dereich, P. Imkeller: Elargement of filtrations , continuous Girsanov-type embeddings. 2005. PDF
S. Ankirchner , P. Imkeller: Finite utility on financial markets with asymmetric information , structure properties of the price dynamics. August 27, 2004. PDF

Co-authors

C. Blanchet-Scalliet
S. Dereich
A. Dermoune
G. Dimitroff
G. Dos Reis
A. Eyraud-Loisel
G. Heyne
P. Imkeller
T. Kruse
C. Pigorsch
A. Popier
P. Strack
J. Zwierz