Christoph Belak

Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften

Institut fur Mathematik, Sekr. MA 7-1

Strasse des 17. Juni 136

Berlin, 10623

Germany

SCHOLARLY PAPERS

12

DOWNLOADS

146

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (12)

1.

Pricing Contingent Claims under Jump Uncertainty

Number of pages: 33 Posted: 03 May 2016 Last Revised: 29 Jan 2017
Christoph Belak and Olaf Menkens
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften and Dublin City University - School of Mathematical Sciences
Downloads 64 (345,677)
Citation 1

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Option Pricing, Superhedging, Jump Uncertainty, Worst-Case Scenarios, Constrained BSDEs, Viscosity Solutions

2.

Optimal Trading with General Signals and Liquidation in Target Zone Models

Number of pages: 8 Posted: 15 Aug 2018
Christoph Belak, Johannes Muhle-Karbe and Kevin Ou
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 54 (375,733)

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optimal trading, inventory costs, market impact, liquidation, target zone models

3.

Probabilistic Representations of Nonlocal Nonlinear PDEs via Branching Diffusions with Jumps

Number of pages: 28 Posted: 11 Sep 2019
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 16 (564,301)

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Branching Diffusion, Nonlocal PDE, Nonlinear Jumps, Monte Carlo Simulation, Credit Valuation Adjustment

4.

Optimal Investment for Retail Investors with Floored and Capped Costs

Number of pages: 33 Posted: 03 Sep 2019
Christoph Belak, Lukas Mich and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 12 (576,849)

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Portfolio Optimization, Transaction Costs, Retail Investor

5.

A General Verification Result for Stochastic Impulse Control Problems

SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627-649, 2017
Posted: 03 Jul 2016 Last Revised: 02 Sep 2019
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and University of Trier

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Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls

6.

Utility Maximization in a Factor Model with Constant and Proportional Transaction Costs

Finance and Stochastics, Volume 23, Issue 1, pp. 29-96, 2019.
Posted: 04 May 2016 Last Revised: 15 Jan 2019
Christoph Belak and Sören Christensen
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften and Gothenburg University

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Portfolio optimization, Transaction costs, Superharmonic functions, Viscosity solutions, Impulse control

7.

Finite-Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies

Posted: 28 Jul 2015 Last Revised: 04 Sep 2019
Christoph Belak and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften and University of Kaiserslautern - Department of Mathematics

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Utility Maximization, Transaction Costs, Reflected Diffusions, Superharmonic Functions

8.

Backward Nonlinear Expectation Equations

Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111-134, 2018
Posted: 11 Jan 2015 Last Revised: 10 Jan 2019
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Kaiserslautern - Department of Mathematics and University of Trier

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backward stochastic differential equation, nonlinear expectation, random G-expectation, recursive utility, volatility uncertainty

9.

Worst-Case Optimal Investment with a Random Number of Crashes

Statistics and Probability Letters, Volume 90, pp. 140-148, July 2014.
Posted: 21 Nov 2013 Last Revised: 02 May 2016
Christoph Belak, Sören Christensen and Olaf Menkens
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences

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optimal investment, market crashes, worst-case scenario, financial bubbles

10.

Worst-Case Portfolio Optimization in a Market with Bubbles

International Journal of Theoretical and Applied Finance, Vol. 19, No. 2, 1650009 (36 pages), 2016.
Posted: 04 Sep 2013 Last Revised: 03 May 2016
Christoph Belak, Sören Christensen and Olaf Menkens
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and Dublin City University - School of Mathematical Sciences

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optimal investment, market crashes, worst-case scenario, regime switching, financial bubbles

11.

On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs

SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878-2897, 2015.
Posted: 23 Aug 2013 Last Revised: 03 May 2016
Christoph Belak, Olaf Menkens and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Dublin City University - School of Mathematical Sciences and University of Kaiserslautern - Department of Mathematics

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unbounded viscosity solutions, comparison principle, optimal terminal wealth, transaction costs

12.

Worst-Case Portfolio Optimization with Proportional Transaction Costs

Stochastics An International Journal of Probability and Stochastic Processes, Volume 87, Issue 4, pp. 623-663, 2015
Posted: 29 Jan 2013 Last Revised: 03 May 2016
Christoph Belak, Olaf Menkens and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Dublin City University - School of Mathematical Sciences and University of Kaiserslautern - Department of Mathematics

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Portfolio optimization, worst-case scenarios, crash modeling, transaction costs, dynamic programming, viscosity solutions