Prof. Dr.
Peter Bank

Professor of Mathematical Finance

Scientific Director of Quantitative Products Laboratory

 

 

Publications

On Gittins’ Index Theorem in Continuous Time (with Christian Küchler) to appear in Stochastic Processes and Their Applications [ 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

Survey

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) ]