Publications

Search
Author Title [ Type(Asc)] Year
Journal Article
Schied, Alexander . “Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses”. J. Theoret. Probab. 12 (1999): 1011–1035.
Djehiche, Boualem , and Alexander Schied. “Large deviations for hierarchical systems of interacting jump processes”. J. Theoret. Probab. 11 (1998): 1–24.
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.
Conference Paper
Schied, Alexander , and Torsten Schöneborn. “Optimal portfolio liquidation: market impact models and optimal control”. In MFO Oberwolfach Reports, 5:192-194, 2008, 5, 192-194.
Hernández-Hernández, Daniel , and Alexander Schied. “Robust maximization of consumption with logarithmic utility.”. In Proceedings of the 2007 American Control Conference, 1120-1123, 2007, 1120-1123.
Book Chapter
Schied, Alexander . “Finanzmathematik”. In Springer–Taschenbuch der Mathematik, 1015–1029. 3rdrd ed. Springer–Verlag, 2013.
Gatheral, Jim , and Alexander Schied. “Dynamical models for market impact and algorithms for optimal order execution.”. In Handbook on Systemic Risk, 579–602. Cambridge University Press, 2013.
Schied, Alexander , and Alla Slynko. “Some mathematical aspects of market impact modeling”. In Surveys in stochastic processes, 153–179. Eur. Math. Soc., Zürich, 2011.
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.
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.
Alfonsi, Aurélien , Antje Fruth, and Alexander Schied. “Constrained portfolio liquidation in a limit order book model”. In Advances in mathematics of finance, 83:9–25. Polish Acad. Sci. Inst. Math., Warsaw, 2008.
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. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics. Essays in honour of Dieter Sondermann, 39–56. Springer–Verlag, 2002.
Book
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Graduate. De Gruyter, Berlin, 2016.
Föllmer, Hans , and Alexander Schied. Stochastic finance. Extended. Walter de Gruyter & Co., Berlin, 2011.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Extended. Walter de Gruyter & Co., Berlin, 2004.

Pages