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Schied, Alexander - Zentrum Mathematik, TU Munich
EXISTENCE AND REGULARITY FOR A CLASS OF INFINITE-MEASURE (, , K)-SUPERPROCESSES
Optimal investments for robust utility functionals in complete market models
Moderate deviations and functional LIL for super-Brownian motion
Optimal investments for risk-and ambiguity-averse preferences: a duality approach
RADEMACHER'S THEOREM ON CONFIGURATION SPACES AND APPLICATIONS
Qualitative and infinitesimal robustness of tail-dependent statistical functionals
Robust preferences and robust portfolio choice Hans FOLLMER
Robust optimal control for a consumption-investment problem
Robustness of Delta hedging for path-dependent options in local volatility models
Robust maximization of consumption with logarithmic utility Daniel Hernandez-Hernandez and Alexander Schied*
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
Risk measures and robust optimization problems Lecture notes of a minicourse held at the
CRAMER'S CONDITION AND SANOV'S THEOREM Alexander Schied
LARGE DEVIATIONS FOR HIERARCHICAL SYSTEMS OF INTERACTING JUMP PROCESSES
Geometric aspects of Fleming-Viot and Dawson-Watanabe processes
Sample path large deviations for super-Brownian motion
Preface to the third edition v Preface to the second edition vi
Errata in the second edition of Stochastic Finance: An Introduction in Discrete Time
Preface to the first edition This book is an introduction to probabilistic methods in Finance. It is intended for
Preface to the second edition v Preface to the first edition vii
Alexander Schied August 2010 Chair of Business Mathematics
ADVANCES IN MATHEMATICS OF FINANCE BANACH CENTER PUBLICATIONS, VOLUME 83
Duality theory for optimal investments under model uncertainty
absolute risk aversion --absolutely continuous measure --
Preface to the third edition This third edition of our book appears in the de Gruyter graduate textbook series. We
The Annals of Applied Probability 2004, Vol. 14, No. 3, 13981423
Criteria for exponential tightness in path spaces
Optimal basket liquidation with finite time horizon for CARA investors
Robust utility maximization in a stochastic factor Daniel HernandezHernandez and Alexander Schied
Optimal portfolio liquidation for CARA investors Alexander Schied