Publications

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Author Title Type [ Year(Asc)]
2019
Schied, Alexander , and Tao Zhang. “A market impact game under transient price impact”. Math. Oper. Res. 44 (2019): 102–121.
Luo, Xiangge , and Alexander Schied. “Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons”. Market Microstructure and Liquidity 5, no. 01n04 (2019): 2050001. https://arxiv.org/1807.03813.
2018
Schied, Alexander , Leo Speiser, and Iryna Voloshchenko. “Model-free portfolio theory and its functional master formula”. SIAM J. Financial Math. 9 (2018): 1074–1101.
2017
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Domains of weak continuity of statistical functionals with a view toward robust statistics”. J. Multivariate Anal. 158 (2017): 1–19.
Schied, Alexander , Elias Strehle, and Tao Zhang. “High-frequency limit of Nash equilibria in a market impact game with transient price impact”. SIAM J. Financial Math. 8 (2017): 589–634.
Klöck, Florian , Alexander Schied, and Yuemeng Sun. “Price manipulation in a market impact model with dark pool”. Appl. Math. Finance 24 (2017): 417–450.
Schied, Alexander , and Tao Zhang. “A state-constrained differential game arising in optimal portfolio liquidation”. Math. Finance 27 (2017): 779–802.
2016
Schied, Alexander . “On a class of generalized Takagi functions with linear pathwise quadratic variation”. J. Math. Anal. Appl. 433 (2016): 974–990.
Neuman, Eyal , and Alexander Schied. “Optimal portfolio liquidation in target zone models and catalytic superprocesses”. Finance Stoch. 20 (2016): 495–509.
Mishura, Yuliya , and Alexander Schied. “Constructing functions with prescribed pathwise quadratic variation”. J. Math. Anal. Appl. 442 (2016): 117–137.
Alfonsi, Aurélien , Florian Klöck, and Alexander Schied. “Multivariate transient price impact and matrix-valued positive definite functions”. Math. Oper. Res. 41 (2016): 914–934.
Schied, Alexander , and Iryna Voloshchenko. “Pathwise no-arbitrage in a class of delta hedging strategies”. Probab. Uncertain. Quant. Risk 1 (2016): Paper No. 3, 25.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Graduate. De Gruyter, Berlin, 2016.
Schied, Alexander , and Iryna Voloshchenko. “The associativity rule in pathwise functional Itô calculus”. arXiv: 1605.0886 (2016).
2015
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Quasi-Hadamard differentiability of general risk functionals and its application”. Stat. Risk Model. 32 (2015): 25–47.
2014
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Comparative and qualitative robustness for law-invariant risk measures”. Finance Stoch. 18 (2014): 271–295.
Schied, Alexander . “Model-free CPPI”. J. Econom. Dynam. Control 40 (2014): 84–94.
2013
Alfonsi, Aurélien , and Alexander Schied. “Capacitary measures for completely monotone kernels via singular control”. SIAM J. Control Optim. 51 (2013): 1758–1780.
Schied, Alexander . “A control problem with fuel constraint and Dawson-Watanabe superprocesses”. Ann. Appl. Probab. 23 (2013): 2472–2499.
Lorenz, Christopher , and Alexander Schied. “Drift dependence of optimal trade execution strategies under transient price impact”. Finance Stoch. 17 (2013): 743–770.

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