Publications

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Schöneborn, Torsten , and Alexander Schied. “Liquidation in the face of adversity: stealth vs. sunshine trading”, 2009.
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 , and Tao Zhang. “A state-constrained differential game arising in optimal portfolio liquidation”. Math. Finance 27 (2017): 779–802.
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 . “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.
Schied, Alexander . “Robust strategies for optimal order execution in the Almgren-Chriss framework”. Appl. Math. Finance 20 (2013): 264–286.
Schied, Alexander . “A control problem with fuel constraint and Dawson-Watanabe superprocesses”. Ann. Appl. Probab. 23 (2013): 2472–2499.
Schied, Alexander . “Finanzmathematik”. In Springer–Taschenbuch der Mathematik, 1015–1029. 3rdrd ed. Springer–Verlag, 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.
Schied, Alexander , Torsten Schöneborn, and Michael Tehranchi. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.
Schied, Alexander , and Torsten Schöneborn. “Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets”. Finance Stoch. 13 (2009): 181–204.
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.

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