Publications

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Author Title Type [ Year(Asc)]
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 . “Finanzmathematik”. In Springer–Taschenbuch der Mathematik, 1015–1029. 3rdrd ed. Springer–Verlag, 2013.
2012
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.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Qualitative and infinitesimal robustness of tail-dependent statistical functionals”. J. Multivariate Anal. 103 (2012): 35–47.
Gatheral, Jim , Alexander Schied, and Alla Slynko. “Transient linear price impact and Fredholm integral equations”. Math. Finance 22 (2012): 445–474.
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.
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.
Schied, Alexander , and Alla Slynko. “Some mathematical aspects of market impact modeling”. In Surveys in stochastic processes, 153–179. Eur. Math. Soc., Zürich, 2011.
Föllmer, Hans , and Alexander Schied. Stochastic finance. Extended. Walter de Gruyter & Co., Berlin, 2011.
2010
Schied, Alexander , Torsten Schöneborn, and Michael Tehranchi. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.
Alfonsi, Aurélien , Antje Fruth, and Alexander Schied. “Optimal execution strategies in limit order books with general shape functions”. Quant. Finance 10 (2010): 143–157.
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.
Föllmer, Hans , and Alexander Schied. “Coherent and convex risk measures”. In Encyclopedia of quantitative finance, 355–363. John Wiley & Sons, 2010.
2009
Schied, Alexander , and Torsten Schöneborn. “Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets”. Finance Stoch. 13 (2009): 181–204.
Schöneborn, Torsten , and Alexander Schied. “Liquidation in the face of adversity: stealth vs. sunshine trading”, 2009.
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.
2008
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.
Schied, Alexander . “Robust optimal control for a consumption-investment problem”. Math. Methods Oper. Res. 67 (2008): 1–20.
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.
2007
Hernández-Hernández, Daniel , and Alexander Schied. “A control approach to robust utility maximization with logarithmic utility and time-consistent penalties”. Stochastic Process. Appl. 117 (2007): 980–1000.

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