Publications of Alexander Schied

 

Books
Hans Föllmer and Alexander Schied:

Stochastic Finance. An Introduction in Discrete Time






















































Papers and preprints

  1. A. Kalinin and A. Schied:
    Mild and viscosity solutions to semilinear path-dependent PDEs.
    Submitted for publication.

  2. A. Schied, L. Speiser, and I. Voloshchenko:
    Model-free portfolio theory and its functional master formula.
    Submitted for publication.

  3. A. Schied and I. Voloshchenko:
    The associativity rule in pathwise functional Itô calculus.
    Submitted for publication.

  4. A. Schied, E. Strehle, and T. Zhang:
    High-frequency limit of Nash equilibria in a market impact game with transient price impact.
    Submitted for publication.

  5. A. Schied and T. Zhang:
    A hot-potato game under transient price impact.
    Submitted for publication.

  6. F. Klöck, A. Schied, and Y. Sun:
    Price manipulation in a market impact model with dark pool.
    Submitted for publication.

  7. V. Krätschmer, A. Schied, and H. Zähle:
    Domains of weak continuity of statistical functionals with a view toward robust statistics.
    Journal of Multivariate Analysis 158, 1-19 (2017).

  8. A. Schied and T. Zhang:
    A state-constrained differential game arising in optimal portfolio liquidation.
    To appear in
    Mathematical Finance.

  9. A. Schied and I. Voloshchenko:
    Pathwise no-arbitrage in a class of Delta hedging strategies.
    Probability, Uncertainty and Quantitative Risk, 1:3, 1-22 (2016).

  10. Y. Mishura and A. Schied:
    Constructing functions with prescribed quadratic variation.
    Journal of Mathematical Analysis and Applications 442, 117-137 (2016).

  11. E. Neuman and A. Schied:
    Optimal portfolio liquidation in target zone models and catalytic superprocesses.
    Finance and Stochastics 20, 495-509 (2016).

  12. A. Schied:
    On a class of generalized Takagi functions with linear pathwise quadratic variation.
    Journal of Mathematical Analysis and Applications 433, 974-990 (2016).

  13. A. Alfonsi, F. Klöck, and A. Schied:
    Multivariate transient price impact and matrix-valued positive definite functions.
    Mathematics of Operations Research, 21, 914-934 (2016).

  14. V. Krätschmer, A. Schied, and H. Zähle:
    Quasi-Hadamard differentiability of general risk functionals and its applications.
    Statistics & Risk Modeling 32, 25-47 (2015).

  15. A. Schied
    Model-free CPPI.
    Journal of Economic Dynamics and Control 40, 84-94 (2014).

  16. V. Krätschmer, A. Schied, and H. Zähle:
    Comparative and qualitative robustness for law-invariant risk measures.
    Finance and Stochastics 18, 271-295 (2014).

  17. H. Föllmer and A. Schied:
    Probabilistic aspects of finance.
    Bernoulli, 19, no. 4 (special issue commemorating the 300th anniversary of Ars Conjectandi by Jacob Bernoulli), 1306-1326 (2013).

  18. A. Schied:
    A control problem with fuel constraint and Dawson-Watanabe superprocesses.
    Annals of Applied Probability, 23, 2472-2499 (2013).

  19. C. Lorenz and A. Schied:
    Drift dependence of optimal trade execution strategies under transient price impact.
    Finance and Stochastics 17, 743-770 (2013).

  20. A. Alfonsi and A. Schied:
    Capacitary measures for completely monotone kernels via singular control.
    SIAM Journal on Control and Optimization, 51, 1758-1780 (2013).

  21. A. Schied:
    Robust strategies for optimal order execution in the Almgren-Chriss framework.
    Applied Mathematical Finance, 20, 264-286 (2013).

  22. J. Gatheral and A. Schied:
    Dynamical models for market impact and algorithms for optimal order execution.
    In:
    Handbook on Systemic Risk (eds.: J.-P. Fouque and J. Langsam), Cambridge University Press, 579-602 (2013).

  23. A. Schied:
    Finanzmathematik.
    In: Springer-Taschenbuch der Mathematik. Begründet von I.N. Bronstein und K.A. Semendjaew. Weitergeführt von G. Grosche, V. Ziegler und D. Ziegler, herausgegeben von E. Zeidler; 3rd edition, 1015-1029 (2012).
    Reprinted in:
    Springer-Handbuch der Mathematik, Vol. III. Begründet von I.N. Bronstein und K.A. Semendjaew. Weitergeführt von G. Grosche, V. Ziegler und D. Ziegler, herausgegeben von E. Zeidler, 267-282 (2013).

