Stefan Ankirchner Institute for Applied Mathematics

Research papers

S. Ankirchner and T. Kruse: Optimal position targeting with stochastic linear-quadratic costs. January, 2014. PDF
S. Ankirchner, D. Hobson and P. Strack: Finite, integrable and bounded time embeddings for diffusions. To appear in Bernoulli. 2014. arXiv
S. Ankirchner, M. Jeanblanc and T. Kruse: BSDEs with singular terminal condition and control problems with constraints. To appear in SIAM J. Control Optim. 2014. arXiv
S. Ankirchner, J. Schneider and N. Schweizer: Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk. Submitted, 2013. SSRN
S. Ankirchner, C. Pigorsch and N. Schweizer: Estimating Residual Hedging Risk with Least-Squares Monte Carlo. Submitted, 2012. SSRN
S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Optimal liquidation with directional views and additional information. Submitted, 2012. PDF
S. Ankirchner, T. Kruse: Price-sensitive liquidation in continuous-time. Submitted, 2012. SSRN
S. Ankirchner, P. Kratz and T. Kruse: Hedging Forward Positions: Basis Risk Versus Liquidity Costs. SIAM J. Financial Math. 2013. SSRN
S. Ankirchner, T. Kruse: Optimal Trade Execution Under Price-Sensitive Risk Preferences. Quantitative Finance. 2012. SSRN
S. Ankirchner, G. Dimitroff, G. Heyne, C. Pigorsch: Futures Cross-hedging with a stationary spread. JFQA. 2012. PDF
S. Ankirchner, P. Strack: Skorokhod embeddings in bounded time. Stochastics and Dynamics. 2011. PDF
S. Ankirchner, A. Dermoune: Multiperiod mean-variance portfolio optimization via market cloning. Applied Mathematics and Optimization. 2011. PDF
S. Ankirchner, J. Zwierz: Initial enlargement of filtrations and entropy of Poisson compensators. Journal of Theoretical Probability. 2011. PDF
S. Ankirchner, G. Heyne: Cross hedging with stochastic correlation. Finance and Stochastics. Online 2010. Springer
S. Ankirchner, P. Imkeller, G. Dos Reis: Pricing and hedging of derivatives based on non-tradable underlyings. Mathematical Finance. 2010. arXiv
S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Credit Risk Premia and Quadratic BSDEs with a Single Jump. IJTAF. 2010. arXiv
S. Ankirchner, P. Imkeller, A. Popier: On measure solution of Backward Stochastic Differential Equations. Stoch. Proc. Appl. 2009. arXiv
S. Ankirchner, P. Imkeller: Quadratic hedging of catastrophe risk by using short term climate predictions. Preprint. 2008. PDF
S. Ankirchner, P. Imkeller, A. Popier: Optimal cross hedging of insurance derivatives. Stoch. Analysis and Applications. 2008. arXiv
S. Ankirchner, G. Heyne, P. Imkeller: A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Stochastics and Dynamics. 2008. PDF
S. Ankirchner: On filtration enlargements and purely discontinuous martingales. Stoch. Proc. Appl. 2008. PDF
S. Ankirchner, P. Imkeller, G. Dos Reis: Variational and Classical Differentiability of BSDEs with quadratic growth. Electronic Journal of Probability. 2007. arXiv
S. Ankirchner, S. Dereich, P. Imkeller: Elargement of filtrations and continuous Girsanov-type embeddings. Seminaire de Probabilites XL. 2007. PDF
S. Ankirchner, P. Imkeller: Financial markets with asymmetric information: information drift, additional utility and entropy. Proc. of the 6th Ritsumeikan Intern. Symposium. 2007. PDF
S. Ankirchner: Monotone utility convergence. Journal of Applied Probability. 2006. PDF
S. Ankirchner: Metrics on the set of semimartingale filtrations. Stochastics. 2006. PDF
S. Ankirchner, S. Dereich, P. Imkeller: The Shannon information of filtrations and the additional logarthmic utility of insiders. Annals of Probability. 2006. arXiv
S. Ankirchner: Utility duality under additional information, conditional measures versus filtration enlargements. SFB 649 Discussion paper, 2005. PDF
S. Ankirchner, P. Imkeller: Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Annales de l'Institut Henri Poincare. 2005. PDF

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

Co-authors

Christophette Blanchet-Scalliet
Steffen Dereich
Azzouz Dermoune
Georgi Dimitroff
Goncalo Dos Reis
Anne Eyraud-Loisel
Gregor Heyne
David Hobson
Peter Imkeller
Monique Jeanblanc
Peter Kratz
Thomas Kruse
Christian Pigorsch
Alexandre Popier
Judith Schneider
Nikolaus Schweizer
Philipp Strack
Jakub Zwierz