Stefan Ankirchner

University of Bonn

Regina-Pacis-Weg 3

Postfach 2220

Bonn, D-53012

Germany

SCHOLARLY PAPERS

6

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1,275

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in Total Papers Citations

6

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

Hedging Forward Positions: Basis Risk Versus Liquidity Costs

Number of pages: 32 Posted: 06 Jul 2012 Last Revised: 19 Jun 2013
Stefan Ankirchner, Peter Kratz and Thomas Kruse
University of Bonn, Humboldt University of Berlin and Justus-Liebig-University Giessen
Downloads 372 (111,727)
Citation 1

Abstract:

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illiquidity, basis risk, optimal liquidation, hedging, singular stochastic control, optimal stopping

2.

Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk

Number of pages: 36 Posted: 21 Dec 2012 Last Revised: 30 Dec 2013
Stefan Ankirchner, Judith C. Schneider and Nikolaus Schweizer
University of Bonn, Leibniz Universität Hannover - Faculty of Economics and Management and Tilburg School of Economics and Management
Downloads 254 (166,976)
Citation 4

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Basis risk, least-squares Monte Carlo, liquidity risk, margin calls, model risk, periodic premia, variable annuities

3.

Estimating Residual Hedging Risk with Least-Squares Monte Carlo

Number of pages: 30 Posted: 30 Oct 2012 Last Revised: 06 Mar 2013
Stefan Ankirchner, Christian Pigorsch and Nikolaus Schweizer
University of Bonn, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Tilburg School of Economics and Management
Downloads 226 (186,611)
Citation 3

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basis risk, cross-hedging, hedging error, incomplete markets, least-squares Monte Carlo

4.

Optimal Trade Execution Under Price-Sensitive Risk Preferences

Number of pages: 24 Posted: 06 Oct 2011
Stefan Ankirchner and Thomas Kruse
University of Bonn and Justus-Liebig-University Giessen
Downloads 221 (190,578)
Citation 4

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optimal liquidation, price impact, price-sensitive risk preferences, linear approximation, dynamic programming

5.

Price-Sensitive Liquidation In Continuous-Time

Number of pages: 22 Posted: 06 Dec 2011 Last Revised: 15 Feb 2012
Stefan Ankirchner and Thomas Kruse
University of Bonn and Justus-Liebig-University Giessen
Downloads 199 (210,132)
Citation 1

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optimal liquidation, price impact, stochastic control of trading speed, skewness, price-sensitive preferences

6.

Pricing and Hedging of Derivatives Based on Nontradable Underlyings

Mathematical Finance, Vol. 20, Issue 2, pp. 289-312, April 2010
Number of pages: 24 Posted: 29 Mar 2010
Stefan Ankirchner, Peter Imkeller and Gonçalo Dos Reis
University of Bonn, Humboldt University of Berlin - Department of Mathematics and affiliation not provided to SSRN
Downloads 3 (847,169)

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