Publications

Books
Hans Föllmer and Alexander Schied:

Stochastic Finance. An Introduction in Discrete Time

Papers and preprints

•Christopher Lorenz and Alexander Schied:
Drift dependence of optimal order execution strategies under transient price impact.
Preprint (2012).
•Aurélien Alfonsi and Alexander Schied:
Capacitary measures for completely monotone kernels via singular control.
Preprint (2012).
•Alexander Schied:
Robust strategies for optimal order execution in the Almgren-Chriss framework.
Preprint (2011).
•Jim Gatheral and Alexander Schied:
Dynamical models for market impact and algorithms for optimal order execution.
Preprint (2011).
•Florian Klöck, Alexander Schied, and Yuemeng Sun:
Existence and absence of price manipulation in a market impact model with dark pool.
Preprint (2011).
•Volker Krätschmer, Alexander Schied, and Henryk Zähle:
Qualitative and infinitesimal robustness of tail-dependent statistical functionals.
Journal of Multivariate Analysis 103, 35-47 (2012).
•Alexander Schied and Alla Slynko:
Some mathematical aspects of market impact modeling.
In: Surveys in Stochastic Processes. Proceedings of the 33rd SPA (eds.: J. Blath, P. Imkeller, S. Roelly), EMS Series of Congress Reports, 153-179 (2011).
•Jim Gatheral and Alexander Schied:
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework.
International Journal on Theoretical and Applied Finance 14 (3), 353-368 (2011).
•Jim Gatheral, Alexander Schied, and Alla Slynko:
Exponential resilience and decay of market impact.
In: Econophysics of Order-driven Markets. F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra (Eds.), pp. 225-236, Springer (2011).
•Jim Gatheral, Alexander Schied, and Alla Slynko:
Transient linear price impact and Fredholm integral equations.
To appear in Mathematical Finance.
•Aurélien Alfonsi, Alexander Schied, and Alla Slynko:
Order book resilience, price manipulation, and the positive portfolio problem.
Preprint (2009).
•Torsten Schöneborn and Alexander Schied:
Liquidation in the face of adversity: stealth vs. sunshine trading.
Preprint (2009).
•Alexander Schied, Torsten Schöneborn, and Mike Tehranchi:
Optimal basket liquidation for CARA investors is deterministic.
Applied Mathematical Finance, 17, 471-489 (2010).
•Aurélien Alfonsi and Alexander Schied:
Optimal trade execution and absence of price manipulations in limit order book models.
SIAM J. on Financial Mathematics, 1, 490-522 (2010).
•Hans Föllmer and Alexander Schied:
Coherent and convex risk measures.
Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 355-363 (2010).
•Aurélien Alfonsi, Antje Fruth and Alexander Schied:
Optimal execution strategies in limit order books with general shape functions.
Quantitative Finance 10, no. 2, 143-157 (2010).
•Alexander Schied and Torsten Schöneborn:
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.
Finance and Stochastics 13, 181–204 (2009).
•Hans Föllmer, Alexander Schied, 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).
•Aurélien Alfonsi, Alexander Schied, and Antje Fruth:
Constrained portfolio liquidation in a limit order book model.
Banach Center Publ. 83, 9-25 (2008).
•Alexander Schied:
Finanzmathematik.
In: Teubner Taschenbuch der Mathematik, Bd. 2 (Ed. E. Zeidler), approx. 25 pages, Wiesbaden: Teubner-Verlag, forthcoming.
•Alexander Schied:
Robust optimal control for a consumption-investment problem.
Mathematical Methods of Operations Research 67, No. 1, 1-20 (2008).
•Alexander Schied and Mitja Stadje:
Robustness of Delta hedging for path-dependent options in local volatility models.
Journal of Applied Probability 44, no. 4, 865-879 (2007).
•Daniel Hernández-Hernández and Alexander Schied:
Robust maximization of consumption with logarithmic utility.
