Peter Bank

Publication Activity (10 Years)

Years Active: 2001-2022
Publications (10 Years): 7

Top Topics

Market Conditions

Stochastic Control

Transaction Costs

Top Venues

SIAM J. Financial Math.

Finance Stochastics

SIAM J. Control. Optim.

Publications

Peter Bank, Laura Körber
Merton's Optimal Investment Problem with Jump Signals. SIAM J. Financial Math. 13 (4) (2022)
Peter Bank, Yan Dolinsky
Short Communication: A Note on Utility Indifference Pricing with Delayed Information. SIAM J. Financial Math. 12 (2) (2021)
Peter Bank, Moritz Voß
Optimal Investment with Transient Price Impact. SIAM J. Financial Math. 10 (3) (2019)
Peter Bank, Moritz Voß
Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint. SIAM J. Control. Optim. 56 (2) (2018)
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Finance Stochastics 21 (2) (2017)
Peter Bank, Selim Gökay
Superreplication when trading at market indifference prices. Finance Stochastics 20 (1) (2016)
Peter Bank, Dmitry O. Kramkov
A model for a large investor trading at market indifference prices. I: Single-period case. Finance Stochastics 19 (2) (2015)
Peter Bank, Antje Fruth
Optimal Order Scheduling for Deterministic Liquidity Patterns. SIAM J. Financial Math. 5 (1) (2014)
Peter Bank
Optimal Control under a Dynamic Fuel Constraint. SIAM J. Control. Optim. 44 (4) (2005)
Peter Bank, Frank Riedel
Existence and structure of stochastic equilibria with intertemporal substitution. Finance Stochastics 5 (4) (2001)