74 citations · 184 across the 30 of their papers we have counts for
6 papers · 1 filter
Domains of weak continuity of statistical functionals with a view toward robust statistics
Volker Krätschmer, Alexander Schied, Henryk Zähle
Many standard estimators such as several maximum likelihood estimators or the empirical estimator for any law-invariant convex risk measure are not (qualitatively) robust in the cl…
Constructing functions with prescribed pathwise quadratic variation
Yuliya Mishura, Alexander Schied
We construct rich vector spaces of continuous functions with prescribed curved or linear pathwise quadratic variations. We also construct a class of functions whose quadratic varia…
Pathwise no-arbitrage in a class of Delta hedging strategies
Alexander Schied, Iryna Voloshchenko
We consider a strictly pathwise setting for Delta hedging exotic options, based on Föllmer's pathwise Itō calculus. Price trajectories are -dimensional continuous functions whos…
High-frequency limit of Nash equilibria in a market impact game with transient price impact
Alexander Schied, Elias Strehle, Tao Zhang
We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact mo…
Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses
Eyal Neuman, Alexander Schied
We study optimal buying and selling strategies in target zone models. In these models the price is modeled by a diffusion process which is reflected at one or more barriers. Such m…
On a class of generalized Takagi functions with linear pathwise quadratic variation
Alexander Schied
We consider a class of continuous functions on that is of interest from two different perspectives. First, it is closely related to sets of functions that hav…