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Applied Financial Mathematics & Applied Stochastic Analysis
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Preprints

Please contact us if you encounter any problems downloading our preprints.

  • A cross-border market model with limited transmission capacities (D. Kreher and C. Milbradt)
  • Red noise in continuous-time stochastic modelling (A. Morr, D. Kreher and N. Boers)
  • A mean-field control problem of optimal portfolio liquidation with semi-martingale strategies (G. Fu, U. Horst & X. Xia) 
  • Optimal trade execution under endogenous order flow (Y. Chen, U. Horst & H.H. Tran) 
  • Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies (U. Horst, E. Kivman)
  • Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks (Y. Chen, U. Horst & H.H. Tran)

 

News

2022-07-22
New publication
2022-07-04
New discussion paper available
2022-06-02
Paul Hager awarded MATH+ Dissertation prize
More News

Upcoming Events

Mathematical Finance Seminar

Date:
2023-02-09
Time:
16:15
Rouyi Zhang (HU Berlin)
tba
Read more

Mathematical Finance Seminar

Date:
2023-02-09
Time:
17:15
Alain Rossier (U. Oxford)
tba
Read more
More upcoming events

Humboldt-Universität zu Berlin - Department of Mathematics - Applied Financial Mathematics - Unter den Linden 6 - 10099 Berlin - Germany

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