Publications

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[ Author(Asc)] Title Type Year
S
Schied, Alexander , and Mitja Stadje. “Robustness of delta hedging for path-dependent options in local volatility models”. J. Appl. Probab. 44 (2007): 865–879.
Schied, Alexander . “Risk measures and robust optimization problems”. Stoch. Models 22 (2006): 753–831.
Schied, Alexander . “Optimal investments for robust utility functionals in complete market models”. Math. Oper. Res. 30 (2005): 750–764.
Schied, Alexander , and Ching-Tang Wu. “Duality theory for optimal investments under model uncertainty”. Statist. Decisions 23 (2005): 199–217.
Schied, Alexander . “Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses”. J. Theoret. Probab. 12 (1999): 1011–1035.
Schied, Alexander . “Cramer's condition and Sanov's theorem”. Statist. Probab. Lett. 39 (1998): 55–60.
Schied, Alexander . “Moderate deviations and functional LIL for super-Brownian motion”. Stochastic Process. Appl. 72 (1997): 11–25.
Schied, Alexander . “Geometric aspects of Fleming-Viot and Dawson-Watanabe processes”. Ann. Probab. 25 (1997): 1160–1179.
Schied, A. . “Sample path large deviations for super-Brownian motion”. Probab. Theory Related Fields 104 (1996): 319–347.
Schied, Alexander . Grosse Abweichungen für die Pfade der Super-Brownschen Bewegung. Bonner Mathematische Schriften [Bonn Mathematical Publications]. Vol. 277. Universität Bonn, Mathematisches Institut, Bonn, 1995.
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Röckner, Michael , and Alexander Schied. “Rademacher's theorem on configuration spaces and applications”. J. Funct. Anal. 169 (1999): 325–356.
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Neuman, Eyal , and Alexander Schied. “Protecting Pegged Currency Markets from Speculative Investors”. Mathematical Finance 32, no. 1 (2022): 405-420. http://dx.doi.org/10.1111/mafi.12324.
Neuman, Eyal , Alexander Schied, Chengguo Weng, and Xiaole Xue. “A central bank strategy for defending a currency peg”. Systems Control Lett. 144 (2020): 104761, 7.
Neuman, Eyal , and Alexander Schied. “Optimal portfolio liquidation in target zone models and catalytic superprocesses”. Finance Stoch. 20 (2016): 495–509.
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Mishura, Yuliya , and Alexander Schied. “On (signed) Takagi-Landsberg functions: $p$th variation, maximum, and modulus of continuity”. J. Math. Anal. Appl. 473 (2019): 258–272.
Mishura, Yuliya , and Alexander Schied. “Constructing functions with prescribed pathwise quadratic variation”. J. Math. Anal. Appl. 442 (2016): 117–137.
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Luo, Peng , Allexander Schied, and Xiaole Xue. “ The perturbation method applied to a robust optimization problem with constraint”. Mathematics and Financial Economics (Accepted). http://arxiv.org/abs/2402.08260.

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