1 citations · 1 across the 4 of their papers we have counts for
10 papers
A probabilistic approach to the -variation of classical fractal functions with critical roughness
Xiyue Han, Alexander Schied, Zhenyuan Zhang
We consider Weierstraß and Takagi-van der Waerden functions with critical degree of roughness. In this case, the functions have vanishing variation for all bu…
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
Xiyue Han, Alexander Schied
We give a new approach to characterizing and computing the set of global maximizers and minimizers of the functions in the Takagi class and, in particular, of the Takagi--Landsberg…
An FBSDE approach to market impact games with stochastic parameters
Samuel Drapeau, Peng Luo, Alexander Schied +1
We analyze a market impact game between risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market p…
On the variation of a class of fractal functions
Alexander Schied, Zhenyuan Zhang
The concept of the variation of a continuous function along a refining sequence of partitions is the key to a pathwise Itô integration theory with integrator $f…
Robustness in the Optimization of Risk Measures
Paul Embrechts, Alexander Schied, Ruodu Wang
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement rel…