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Applied Financial Mathematics & Applied Stochastic Analysis
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    • Summer 2023
      • Analysis II*
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Preprints

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

  • Mean-field liquidation games with market drop-out (G. Fu, P. Hager and U. Horst)
  • 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

2023-03-28
Keynote talk at AMaMeF Conference
2023-03-27
Keynote talk at RUFE conference
2023-03-13
New preprint
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Humboldt-Universität zu Berlin - Department of Mathematics - Applied Financial Mathematics - Unter den Linden 6 - 10099 Berlin - Germany

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