Dirk Becherer

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Hedging with physical or cash settlement under transient multiplicative price impact Finance and Stochastics	2024-04-02	Paper
Mean-field games of speedy information access with observation costs	2023-09-14	Paper
On Watanabe's characterisation and change of intensity \`{a} la Girsanov for Cox processes	2023-08-09	Paper
On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples Springer Proceedings in Mathematics & Statistics	2022-09-30	Paper
Good deal hedging and valuation under combined uncertainty about drift and volatility Probability, Uncertainty and Quantitative Risk	2020-02-17	Paper
Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies Bernoulli	2019-04-30	Paper
Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies Bernoulli	2019-04-30	Paper
Optimal asset liquidation with multiplicative transient price impact Applied Mathematics and Optimization	2018-12-10	Paper
Approximating diffusion reflections at elastic boundaries Electronic Communications in Probability	2018-08-23	Paper
Approximating diffusion reflections at elastic boundaries Electronic Communications in Probability	2018-08-23	Paper
Optimal liquidation under stochastic liquidity Finance and Stochastics	2018-01-16	Paper
Hedging under generalized good-deal bounds and model uncertainty Mathematical Methods of Operations Research	2017-10-10	Paper
Multilevel approximation of backward stochastic differential equations	2014-12-09	Paper
Optimal allocation of a futures portfolio utilizing numerical market phase detection SIAM Journal on Financial Mathematics	2010-11-10	Paper
Optimal weak static hedging of equity and credit risk using derivatives Applied Mathematical Finance	2010-05-27	Paper
From bounds on optimal growth towards a theory of good-deal hedging	2010-01-13	Paper
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging The Annals of Applied Probability	2007-08-06	Paper
Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes The Annals of Applied Probability	2005-07-13	Paper
Utility–indifference hedging and valuation via reaction–diffusion systems Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences	2004-08-06	Paper
A monetary value for initial information in portfolio optimization Finance and Stochastics	2004-03-16	Paper
Rational hedging and valuation of integrated risks under constant absolute risk aversion. Insurance Mathematics & Economics	2003-11-16	Paper
The numeraire portfolio for unbounded semimartingale Finance and Stochastics	2001-12-12	Paper

Research outcomes over time

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