Publications
Stochastic finance. De Gruyter Graduate. De Gruyter, Berlin, 2016.
. Stochastic finance. Extended. Walter de Gruyter & Co., Berlin, 2011.
. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Extended. Walter de Gruyter & Co., Berlin, 2004.
. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Walter de Gruyter & Co., Berlin, 2002.
. Grosse Abweichungen für die Pfade der Super-Brownschen Bewegung. Bonner Mathematische Schriften [Bonn Mathematical Publications]. Vol. 277. Universität Bonn, Mathematisches Institut, Bonn, 1995.
. “Dynamical models for market impact and algorithms for optimal order execution.”. In Handbook on Systemic Risk, 579–602. Cambridge University Press, 2013.
. “Finanzmathematik”. In Springer–Taschenbuch der Mathematik, 1015–1029. 3rdrd ed. Springer–Verlag, 2013.
. “Exponential resilience and decay of market impact”. In Econophysics of order-driven markets, 225–236. Springer, Milan, 2011.
. “Some mathematical aspects of market impact modeling”. In Surveys in stochastic processes, 153–179. Eur. Math. Soc., Zürich, 2011.
. “Coherent and convex risk measures”. In Encyclopedia of quantitative finance, 355–363. John Wiley & Sons, 2010.
. “Robust preferences and robust portfolio choice”. In Mathematical modelling and numerical methods in finance, 15:29–88. Elsevier, 2009.
. “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.
. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics, 39–56. Springer, Berlin, 2002.
. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics. Essays in honour of Dieter Sondermann, 39–56. Springer–Verlag, 2002.
. “Optimal portfolio liquidation: market impact models and optimal control”. In MFO Oberwolfach Reports, 5:192-194, 2008, 5, 192-194.
. “Robust maximization of consumption with logarithmic utility.”. In Proceedings of the 2007 American Control Conference, 1120-1123, 2007, 1120-1123.
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