Publications

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[ Author(Asc)] Title Type Year
G
Gatheral, Jim , Alexander Schied, and Alla Slynko. “Transient linear price impact and Fredholm integral equations”. Math. Finance 22 (2012): 445–474.
Gatheral, Jim , and Alexander Schied. “Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework”. Int. J. Theor. Appl. Finance 14 (2011): 353–368.
Gatheral, Jim , Alexander Schied, and Alla Slynko. “Exponential resilience and decay of market impact”. In Econophysics of order-driven markets, 225–236. Springer, Milan, 2011.
F
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Graduate. De Gruyter, Berlin, 2016.
Föllmer, Hans , and Alexander Schied. “Probabilistic aspects of finance”. Bernoulli 19 (2013): 1306–1326.
Föllmer, Hans , and Alexander Schied. Stochastic finance. Extended. Walter de Gruyter & Co., Berlin, 2011.
Föllmer, Hans , and Alexander Schied. “Coherent and convex risk measures”. In Encyclopedia of quantitative finance, 355–363. John Wiley & Sons, 2010.
Föllmer, Hans , Alexander Schied, and Stefan Weber. “Robust preferences and robust portfolio choice”. In Mathematical modelling and numerical methods in finance, 15:29–88. Elsevier, 2009.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Extended. Walter de Gruyter & Co., Berlin, 2004.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Walter de Gruyter & Co., Berlin, 2002.
Föllmer, Hans , and Alexander Schied. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics, 39–56. Springer, Berlin, 2002.
Föllmer, Hans , and Alexander Schied. “Convex measures of risk and trading constraints”. Finance Stoch. 6 (2002): 429–447.
Föllmer, Hans , and Alexander Schied. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics. Essays in honour of Dieter Sondermann, 39–56. Springer–Verlag, 2002.
E
Embrechts, Paul , Alexander Schied, and Ruodu Wang. “Robustness in the Optimization of Risk Measures”. Operations Research 70, no. 1 (2022): 95-110. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3254587.
D
Drapeau, Samuel , Peng Luo, Alexander Schied, and Dewen Xiong. “An FBSDE approach to market impact games with stochastic parameters”. Probability, Uncertainty and Quantitative Risk 6, no. 3 (2021): 237-260. https://www.aimsciences.org/article/doi/10.3934/puqr.2021012.
Djehiche, Boualem , and Alexander Schied. “Large deviations for hierarchical systems of interacting jump processes”. J. Theoret. Probab. 11 (1998): 1–24.
A
Alfonsi, Aurélien , Florian Klöck, and Alexander Schied. “Multivariate transient price impact and matrix-valued positive definite functions”. Math. Oper. Res. 41 (2016): 914–934.
Alfonsi, Aurélien , and Alexander Schied. “Capacitary measures for completely monotone kernels via singular control”. SIAM J. Control Optim. 51 (2013): 1758–1780.
Alfonsi, Aurélien , Alexander Schied, and Alla Slynko. “Order book resilience, price manipulation, and the positive portfolio problem”. SIAM J. Financial Math. 3 (2012): 511–533.
Alfonsi, Aurélien , and Alexander Schied. “Optimal trade execution and absence of price manipulations in limit order book models”. SIAM J. Financial Math. 1 (2010): 490–522.

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