Publications

Search
Author [ Title(Asc)] Type Year
W
Schied, Alexander , and Zhenyuan Zhang. “Weierstrass bridges”. Transactions on the AMS 377, no. 4 (2024): 2947-2989. https://arxiv.org/abs/2304.04944.
T
Gatheral, Jim , Alexander Schied, and Alla Slynko. “Transient linear price impact and Fredholm integral equations”. Math. Finance 22 (2012): 445–474.
S
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Graduate. De Gruyter, Berlin, 2016.
Föllmer, Hans , and Alexander Schied. Stochastic finance. Extended. Walter de Gruyter & Co., Berlin, 2011.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Extended. Walter de Gruyter & Co., Berlin, 2004.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Walter de Gruyter & Co., Berlin, 2002.
Han, Xiyue , and Alexander Schied. “Step roots of Littlewood polynomials and the extrema of functions in the Takagi class”. Mathematical Proceedings of the Cambridge Philosophical Society 173 (2022): 591–618. https://www.doi.org/10.1017/S0305004122000020.
Schied, Alexander , and Tao Zhang. “A state-constrained differential game arising in optimal portfolio liquidation”. Math. Finance 27 (2017): 779–802.
Schied, Alexander , and Alla Slynko. “Some mathematical aspects of market impact modeling”. In Surveys in stochastic processes, 153–179. Eur. Math. Soc., Zürich, 2011.
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.
Schied, A. . “Sample path large deviations for super-Brownian motion”. Probab. Theory Related Fields 104 (1996): 319–347.
R
Schied, Alexander , and Mitja Stadje. “Robustness of delta hedging for path-dependent options in local volatility models”. J. Appl. Probab. 44 (2007): 865–879.
Embrechts, Paul , Alexander Schied, and Ruodu Wang. “Robustness in the Optimization of Risk Measures”. Operations Research 70, no. 1 (2022): 95-110. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3254587.
Hernández-Hernández, Daniel , and Alexander Schied. “Robust utility maximization in a stochastic factor model”. Statist. Decisions 24 (2006): 109–125.
Schied, Alexander . “Robust strategies for optimal order execution in the Almgren-Chriss framework”. Appl. Math. Finance 20 (2013): 264–286.
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.
Föllmer, Hans , and Alexander Schied. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics, 39–56. Springer, Berlin, 2002.
Föllmer, Hans , and Alexander Schied. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics. Essays in honour of Dieter Sondermann, 39–56. Springer–Verlag, 2002.
Schied, Alexander . “Robust optimal control for a consumption-investment problem”. Math. Methods Oper. Res. 67 (2008): 1–20.

Pages