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Peter Bank

Identifiers

  • name variant Peter Bank 0.60 · backfill

Papers (13)

  1. On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping math.PR · 2018 · author #1
  2. Continuous-time Duality for Super-replication with Transient Price Impact q-fin.PR · 2018 · author #1
  3. Optimal investment with transient price impact q-fin.MF · 2018 · author #1
  4. Linear quadratic stochastic control problems with stochastic terminal constraint math.OC · 2016 · author #1
  5. Super-Replication with Fixed Transaction Costs q-fin.MF · 2016 · author #1
  6. The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case math.PR · 2015 · author #1
  7. Hedging with Temporary Price Impact q-fin.MF · 2015 · author #1
  8. Super-replication with nonlinear transaction costs and volatility uncertainty q-fin.MF · 2014 · author #1
  9. Convex duality for stochastic singular control problems math.OC · 2014 · author #1
  10. The stochastic field of aggregate utilities and its saddle conjugate q-fin.GN · 2013 · author #1
  11. Superreplication when trading at market indifference prices q-fin.PR · 2013 · author #1
  12. Optimal Order Scheduling for Deterministic Liquidity Patterns q-fin.TR · 2013 · author #1
  13. A model for a large investor trading at market indifference prices. II: Continuous-time case q-fin.TR · 2011 · author #1

Mentions

  • 1411.1229 #1 · backfill · confidence 0.70 Peter Bank
  • 1407.7717 #1 · backfill · confidence 0.70 Peter Bank
  • 1310.7280 #1 · backfill · confidence 0.70 Peter Bank
  • 1310.3113 #1 · backfill · confidence 0.70 Peter Bank
  • 1310.3077 #1 · backfill · confidence 0.70 Peter Bank
  • 1110.3229 #1 · backfill · confidence 0.70 Peter Bank

Frequent Coauthors