Proceedings of the 2007 American Control Conference, 1120-1123 (2007).
•Daniel Hernández-Hernández and Alexander Schied:
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).
•Alexander Schied:
Optimal investments for risk- and ambiguity-averse preferences: a duality approach.
Finance and Stochastics 11, No. 1, 107-129 (2007).
•Daniel Hernández-Hernández and Alexander Schied:
Robust utility maximization in a stochastic factor model.
Statistics & Decisions 24, No. 3, 109-125 (2006).
•Alexander Schied:
Risk measures and robust optimization problems.
Stochastic Models 22, 753-831 (2006).
•Alexander Schied and Ching-Tang Wu:
Duality theory for optimal investments under model uncertainty.
Statistics & Decisions 23, No. 3, 199-217 (2005).
•Alexander Schied:
Optimal investments for robust utility functionals in complete market models.
Mathematics of Operations Research 30, No. 3, 750-764 (2005).
•Alexander Schied:
On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
Annals of Applied Probab. 14, 1398–1423 (2004).
•Hans Föllmer and Alexander Schied:
Robust preferences and convex measures of risk.
Advances in Finance and Stochastics, 39-56, Springer-Verlag (2002).
•Hans Föllmer and Alexander Schied:
Convex measures of risk and trading constraints.
Finance and Stochastics 6, No. 4, 429-447 (2002).
•Alexander Schied:
Geometric Analysis for symmetric Fleming-Viot operators: Rademacher's theorem and exponential families.
Potential Analysis 17, No. 4, 351-374 (2002).
•Michael Röckner and Alexander Schied:
Rademacher's theorem on configuration spaces and applications.
Journal of Functional Analysis 169, No.2, 325-356 (1999).
•Alexander Schied:
Existence and regularity for a class of infinite-measure (ξ,Ψ, K)-superprocesses.
Journal of Theoretical Probabbility 12, No.4, 1011-1035 (1999).
•Alexander Schied:
Cramer's condition and Sanov's theorem.
Statistics and Probability Letters 39, No.1, 55-60 (1998).
•Boualem Djehiche and Alexander Schied:
Large deviations for hierarchical systems of interacting jump processes.
Journal of Theoretical Probability 11, No.1, 1-24 (1998).
•Alexander Schied:
Moderate deviations and functional LIL for super-Brownian motion.
Stochastic Processes and Their Applications 72, No.1, 11-25 (1997).
•Alexander Schied:
Geometric aspects of Fleming-Viot and Dawson-Watanabe processes.
Annals of Probabability 25, No.3, 1160-1179 (1997).
•Alexander Schied:
Sample path large deviations for super-Brownian motion.
Probability Theory and Related Fields 104, No.3, 319-347 (1996).
•Alexander Schied:
Große Abweichungen für die Pfade der Super-Brownschen Bewegung.
Bonner Mathematische Schriften 277 (1995).

Non-refereed conference proceedings

•Alexander Schied and Torsten Schöneborn:
Optimal portfolio liquidation: market impact models and optimal control.
Oberwolfach Reports (2008).
•Alexander Schied:
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).
•Alexander Schied:
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

•Alexander Schied:
"Binomial models in finance" by J. van der Hoek and R. Elliott
ISI Short Book Reviews (2006).
•Alexander Schied:
"Diffusions, Superdiffusions, and Partial Differential Equations" by E. B. Dynkin.
Jahresbericht der DMV 105, No. 4, (2003).

Working papers

•Alexander Schied and Torsten Schöneborn:
Optimal basket liquidation with finite time horizon for CARA investors.
Preprint (2008).
•Alexander Schied and Torsten Schöneborn:
Optimal basket liquidation for CARA investors.
Preprint (2007).
•Alexander Schied:
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).
•Alexander Schied:
Maßwertige Diffusionen: Große Abweichungen und Geometrie des Zustandsraums.
Habilitationsschrift, Humboldt-Universität zu Berlin (2001).