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Dirk Becherer · Study

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Dirk Becherer

8 works· latest 2017· 3 institutionscluster: provisionalORCID 0000-0001-9500-8408

h-index8

i108

Citations736

Works here8

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Most cited in this library

Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging2006 · 193 citations
The numeraire portfolio for unbounded semimartingales2001 · 142 citations
Rational hedging and valuation of integrated risks under constant absolute risk aversion2003 · 109 citations
A monetary value for initial information in portfolio optimization2003 · 106 citations
Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes2005 · 60 citations

Works

8 shown

Optimal liquidation under stochastic liquidity

Finance and Stochastics·2017·3 authors·Open access

37citations

Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

The Annals of Applied Probability·2006·1 author·Open access

193citations

Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes

The Annals of Applied Probability·2005·2 authors·Open access

60citations

Utility–indifference hedging and valuation via reaction–diffusion systems

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2004·1 author

42citations

Rational hedging and valuation of integrated risks under constant absolute risk aversion

Insurance Mathematics and Economics·2003·1 author·Open access

109citations

A monetary value for initial information in portfolio optimization

Finance and Stochastics·2003·3 authors

106citations

Rational Hedging and Valuation with Utility-Based Preferences

·2001·1 author·thesis·Open access

47citations

The numeraire portfolio for unbounded semimartingales

Finance and Stochastics·2001·1 author

142citations