Maxim Bichuch

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
Optimal investment with correlated stochastic volatility factors Mathematical Finance	2023-09-28	Paper
Decentralized payment clearing using blockchain and optimal bidding European Journal of Operational Research	2023-07-10	Paper
Endogenous inverse demand functions Operations Research	2022-12-01	Paper
Optimal switching between locking down and opening the economy because of an infection SIAM Journal on Control and Optimization	2021-12-01	Paper
A repo model of fire sales with VWAP and LOB pricing mechanisms European Journal of Operational Research	2021-11-05	Paper
Robust XVA Mathematical Finance	2021-03-23	Paper
SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE International Journal of Theoretical and Applied Finance	2021-03-16	Paper
The learning premium Mathematics and Financial Economics	2020-02-21	Paper
Optimization of fire sales and borrowing in systemic risk SIAM Journal on Financial Mathematics	2019-05-14	Paper
Optimal investment with transaction costs and stochastic volatility. II: Finite horizon SIAM Journal on Control and Optimization	2019-02-01	Paper
Arbitrage-free XVA Mathematical Finance	2018-05-25	Paper
Investing with liquid and illiquid assets Mathematical Finance	2018-04-13	Paper
Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon SIAM Journal on Control and Optimization	2017-12-11	Paper
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis	2015-02-21	Paper
Portfolio optimization under convex incentive schemes Finance and Stochastics	2015-02-06	Paper
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples	2015-01-23	Paper
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment Finance and Stochastics	2014-09-26	Paper
Utility maximization trading two futures with transaction costs SIAM Journal on Financial Mathematics	2014-01-23	Paper
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs SIAM Journal on Financial Mathematics	2013-01-25	Paper
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective	N/A	Paper

Research outcomes over time

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