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S. Ankirchner, C. Pigorsch and N. Schweizer: Estimating Residual Hedging Risk with Least-Squares Monte Carlo. September, 2012. |
SSRN
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S. Ankirchner, P. Kratz and T. Kruse: Hedging Forward Positions: Basis Risk Versus Liquidity Costs. July, 2012. |
SSRN
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| S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Optimal liquidation with directional views and additional information. July, 2012. |
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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. JFQA. 2011. |
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S. Ankirchner, P. Strack: Skorokhod embeddings in bounded time. Stochastics and Dynamics. 2011. |
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| S. Ankirchner, A. Dermoune: Multiperiod mean-variance portfolio optimization via market cloning. Applied Mathematics and Optimization. 2011. |
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| S. Ankirchner, J. Zwierz: Initial enlargement of filtrations and entropy of Poisson compensators. Journal of Theoretical Probability. 2011. |
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| S. Ankirchner, G. Heyne: Cross hedging with stochastic correlation. Finance and Stochastics. Online 2010. |
Springer
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| S. Ankirchner, P. Imkeller, G. Dos Reis: Pricing and hedging of derivatives based on non-tradable underlyings. Mathematical Finance. 2010. |
arXiv
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| S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel: Credit Risk Premia and Quadratic BSDEs with a Single Jump. IJTAF. 2010. |
arXiv
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| S. Ankirchner, P. Imkeller, A. Popier: On measure solution of Backward Stochastic Differential Equations. Stoch. Proc. Appl. 2009. |
arXiv
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| S. Ankirchner, P. Imkeller: Quadratic hedging of catastrophe risk by using short term climate predictions. Preprint. 2008. |
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| S. Ankirchner, P. Imkeller, A. Popier: Optimal cross hedging of insurance derivatives. Stoch. Analysis and Applications. 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.
Stochastics and Dynamics. 2008. |
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| S. Ankirchner: On filtration enlargements and purely discontinuous martingales. Stoch. Proc. Appl. 2008. |
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| S. Ankirchner, P. Imkeller, G. Dos Reis: Variational and Classical Differentiability of BSDEs with quadratic growth.
Electronic Journal of Probability. 2007. |
arXiv
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| S. Ankirchner, S. Dereich, P. Imkeller: Elargement of filtrations and continuous Girsanov-type embeddings.
Seminaire de Probabilites XL. 2007. |
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| S. Ankirchner, P. Imkeller: Financial markets with asymmetric information: information drift, additional utility and entropy.
Proc. of the 6th Ritsumeikan Intern. Symposium. 2007. |
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| S. Ankirchner: Monotone utility convergence. Journal of Applied Probability. 2006. |
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| S. Ankirchner: Metrics on the set of semimartingale filtrations. Stochastics. 2006. |
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| S. Ankirchner, S. Dereich, P. Imkeller: The Shannon information of filtrations and the additional logarthmic utility of insiders.
Annals of Probability. 2006.
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arXiv
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| S. Ankirchner: Utility duality under additional information, conditional measures versus filtration enlargements. SFB 649 Discussion paper, 2005. |
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| 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. |
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