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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.

  • Extended Mean-Field Control Problems with Multi-Dimensional Singular Controls (R. Denkert und U. Horst)
  • Second-Order Approximation of Limit Order Books in a Single-Scale Regime (U. Horst, D. Kreher and K. Starovoitovs)
  • 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) 
  • Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks (Y. Chen, U. Horst & H.H. Tran)

 

News

2023-08-09
New preprints available
2023-07-05
New publication
2023-07-05
Invited presentations
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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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