Publications by Alexander Schied

Books

(with Hans Föllmer) Stochastic Finance: An Introduction in Discrete Time de Gruyter Studies in Mathematics 27 • First edition, ix + 422 pp., published July 2002 • Second revised and extended edition, xi + 459 pp., published November 2004           Russian edition, 496 pp.,  MCCME, Moscow, ISBN 978-5-94057-346-3, published February 2008 Translated by Yuliya Mishura and Georgiy Shevshenko

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Papers and preprints

• (with Jim Gatheral and Alla Slynko) Transient linear price impact and Fredholm integral equations.
   Preprint (2010).

• (with Aurélien Alfonsi and Alla Slynko) Order book resilience, price manipulation, and the positive portfolio problem.
   Preprint (2009).

• (with Torsten Schöneborn and Mike Tehranchi) Optimal basket liquidation for CARA investors is deterministic.
   To appear in Applied Mathematical Finance.

• (with Aurélien Alfonsi) Optimal execution and absence of price manipulations in limit order book models.
   Preprint (2009).

• (with Hans Föllmer) Coherent and convex risk measures.
   To appear in Encyclopedia of Quantitative Finance.

• (with Torsten Schöneborn) Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.
   Finance and Stochastics 13, 181–204 (2009).

• (with Aurélien Alfonsi and Antje Fruth) Optimal execution strategies in limit order books with general shape functions.
   Quantitative Finance 10, no. 2, 143-157 (2010).

• (with Torsten Schöneborn) Liquidation in the face of adversity: stealth vs. sunshine trading.
   Preprint, revised version, 50 pp. (2009).

• (with Hans Föllmer and Stefan Weber)  Robust preferences and robust portfolio choice.
   In: Mathematical Modelling and Numerical Methods in Finance (Ed. P. Ciarlet, A. Bensoussan, Q. Zhang),
   Handbook of Numerical Analysis 15, 29-88 (2009).

• (with Aurélien Alfonsi and Antje Fruth) Constrained portfolio liquidation in a limit order book model.
   Banach Center Publ. 83, 9-25 (2008).

• (with Jochen Blath) Finanz- und Versicherungsmathematik.
   In: Teubner Taschenbuch der Mathematik, Bd. 2 (Ed. E. Zeidler), approx. 50 pages, Wiesbaden: Teubner-Verlag, forthcoming.

• Robust optimal control for a consumption-investment problem.
   Mathematical Methods of Operations Research 67, No. 1, 1-20 (2008).

• (with Mitja Stadje) Robustness of Delta hedging for path-dependent options in local volatility models.
   Journal of Applied Probability 44, no. 4, 865-879 (2007).

• (with Daniel Hernández-Hernández) Robust maximization of consumption with logarithmic utility.
   Proceedings of the 2007 American Control Conference, 1120-1123 (2007).

• (with Daniel Hernández-Hernández) A control approach to robust utility maximization with logarithmic utility
   and time consistent penalties.  Stochastic Processes and Their Applications 117, No. 8, 980-1000 (2007).

• Optimal investments for risk- and ambiguity-averse preferences: a duality approach.
   Finance and Stochastics 11, No. 1, 107-129 (2007).

• (with Daniel Hernández-Hernández) Robust utility maximization in a stochastic factor model.
   Statistics & Decisions 24, No. 3, 109-125 (2006).

• Risk measures and robust optimization problems.
   Stochastic Models 22, 753-831 (2006).

• (with Ching-Tang Wu) Duality theory for optimal investments under model uncertainty.
   Statistics & Decisions 23, No. 3, 199-217 (2005).

•  Optimal investments for robust utility functionals in complete market models.
   Mathematics of Operations Research 30, No. 3, 750-764 (2005).

• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
   Annals of Applied Probab. 14, 1398–1423 (2004).  

• (with Hans Föllmer) Robust preferences and convex measures of risk.  
   Advances in Finance and Stochastics, 39-56, Springer-Verlag (2002).

• (with Hans Föllmer) Convex measures of risk and trading constraints.
    Finance and Stochastics 6, No. 4, 429-447 (2002).

•  Geometric Analysis for symmetric Fleming-Viot operators: Rademacher's theorem and exponential families.
  Potential Analysis 17, No. 4, 351-374 (2002).

• (with Michael Röckner ) Rademacher's theorem on configuration spaces and applications.
   Journal of Functional Analysis 169, No.2, 325-356 (1999).

• Existence and regularity for a class of infinite-measure (ξ,Ψ, K)-superprocesses.
    Journal of Theoretical Probabbility 12, No.4, 1011-1035 (1999).

• Cramer's condition and Sanov's theorem.
    Statistics and Probability Letters 39, No.1, 55-60 (1998).

•  (with Boualem Djehiche ) Large deviations for hierarchical systems of interacting jump processes.
    Journal of Theoretical Probability 11, No.1, 1-24 (1998).

• Moderate deviations and functional LIL for super-Brownian motion.
  Stochastic Processes and Their Applications 72, No.1, 11-25 (1997).

• Geometric aspects of Fleming-Viot and Dawson-Watanabe processes.
  Annals of Probabability 25, No.3, 1160-1179 (1997).

• Sample path large deviations for super-Brownian motion.
   Probability Theory and Related Fields 104, No.3, 319-347 (1996).

• Große Abweichungen für die Pfade der Super-Brownschen Bewegung.
  Bonner Mathematische Schriften 277 (1995).


Some conference proceedings

• (with Torsten Schöneborn) Optimal portfolio liquidation: market impact models and optimal control.
   To appear in Oberwolfach Reports (2008).

• Some small-time asymptotics for super-Brownian motion.
   In: Workshop on Large Deviations and Statistical Mechanics. P. Eichelsbacher and M. Lowe (eds.), SFB 343, Bielefeld (1996).

• Large deviations for hierarchically interacting Markov chains.
   In: Workshop on Probability Theory and its Applications.  P. Eichelsbacher and M. Lowe (eds.), SFB 343, Bielefeld (1997).


Book Reviews

• "Binomial models in finance" by J. van der Hoek and R. Elliott.
   ISI Short Book Reviews (2006).

• "Diffusions, Superdiffusions, and Partial Differential Equations" by E. B. Dynkin.
   Jahresbericht der DMV 105, No. 4, (2003).


Lecture Notes

• "Wahrscheinlichkeitstheorie II".
   Lecture notes for a course held at TU Berlin, 116 pp. (2005)

• "Finanzmathematik II".
   Lecture notes for a course held at TU Berlin, 110 pp. (2006)


Working papers

• (with Torsten Schöneborn) Optimal basket liquidation with finite time horizon for CARA investors.
   Preprint, 15pp., (2008).

• (with Torsten Schöneborn) Optimal basket liquidation for CARA investors.
   Preprint, 11pp., (2007).

• Criteria for exponential tightness in path spaces.
  Discussion Paper, SFB 303, Bonn (1995). The results were partially published in
  Stochastic Processes Appl. 72, No.1, 11-25 (1997) and J. Theor. Probab. 11, No.1, 1-24 (1998).

• Large deviations for hierarchically interacting Markov chains.
  In: Workshop on Probability Theory and its Applications. P. Eichelsbacher and M. Löwe (eds.),
  SFB 343, Bielefeld (1997).

• Some small-time asymptotics for super-Brownian motion.
  In: Workshop on Large Deviations and Statistical Mechanics. P. Eichelsbacher and M. Löwe (eds.),
  SFB 343, Bielefeld (1996).

• Maßwertige  Diffusionen: Große Abweichungen und Geometrie des Zustandsraums. 
  Habilitationsschrift, Humboldt-Universität zu Berlin (2000).