74 citations · 184 across the 30 of their papers we have counts for
5 papers · 1 filter
A state-constrained differential game arising in optimal portfolio liquidation
Alexander Schied, Tao Zhang
We consider risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a…
Multivariate transient price impact and matrix-valued positive definite functions
Aurélien Alfonsi, Alexander Schied, Florian Klöck
We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be impo…
Probabilistic aspects of finance
Hans Föllmer, Alexander Schied
In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial quest…
Model-free CPPI
Alexander Schied
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these inve…
A market impact game under transient price impact
Alexander Schied, Tao Zhang
We consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending…