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Peter Bank · Study
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Author
Peter Bank
12 works
· latest 2019
· 3 institutions
cluster: provisional
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12
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12
Citations
743
Works here
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Most cited in this library
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
2003 · 226 citations
Hedging with temporary price impact
2016 · 90 citations
A stochastic representation theorem with applications to optimization and obstacle problems
2004 · 89 citations
Optimal consumption choice with intertemporal substitution
2001 · 83 citations
Optimal Control under a Dynamic Fuel Constraint
2005 · 60 citations
Works
12 shown
Optimal Investment with Transient Price Impact
SIAM Journal on Financial Mathematics
·
2019
·
2 authors
·
Open access
19
citations
Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
SIAM Journal on Control and Optimization
·
2018
·
2 authors
·
Open access
30
citations
Liquidity in Competitive Dealer Markets
Mathematical Finance
·
2018
·
3 authors
·
Open access
20
citations
Hedging with temporary price impact
Mathematics and Financial Economics
·
2016
·
3 authors
90
citations
Super-replication with nonlinear transaction costs and volatility uncertainty
The Annals of Applied Probability
·
2016
·
3 authors
·
Open access
17
citations
A model for a large investor trading at market indifference prices. II: Continuous-time case
The Annals of Applied Probability
·
2015
·
2 authors
·
Open access
35
citations
Optimal Control under a Dynamic Fuel Constraint
SIAM Journal on Control and Optimization
·
2005
·
1 author
60
citations
A stochastic representation theorem with applications to optimization and obstacle problems
The Annals of Probability
·
2004
·
2 authors
·
Open access
89
citations
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
Mathematical Finance
·
2003
·
2 authors
·
Open access
226
citations
American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View
Lecture notes in mathematics
·
2003
·
2 authors
·
chapter
50
citations
Optimal consumption choice with intertemporal substitution
The Annals of Applied Probability
·
2001
·
2 authors
·
Open access
83
citations
Non-time additive utility optimization—the case of certainty
Journal of Mathematical Economics
·
2000
·
2 authors
24
citations