SA
Stefan Ankirchner
math.PRq-fin.PRcs.LGmath.OCq-fin.CPadversarial agentsBayesian decision-makingBellman's optimality principlemath.STq-fin.RM
On Valency
published · living versionsW_xte7sv5e·v1 · currentpublished
Pricing and hedging of derivatives based on non-tradable underlyings
with Peter Imkeller, Goncalo dos Reis
1 version
W_ym44nwxm·v1published
Preprints & journals
15 papers in the corpus · 2005–2026Learning Optimal Search Strategies2603.02356v1 · Stefan Ankirchner, Maximilian Philipp Thiel2026 · 0 citationsarXiv
Optimal design of acceptance sampling by attributes for sequential tests at consecutive times.42836199 · Bernburg, Hugalf, Klauenberg, Katy, Ankirchner, Stefan2026 · 0 citationsJournal of applied statistics. 2026;53(13):2497-2519
Learning to steer with Brownian noise2410.03221v1 · Stefan Ankirchner, Soren Christensen, Jan Kallsen et al.2024 · 0 citationsarXiv
Properties of the EMCEL scheme for approximating irregular diffusions2004.10316v2 · Stefan Ankirchner, Thomas Kruse, Wolfgang Lohr et al.2020 · 2 citationsarXiv
Wasserstein convergence rates for random bit approximations of continuous Markov processes1903.07880v3 · Stefan Ankirchner, Thomas Kruse, Mikhail Urusov2019 · 6 citationsarXiv
A functional limit theorem for coin tossing Markov chains1902.06249v2 · Stefan Ankirchner, Thomas Kruse, Mikhail Urusov2019 · 7 citationsarXiv
The Skorokhod embedding problem for inhomogeneous diffusions1810.05098v2 · Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm et al.2018 · 1 citationarXiv
A functional limit theorem for irregular SDEs1409.7940v3 · Stefan Ankirchner, Thomas Kruse, Mikhail Urusov2014 · 11 citationsarXiv
BSDEs with singular terminal condition and control problems with constraints1305.6541v2 · Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse2013 · 2 citationsarXiv
Credit risk premia and quadratic BSDEs with a single jump0907.1221v3 · Stefan Ankirchner, Christophette Blanchet-Scalliet (ICJ), Anne Eyraud-Loisel (SAF)2009 · 1 citationInternational Journal of Theoretical and Applied Finance (IJTAF) 13, 7 (2010) 1103-1129
Pricing and hedging of derivatives based on non-tradable underlyings0712.3746v1 · Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis2007 · 45 citationsMathematical Finance, 2010, 20, 289 - 312on Valency
Optimal cross hedging for insurance derivatives0705.3760v1 · Stefan Ankirchner, Peter Imkeller, Alexandre Popier2007 · 4 citationsarXiv
On measure solutions of backward stochastic differential equations0705.3788v2 · Stefan Ankirchner, Peter Imkeller, Alexandre Popier2007 · 15 citationsarXiv
Classical and Variational Differentiability of BSDEs with quadratic growthmath/0701875v4 · Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis2007 · 59 citationsElectron. J. Probab., 2007, 12, 1418-1453 (electronic)
The Shannon information of filtrations and the additional logarithmic utility of insidersmath/0503013v2 · Stefan Ankirchner, Steffen Dereich, Peter Imkeller2005 · 72 citationsAnnals of Probability 2006, Vol. 34, No. 2, 743-778on Valency
Career total: 90 works. 15 are in this corpus.
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