Peter Bank

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Person:234253

Available identifiers

zbMath Open bank.peterWikidataQ102225635 ScholiaQ102225635MaRDI QIDQ234253

List of research outcomes

PublicationDate of PublicationType
Optimal investment with a noisy signal of future stock prices2024-02-08Paper
Liquidity in competitive dealer markets2023-09-28Paper
Rough PDEs for local stochastic volatility models2023-07-18Paper
Merton's Optimal Investment Problem with Jump Signals2022-11-04Paper
What if we knew what the future brings? Optimal investment for a frontrunner with price impact2022-07-18Paper
On a stochastic representation theorem for Meyer-measurable processes2022-02-25Paper
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment2021-11-04Paper
Merton's optimal investment problem with jump signals2021-09-28Paper
Short Communication: A Note on Utility Indifference Pricing with Delayed Information2021-05-17Paper
A Note on Utility Indifference Pricing with Delayed Information2020-11-10Paper
Scaling limits for super-replication with transient price impact2020-04-27Paper
Continuous-time duality for superreplication with transient price impact2020-02-21Paper
Optimal Investment with Transient Price Impact2019-11-22Paper
Super-replication with fixed transaction costs2019-04-24Paper
On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping2018-10-19Paper
On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping2018-10-19Paper
Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint2018-03-05Paper
Convex duality for stochastic singular control problems2017-05-03Paper
The scaling limit of superreplication prices with small transaction costs in the multivariate case2017-04-13Paper
Hedging with temporary price impact2017-03-07Paper
Super-replication with nonlinear transaction costs and volatility uncertainty2016-08-23Paper
Superreplication when trading at market indifference prices2016-03-29Paper
A model for a large investor trading at market indifference prices. II: Continuous-time case.2015-10-20Paper
The stochastic field of aggregate utilities and its saddle conjugate2015-08-20Paper
A model for a large investor trading at market indifference prices. I: Single-period case2015-03-30Paper
Optimal Order Scheduling for Deterministic Liquidity Patterns2015-01-20Paper
On a stochastic differential equation arising in a price impact model2013-03-06Paper
Parameter-dependent optimal stopping problems for one-dimensional diffusions2011-09-09Paper
https://portal.mardi4nfdi.de/entity/Q35625002010-05-21Paper
On Gittins' index theorem in continuous time2007-08-20Paper
Optimal Control under a Dynamic Fuel Constraint2007-03-20Paper
https://portal.mardi4nfdi.de/entity/Q57061002005-11-04Paper
A stochastic representation theorem with applications to optimization and obstacle problems.2004-09-15Paper
Hedging and Portfolio Optimization in Financial Markets with a Large Trader2004-05-27Paper
https://portal.mardi4nfdi.de/entity/Q44291362003-09-24Paper
Optimal consumption choice with intertemporal substitution2003-05-06Paper
Existence and structure of stochastic equilibria with intertemporal substitution2002-03-13Paper
Non-time additive utility optimization -- the case of certainty2000-06-05Paper

Research outcomes over time


Doctoral students

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