Publications

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Author Title [ Type(Desc)] Year
Journal Article
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.
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.
Schied, Alexander , and Iryna Voloshchenko. “The associativity rule in pathwise functional Itô calculus”. arXiv: 1605.0886 (2016).
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Quasi-Hadamard differentiability of general risk functionals and its application”. Stat. Risk Model. 32 (2015): 25–47.
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.
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.
Föllmer, Hans , and Alexander Schied. “Probabilistic aspects of finance”. Bernoulli 19 (2013): 1306–1326.
Schied, Alexander . “Robust strategies for optimal order execution in the Almgren-Chriss framework”. Appl. Math. Finance 20 (2013): 264–286.
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.
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 , Torsten Schöneborn, and Michael Tehranchi. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.

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