Publications

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[ Author(Desc)] Title Type Year
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Lorenz, Christopher , and Alexander Schied. “Drift dependence of optimal trade execution strategies under transient price impact”. Finance Stoch. 17 (2013): 743–770.
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.
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.
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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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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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Röckner, Michael , and Alexander Schied. “Rademacher's theorem on configuration spaces and applications”. J. Funct. Anal. 169 (1999): 325–356.
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Schied, Alexander , and Zhenyuan Zhang. “Weierstrass bridges”. Transactions on the AMS 377, no. 4 (2024): 2947-2989. https://arxiv.org/abs/2304.04944.
Schied, Alexander , and Elias Strehle. “On the minimizers of energy forms with completely monotone kernel”. Applied Mathematics and Optimization 83, no. 1 (2021): 177–205.
Schied, Alexander , and Zhenyuan Zhang. “On the $p$th variation of a class of fractal functions”. Proc. Amer. Math. Soc. 148 (2020): 5399–5412.
Schied, Alexander , and Tao Zhang. “A market impact game under transient price impact”. Math. Oper. Res. 44 (2019): 102–121.
Schied, Alexander , Leo Speiser, and Iryna Voloshchenko. “Model-free portfolio theory and its functional master formula”. SIAM J. Financial Math. 9 (2018): 1074–1101.
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.
Schied, Alexander , and Tao Zhang. “A state-constrained differential game arising in optimal portfolio liquidation”. Math. Finance 27 (2017): 779–802.
Schied, Alexander . “On a class of generalized Takagi functions with linear pathwise quadratic variation”. J. Math. Anal. Appl. 433 (2016): 974–990.
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.
Schied, Alexander , and Iryna Voloshchenko. “The associativity rule in pathwise functional Itô calculus”. arXiv: 1605.0886 (2016).
Schied, Alexander . “Model-free CPPI”. J. Econom. Dynam. Control 40 (2014): 84–94.

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