Below, please find a list of selected publications from our many fields of expertise. Further publications can be found on our personal webpages.
Cross Hedging of Financial Risk
- Stefan Ankirchner, Peter Imkeller, Anton Popier, Optimal cross hedging of insurance derivatives, Stochastic Anal. Appl., Vol.26, No. 4, 679-709, 2008
- Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis, Pricing and hedging of derivatives based on non-tradable underlyings, Math. Finance, Vol. 20, No. 2, 289 -312, 2010
- Stefan Ankirchner, Gregor Heyne, Cross hedging with stochastic correlation, to appear in Finance and Stochastics, 2011
- Stefan Ankirchner, Georgi Dimitroff, Gregor Heyne, Christian Pigorsch, Futures Cross-hedging with a Stationary Basis, to appear in Journal of Financial and Quantitative Analysis, 2011
Dark Markets and Hidden Liquidity
- Nikolaus Hautsch, Ruihong Huang, Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data, in: "Market Microstructure: Confronting Many Viewpoints - Conference Proceedings", F. Abergel, J.-P. Bouchard, T. Foucault, C. Lehal, M. Rosenbaum (eds.), Wiley Intersciences, 2011
- Gökhan Cebiroglu, Ulrich Horst, Optimal Display of Iceberg Orders, Preprint, 2011
- Peter Kratz, Optimal liquidation in dark pools in discrete and continuous time, PhD Dissertation, 2011
- Peter Kratz, Thorsten Schöneborn, Optimal liquidation in dark pools, Preprint, 2011
Econometric Tools for High-Frequency Data
- Axel Groß-Klußmann, Nikolaus Hautsch, Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models, Discussion Paper 2011-044, CRC 649, Berlin, 2011a
- Axel Groß-Klußmann, Nikolaus Hautsch, When machines read the news: using automated text analytics to quantify high frequency news-implied market reactions, Journal of Empirical Finance, Vol. 18, 321-340, 2011b
- Wolfgang Karl Härdle, Nikolaus Hautsch, Andrija Mihoci, Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Discussion Paper 2009-44, CRC 649, Berlin and Working Paper 2009/18, Center for Financial Studies, Frankfurt, 2009
- Nikolaus Hautsch, Dieter Hess, David Veredas, The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility, forthcoming Journal of Banking and Finance
- Nikolaus Hautsch, Peter Malec, Melanie Schienle, Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes, Discussion Paper 2010-055, CRC 649, Berlin, 2010
Estimation and Forecasting of Vast-Dimensional Asset Return Covariances
- Nikolaus Hautsch, Lada M. Kyj, Roel C.A. Oomen, A blocking and regularization approach to high dimensional realized covariance estimation, forthcoming Journal of Applied Econometrics, 2010
- Nikolaus Hautsch, Lada M. Kyj, Peter Malec, The Merit of High-Frequency Data in Portfolio Application, Discussion Paper, CRC 649, Berlin, 2011
- Nikolaus Hautsch, Mark Podolskij, Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence, Discussion Paper 2010-38, CRC 649, Berlin, 2010
Hedging in Illiquid Markets
- Peter Bank, Dmitry Kramkov, A large investor trading at market indifference prices I: single-period case, Preprint, 2011a
- Peter Bank, Dmitry Kramkov, A large investor trading at market indifference prices II: continuous-time case, Preprint, 2011b
- Peter Bank, Dmitry Kramkov, On a stochastic differential equation arising in a price impact model, Preprint, 2011c
- Selim Gökay, Alexandre Roch, Mete Soner, Liquidity Models in Continuous and Discrete Time, Preprint, 2010
Implied and Stochastic Volatility
- M. Beiglboeck, P. Friz, S. Sturm: Is the minimum value of an option on variance generated by local volatility? SIAM J. Finan. Math. 2, pp. 213-220, 2011.
- S. Benaim, P. Friz: Regular Variation and Smile Asymptotics, Math. Finance Vol. 19 no 1. pp. 1-12, 2009.
- M. Keller-Ressel: Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models. Mathematical Finance 21/1, pp. 73-98, 2011.
- P. Friz, S. Gerhold, A. Gulisashvili, S. Sturm On refined volatility smile expansion in the Heston model, Quantitative Finance, Volume 11, Issue 8, pp. 1151-1164, 2011.
Interest Rate Modeling and Pricing of Structured Callable Products
- Denis Belomestny, Anastasia Kolodko, John Schoenmakers, Regression methods for stochastic control problems and their convergence analysis, SIAM Journal on Control and Optimization, Vol. 48, 3562-3588, 2010
- Denis Belomestny, Christian Bender, John Schoenmakers, True upper bounds for Bermudan products via non-nested Monte Carlo, Mathematical Finance, Vol. 19, No. 1 , 53-71, 2009
- Denis Belomestny, John Schoenmakers, A jump-diffusion Libor model and its robust calibration, Quantitative Finance, Vol. 11, No. 4 , 529-546, 2011
- John Schoenmakers, Robust Libor Modelling and Pricing of Derivative Products, Financial Mathematics. Chapman & Hall/CRC, 2005
- John Schoenmakers, A pure martingale dual for multiple stopping, Finance and Stochastics, to appear, 2010
- Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann, The affine LIBOR models, Mathematical Finance, 2011 (to appear).
- Antonis Papapantoleon, Old and new approaches to LIBOR modeling, Statistica Neerlandica, Vol. 64, 257-275, 2010
- Antonis Papapantoleon, John Schoenmakers, David Skovmand, Efficient and accurate log-Lévy approximations to Lévy-driven LIBOR models, Journal of Computational Finance, 2011 (to appear)
Optimal Order Placement
- Aurelien Alfonsi, Antje Fruth, Alexander Schied, Optimal execution strategies in limit order books with general shape functions, Quantitative Finance, Vol. 10, 143-157, 2010
- Antje Fruth, Optimal Order Execution with Stochastic Liquidty, Ph.D. thesis, TU Berlin, 2011
- Felix Naujokat, Stochastic Control in Limit Order Markets, Ph.D. thesis, HU Berlin, 2011
- Felix Naujokat, Ulrich Horst, When to cross the spread: curve following with singular control, Preprint, 2011
- Felix Naujokat, Nick Westray, Curve Following in Illiquid Markets, Mathematics and Financial Economics, Vol. 4, No. 4, 299-335, 2011