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