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TU Berlin

Inhalt des Dokuments

Artikel

  • On Gittins’ Index Theorem in Continuous Time (with Christian Küchler)
    Stochastic Processes and Their Applications, Vol. 117(9), 1357–1371 (2007)
    [ pdf (228 K) ]
  • Optimal Control under a Dynamic Fuel Constraint
    SIAM Journal on Control and Optimization (2005), Vol. 44, No. 4, 1529-1541
    [ pdf (255 K) ]
  • A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems (with N. El Karoui)
    The Annals of Probability (2004), Vol. 32, No. 1B, 1030–1067
    [ pdf (313 K)]
  • American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View (with H. Föllmer)
    in Paris-Princeton Lectures on Mathematical Finance, Hrsg.: R. Carmona, E. Cinlar, I. Ekeland, E. Jouini, J. Scheinkman, N. Touzi, Lecture Notes in Mathematics, Vol. 1814, Springer, 2003.
    (This paper has won the Best Paper Award at the Blaise Pascal International Conference on Financial Modelling, Paris 2003. - shared with Josef Teichmann)
    [ pdf (882 K) ]
  • Hedging and Portfolio Optimization in Financial Markets with a Large Trader (with D. Baum)
    Mathematical Finance (2004), 14, 1–18
    [ pdf (247 K) ]
  • Existence and Structure of Stochastic Equilibria with Intertemporal Substitution (with F. Riedel)
    Finance and Stochastics (2001), 5, 487-509
    [ pdf (243 K) ]
  • Optimal Consumption Choice with Intertemporal Substitution (with F. Riedel)
    Annals of Applied Probability (2001), 11, 750-788
    [ postscript (1 MB) ]
  • Singular Control of Optional Random Measures - Stochastic Optimization and Representation Problems
    Arising in the Microeconomic Theory of Intertemporal Consumption Choice
    Dissertation (2000), Humboldt University of Berlin
    [ postscript (2,5 MB) , zipped postscript (905 K) ]
    (This thesis has won the Joachim-Tiburtius-Preis 2001.)
  • Non-Time Additive Utility Maximization - the Case of Certainty (with F. Riedel)
    Journal of Mathematical Economics (2000), 33, 271-290
    [ postscript (364 K) ]

Working Papers

  • Optimal Dynamic Choice of Durable and Perishable Goods
    Discussion Paper 03-009 (2003), Department of Economics, Stanford University
    [ pdf (369 K) ] (with Frank Riedel)
  • No Free Lunch for Large Investors
    Discussion Paper 37 (1999), Sonderforschungsbereich 373, Humboldt-Universität zu Berlin
    [ postscript (712 K) ]
  • Pricing and Hedging of Forwards, Futures and Swaps by Change of Numéraire
    Discussion Paper 65 (1997), Sonderforschungsbereich 373, Humboldt-Universität zu Berlin

Übersichtsartikel

  • Mathematics: A Key Technology in Finance
    Notes for the DFG-Research Center "Mathematics for key technologies" (2002), Humboldt-Universität zu Berlin
    [ postscript (2859 K) ] [ zip (576 K) ]

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