  24. J. Gatheral, A. Schied, and A. Slynko:
    Transient linear price impact and Fredholm integral equations.
    Mathematical Finance 22, 445-474 (2012).


  1. A. Alfonsi, A. Schied, and A. Slynko:
    Order book resilience, price manipulation, and the positive portfolio problem.
    SIAM J. on Financial Mathematics 3, 511-533 (2012)

  2. V. Krätschmer, A. Schied, and H. Zähle:
    Qualitative and infinitesimal robustness of tail-dependent statistical functionals.
    Journal of Multivariate Analysis 103, 35-47 (2012).

  3. J. Gatheral and A. Schied:
    Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework.
    International Journal on Theoretical and Applied Finance 14 (3), 353-368 (2011).

  4. J. Gatheral, A. Schied, and A. Slynko:
    Exponential resilience and decay of market impact.
    In: Econophysics of Order-driven Markets. F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra (Eds.), pp. 225-236, Springer (2011).

  5. A. Schied and A. Slynko:
    Some mathematical aspects of market impact modeling.
    In: Surveys in Stochastic Processes. Proceedings of the 33rd SPA (eds.: J. Blath, P. Imkeller, S. Roelly), EMS Series of Congress Reports, 153-179 (2011).

  6. T. Schöneborn and A. Schied:
    Liquidation in the face of adversity: stealth vs. sunshine trading.
    Preprint.

  7. A. Schied, T. Schöneborn, and M. Tehranchi:
    Optimal basket liquidation for CARA investors is deterministic.
    Applied Mathematical Finance, 17, 471-489 (2010).

  8. A. Alfonsi and A. Schied:
    Optimal trade execution and absence of price manipulations in limit order book models.
    SIAM J. on Financial Mathematics, 1, 490-522 (2010).

  9. A. Alfonsi, A. Fruth and A. Schied:
    Optimal execution strategies in limit order books with general shape functions.
    Quantitative Finance 10, no. 2, 143-157 (2010).

  10. H. Föllmer and A. Schied:
    Coherent and convex risk measures.
    Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 355-363 (2010).

  11. A. Schied and T. Schöneborn:
    Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.
    Finance and Stochastics 13, 181–204 (2009).

  12. H. Föllmer, A. Schied, and S. Weber:
    Robust preferences and robust portfolio choice.
    In: Mathematical Modelling and Numerical Methods in Finance (Ed. P. Ciarlet, A. Bensoussan, Q. Zhang) Handbook of Numerical Analysis 15, 29-88 (2009).

  13. A. Alfonsi, A. Schied, and A. Fruth:
    Constrained portfolio liquidation in a limit order book model.
    Banach Center Publ. 83, 9-25 (2008).

  14. A. Schied:
    Robust optimal control for a consumption-investment problem.
    Mathematical Methods of Operations Research 67, No. 1, 1-20 (2008).

  15. A. Schied and M. Stadje:
    Robustness of Delta hedging for path-dependent options in local volatility models.
    Journal of Applied Probability 44, no. 4, 865-879 (2007).

  16. D. Hernández-Hernández and A. Schied:
    Robust maximization of consumption with logarithmic utility.
    Proceedings of the 2007 American Control Conference, 1120-1123 (2007).

  17. D. Hernández-Hernández and A. Schied:
    A control approach to robust utility maximization with logarithmic utility and time consistent penalties.
    Stochastic Processes and Their Applications 117, No. 8, 980-1000 (2007).

  18. A. Schied:
    Optimal investments for risk- and ambiguity-averse preferences: a duality approach.
    Finance and Stochastics 11, No. 1, 107-129 (2007).

  19. D. Hernández-Hernández and A. Schied:
    Robust utility maximization in a stochastic factor model.
    Statistics & Decisions 24, No. 3, 109-125 (2006).

  20. A. Schied:
    Risk measures and robust optimization problems.
    Stochastic Models 22, 753-831 (2006).

  21. A. Schied and Ching-Tang Wu:
    Duality theory for optimal investments under model uncertainty.
    Statistics & Decisions 23, No. 3, 199-217 (2005).

  22. A. Schied:
    Optimal investments for robust utility functionals in complete market models.
    Mathematics of Operations Research 30, No. 3, 750-764 (2005).

