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.

Publications

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)