Thomas Kruse

Justus Liebig University Giessen

Licher Str. 64

Giessen, 35394

Germany

SCHOLARLY PAPERS

8

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2,142

SSRN CITATIONS
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16

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

Optimal Stopping with Private Information

Number of pages: 34 Posted: 10 Jul 2013 Last Revised: 08 May 2014
Thomas Kruse and Philipp Strack
Justus Liebig University Giessen and Yale, Department of Economics
Downloads 745 (51,816)
Citation 1

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Dynamic Mechanism Design, Optimal Stopping, Dynamic Implementability, Posted-Price Mechanism

2.

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 383 (117,776)
Citation 1

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

3.

Optimal Control of an Epidemic through Social Distancing

Cowles Foundation Discussion Paper No. 2229
Number of pages: 28 Posted: 23 Apr 2020 Last Revised: 05 Aug 2020
Thomas Kruse and Philipp Strack
Justus Liebig University Giessen and Yale, Department of Economics
Downloads 282 (163,700)
Citation 8

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Social Distancing, SIR model, Time-Optimal Control of an Epidemic

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 235 (196,258)
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 207 (221,191)
Citation 1

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

6.

An Inverse Optimal Stopping Problem for Diffusion Processes

Number of pages: 28 Posted: 28 Apr 2017
Thomas Kruse and Philipp Strack
Justus Liebig University Giessen and Yale, Department of Economics
Downloads 119 (348,656)
Citation 3

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Optimal Stopping, Reflected Stochastic Processes, Dynamic Mechanism Design, Dynamic Implementability

7.

A Toolkit for Robust Risk Assessment Using F-Divergences

Number of pages: 46 Posted: 24 Oct 2020
Justus Liebig University Giessen, Leibniz Universit├Ąt Hannover - Faculty of Economics and Management and Tilburg University
Downloads 91 (418,035)

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F-Divergence, Model Risk, Risk Management, Robustness

8.

The Joint Impact of F-Divergences and Reference Models on the Contents of Uncertainty Sets

Number of pages: 20 Posted: 02 Aug 2018
Justus Liebig University Giessen, Leibniz Universit├Ąt Hannover - Faculty of Economics and Management and Tilburg School of Economics and Management
Downloads 80 (451,715)
Citation 1

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F-Divergences, Model Risk, Robustness

Other Papers (1)

Total Downloads: 432
1.

Optimal Control of an Epidemic through Social Distancing

Number of pages: 33 Posted: 04 Jun 2020 Last Revised: 25 Jul 2022
Thomas Kruse and Philipp Strack
Justus Liebig University Giessen and Yale, Department of Economics
Downloads 432

Abstract:

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Social Distancing, SIR model, Time-Optimal Control of an Epidemic