  23. A. Schied:
    On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
    Annals of Applied Probab. 14, 1398–1423 (2004).

  24. H. Föllmer and A. Schied:
    Robust preferences and convex measures of risk.
    Advances in Finance and Stochastics, 39-56, Springer-Verlag (2002).

  25. H. Föllmer and A. Schied:
    Convex measures of risk and trading constraints.
    Finance and Stochastics 6, No. 4, 429-447 (2002).

  26. A. Schied:
    Geometric Analysis for symmetric Fleming-Viot operators: Rademacher's theorem and exponential families.
    Potential Analysis 17, No. 4, 351-374 (2002).

  27. M. Röckner and A. Schied:
    Rademacher's theorem on configuration spaces and applications.
    Journal of Functional Analysis 169, No.2, 325-356 (1999).

  28. A. Schied:
    Existence and regularity for a class of infinite-measure (ξ,Ψ, K)-superprocesses.
    Journal of Theoretical Probabbility 12, No.4, 1011-1035 (1999).

  29. A. Schied:
    Cramer's condition and Sanov's theorem.
    Statistics and Probability Letters 39, No.1, 55-60 (1998).

  30. B. Djehiche and A. Schied:
    Large deviations for hierarchical systems of interacting jump processes.
    Journal of Theoretical Probability 11, No.1, 1-24 (1998).

  31. A. Schied:
    Moderate deviations and functional LIL for super-Brownian motion.
    Stochastic Processes and Their Applications 72, No.1, 11-25 (1997).

  32. A. Schied:
    Geometric aspects of Fleming-Viot and Dawson-Watanabe processes.
    Annals of Probabability 25, No.3, 1160-1179 (1997).

  33. A. Schied:
    Sample path large deviations for super-Brownian motion.
    Probability Theory and Related Fields 104, No.3, 319-347 (1996).

  34. A. Schied:
    Große Abweichungen für die Pfade der Super-Brownschen Bewegung.
    Bonner Mathematische Schriften 277 (1995).

Non-refereed conference proceedings

  1. A. Schied and Torsten Schöneborn:
    Optimal portfolio liquidation: market impact models and optimal control.
    Oberwolfach Reports (2008).

  2. A. Schied:
    Some small-time asymptotics for super-Brownian motion.
    In: Workshop on Large Deviations and Statistical Mechanics. P. Eichelsbacher and M. Lowe (eds.), SFB 343, Bielefeld (1996).

  3. A. Schied:
    Large deviations for hierarchically interacting Markov chains.
    In: Workshop on Probability Theory and its Applications.  P. Eichelsbacher and M. Lowe (eds.), SFB 343, Bielefeld (1997).

Book reviews

  1. A. Schied:
    "Binomial models in finance" by J. van der Hoek and R. Elliott
    ISI Short Book Reviews (2006).

  2. A. Schied:
    "Diffusions, Superdiffusions, and Partial Differential Equations" by E. B. Dynkin.
    Jahresbericht der DMV 105, No. 4, (2003).

Working papers

  1. A. Schied and T. Schöneborn:
    Optimal basket liquidation with finite time horizon for CARA investors.
    Preprint (2008).

  2. A. Schied and Torsten Schöneborn:
    Optimal basket liquidation for CARA investors.
    Preprint (2007).

  3. A. Schied:
    Criteria for exponential tightness in path spaces.
    Discussion Paper, SFB 303, Bonn (1995). The results were partially published in Stochastic Processes Appl. 72, No.1, 11-25 (1997) and J. Theor. Probab. 11, No.1, 1-24 (1998).

  4. A. Schied:
    Maßwertige  Diffusionen: Große Abweichungen und Geometrie des Zustandsraums.
    Habilitationsschrift, Humboldt-Universität zu Berlin (2001).

Third revised and extended edition


xii + 544 pp., published January 2011


- now with more than 100 exercises

- new chapter on dynamic risk measures

- new sections on robust utility maximization and
  on efficient hedging with convex risk measures


Table of contents

Preface to the third edition

Errata

Russian edition

496 pp.,  published February 2008 by
MCCME, Moscow
ISBN 978-5-94057-346-3


Translated by Yuliya Mishura and
Georgiy Shevchenko

Second revised and extended edition
xi + 459 pp., published November 2004


First edition
ix + 422 pp., published July 2002

Fourth revised and extended edition

xii + 596 pp., published July 2016


With additional background material and more than two dozen new exercises.


Table of contents
Preface to the fourth edition