Prof. Dr.
Peter Bank
Professor of Mathematical Finance
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- Optimal Investment with Transient Price Impact
(with Moritz Voß)
To appear in SIAM Journal on Financial Mathematics
[ arXiv ]
- Continuous-time Duality for Super-replication with Transient Price Impact
(with Yan Dolinsky)
To appear in The Annals of Applied Probability
[ arXiv ]
- Super-Replication with Fixed Transaction Costs
(with Yan Dolinsky)
The Annals of Applied Probability, 29(2), (2019), 739-757
[ doi, arXiv ]
- Linear quadratic stochastic control problems with singular stochastic terminal constraint
(with Moritz Voß)
SIAM J. Control Optim., 56(2), (2018), 672-699
[ doi, arXiv ]
- The Scaling Limit of Superreplication Prices with Small
Transaction Costs in the Multivariate Case (with Yan Dolinsky and Ari-Pekka Perkkiö)
Finance and Stochastics, 21(2), (2017), 487-508
[ doi,
arXiv ]
- Hedging with Temporary Price Impact (with Mete Soner and Moritz Voß)
Mathematics and Financial Economics, 11(2), (2017), 215-239
[ doi,
arXiv ]
- Convex Duality for stochastic singular control problems (with Helena Kauppila)
The Annals of Applied Probability, 27(1), (2017), 485-516
[ doi,
arXiv ]
- Super-replication with nonlinear transaction costs and
volatility uncertainty (with Yan Dolinsky and Selim Gökay)
The Annals of Applied Probability, 26(3), (2016), 1698-1726
[ doi,
arXiv ]
- Supperreplication when trading at market indifference prices (with Selim Gökay)
Finance and Stochastics,
20(1), (2016), 153-182
[ doi, pdf (354 K) ]
- A large model for a large investor trading at market indifference prices I: single-period case (with Dmitry Kramkov)
Finance and Stochastics, 19(2), (2015), pp. 449-472
[ doi, arXiv ]
- A large model for a large investor trading at market indifference prices II: continuous-time case (with Dmitry Kramkov)
The Annals of Applied
Probability, Vol. 25, No. 5, (2015), 2708–2742
[ doi, arXiv ]
- The stochastic field of aggregate utilities and its saddle conjugate (with Dmitry Kramkov)
Proceedings of the Steklov Institute of Mathematics, Vol. 287 (2014), pp. 14–53
[ doi, arXiv ]
- On a stochastic differential equation arising in a price impact model (with Dmitry Kramkov)
Stoch. Proc. Appl., Vol. 123(3) (2014), pp. 1160--117
[ doi, arXiv ]
- Optimal Order Scheduling for Determinstic Liquidity Patterns (with Antje Fruth)
SIAM J. Finan. Math. 5-1 (2014), pp. 137-152
[ doi, arXiv ]
- Parameter-dependent optimal stopping for one-dimensional diffusions (with Christoph Baumgarten)
Electronic Journal of Probability (2010), 1971-1993
[ doi,
pdf (512 K) ]
- On Gittins’ Index Theorem in Continuous Time (with Christian Küchler)
Stochastic Processes and Their Applications (2007), 1357-1371
[ doi,
pdf (228 K) ]
- Optimal Control under a Dynamic Fuel Constraint
SIAM Journal on Control and Optimization (2005), Vol. 44, No. 4, 1529-1541
[ doi,
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
[ doi,
pdf (313 K)]
- American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View (with Hans 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)
[ doi,
pdf (882 K) ]
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader (with Dietmar Baum)
Mathematical Finance (2004), 14, 1–18
[ doi,
pdf (247 K) ]
- Existence and Structure of Stochastic Equilibria with Intertemporal Substitution (with Frank Riedel)
Finance and Stochastics (2001), 5, 487-509
[ doi,
pdf (243 K) ]
- Optimal Consumption Choice with Intertemporal Substitution (with Frank Riedel)
The Annals of Applied Probability (2001), 11, 750-788
[ doi,
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) ]
- Non-Time Additive Utility Maximization - the Case of Certainty (with F. Riedel)
Journal of Mathematical Economics (2000), 33, 271-290
[ doi,
postscript (364 K) ]
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- Modelling information flow in stochastic optimal control: How Meyer-$\sigma$-fields settle the clash between exogenous and endogenous jumps
(with David Besslich)
[ arXiv
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- On a Stochastic Representation Theorem for Meyer-measurable Processes
and its Applications in Stochastic Optimal Control and Optimal Stopping
(with David Besslich)
[ arXiv
]
- On El Karoui's General Theory of Optimal Stopping
(with David Besslich)
[ arXiv
]
- Scaling Limits for Super-replication with Transient Price Impact
(with Yan Dolinsky)
[ arXiv
]
- Liquidity in Competitive Dealer Markets
(with Ibrahim Ekren and Johannes Muhle-Karbe)
[ arXiv ]
- Optimal Dynamic Choice of Durable and Perishable Goods (with Frank Riedel)
Discussion Paper 03-009 (2003), Department of Economics, Stanford University
[ pdf (369 K) ]
- 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
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- 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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