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Peter Kratz
Publication Activity (10 Years)
Years Active: 2013-2014
Publications (10 Years): 0
Top Topics
Adverse Selection
Operations Management
Forward And Backward
Stochastic Control
Top Venues
Math. Oper. Res.
SIAM J. Financial Math.
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Publications
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Peter Kratz
An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection.
Math. Oper. Res.
39 (4) (2014)
Stefan Ankirchner
,
Peter Kratz
,
Thomas Kruse
Hedging Forward Positions: Basis Risk Versus Liquidity Costs.
SIAM J. Financial Math.
4 (1) (2013)