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Dirk Becherer
Dirk Becherer
在 math.hu-berlin.de 的电子邮件经过验证 - 首页
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引用次数
引用次数
年份
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
D Becherer
2332006
The numeraire portfolio for unbounded semimartingales
D Becherer
Finance and Stochastics 5 (3), 327-341, 2001
1912001
Rational hedging and valuation of integrated risks under constant absolute risk aversion
D Becherer
Insurance: Mathematics and economics 33 (1), 1-28, 2003
1482003
A monetary value for initial information in portfolio optimization
J Amendinger, D Becherer, M Schweizer
Finance and Stochastics 7 (1), 29-46, 2003
1352003
Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes
D Becherer, M Schweizer
1032005
Rational hedging and valuation with utility-based preferences
D Becherer
762001
Utility–indifference hedging and valuation via reaction–diffusion systems
D Becherer
Proceedings of the Royal Society of London. Series A: Mathematical, Physical …, 2004
682004
Optimal liquidation under stochastic liquidity
D Becherer, T Bilarev, P Frentrup
Finance and Stochastics 22, 39-68, 2018
502018
From bounds on optimal growth towards a theory of good-deal hedging
D Becherer
Advanced Financial Modelling 8, 27-51, 2009
262009
Stability for gains from large investors’ strategies in / topologies
D Becherer, T Bilarev, P Frentrup
232019
Optimal asset liquidation with multiplicative transient price impact
D Becherer, T Bilarev, P Frentrup
Applied Mathematics & Optimization 78 (3), 643-676, 2018
232018
Utility indifference valuation
D Becherer
Encyclopedia of Quantitative Finance, 1854-1869, 2010
152010
Arrow Debreu Prices
D Becherer, MHA Davis
132010
Optimal allocation of a futures portfolio utilizing numerical market phase detection
L Putzig, D Becherer, I Horenko
SIAM Journal on Financial Mathematics 1 (1), 752-779, 2010
132010
On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
D Becherer, M Büttner, K Kentia
International Symposium on BSDEs, 1-41, 2017
122017
Good deal hedging and valuation under combined uncertainty about drift and volatility
D Becherer, K Kentia
Probability, Uncertainty and Quantitative Risk 2, 1-40, 2017
112017
Quantifying the value of initial investment information
J Amendinger, D Becherer, M Schweizer
SFB 373 Discussion Paper, 2000
72000
Hedging under generalized good-deal bounds and model uncertainty
D Becherer, K Kentia
Mathematical Methods of Operations Research 86, 171-214, 2017
62017
Multiplicative limit order markets with transient impact and zero spread
D Becherer, T Bilarev, P Frentrup
Preprint, 2015
62015
Approximating diffusion reflections at elastic boundaries
D Becherer, T Bilarev, P Frentrup
42018
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