42 citations · 105 across the 19 of their papers we have counts for
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q-fin.GN2013
The stochastic field of aggregate utilities and its saddle conjugate
Peter Bank, Dmitry Kramkov
We describe the sample paths of the stochastic field of aggregate utilities parameterized by Pareto weights and total cash amounts and stocks' quantities $…
q-fin.PR2013
Superreplication when trading at market indifference prices
Peter Bank, Selim Gökay
We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce…
q-fin.TR2013★ 1 cited
Optimal Order Scheduling for Deterministic Liquidity Patterns
Peter Bank, Antje Fruth
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs fr…