Christoph Knochenhauer

Technical University of Munich

Parkring 11

Garching bei München, 85748

Germany

SCHOLARLY PAPERS

15

DOWNLOADS

1,264

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (15)

1.

Convergence Rates for a Deep Learning Algorithm for Semilinear PDEs

Number of pages: 42 Posted: 16 Feb 2022 Last Revised: 21 Jun 2022
Technical University of Munich, Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 300 (182,609)

Abstract:

Loading...

semilinear PDE, forward-backward SDE, deep solver, strong convergence rate

Branching Diffusions with Jumps and Valuation with Systemic Counterparties

Number of pages: 29 Posted: 11 Sep 2019 Last Revised: 14 Jan 2020
Christoph Knochenhauer, Daniel Hoffmann and Frank Thomas Seifried
Technical University of Munich, University of Trier and University of Trier
Downloads 267 (204,000)

Abstract:

Loading...

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

Branching Diffusions with Jumps, and Valuation with Systemic Counterparties

Journal of Computational Finance, Vol. 25, No. 3, 2021
Number of pages: 36 Posted: 22 Dec 2021
Christoph Knochenhauer, Daniel Hoffmann and Frank Thomas Seifried
Technical University of Munich, University of Trier and University of Trier
Downloads 1 (1,133,852)
  • Add to Cart

Abstract:

Loading...

branching diffusion, mixed local–nonlocal partial differential equations (PDEs), nonlinear jumps, Monte Carlo simulation, credit valuation adjustment

3.

Continuous-Time Mean Field Games with Finite State Space and Common Noise

Number of pages: 34 Posted: 02 Oct 2019 Last Revised: 15 May 2020
Christoph Knochenhauer, Daniel Hoffmann and Frank Thomas Seifried
Technical University of Munich, University of Trier and University of Trier
Downloads 232 (235,562)

Abstract:

Loading...

mean field games, common noise, Markov chains, regime shifts

4.

Optimal Investment for Retail Investors with Floored and Capped Costs

Number of pages: 33 Posted: 03 Sep 2019
Christoph Knochenhauer, Lukas Mich and Frank Thomas Seifried
Technical University of Munich, University of Trier and University of Trier
Downloads 149 (349,090)
Citation 1

Abstract:

Loading...

Portfolio Optimization, Transaction Costs, Retail Investor

5.

Optimal Trading with General Signals and Liquidation in Target Zone Models

Number of pages: 8 Posted: 15 Aug 2018
Christoph Knochenhauer, Johannes Muhle-Karbe and Kevin Ou
Technical University of Munich, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 120 (415,438)
Citation 4

Abstract:

Loading...

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

6.

Pricing Contingent Claims under Jump Uncertainty

Number of pages: 33 Posted: 03 May 2016 Last Revised: 29 Jan 2017
Christoph Knochenhauer and Olaf Menkens
Technical University of Munich and Dublin City University - School of Mathematical Sciences
Downloads 111 (437,341)
Citation 1

Abstract:

Loading...

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

7.

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

Number of pages: 29 Posted: 02 Feb 2022
University of Michigan at Ann Arbor - Department of Mathematics, Technical University of Munich, University of Trier and Gothenburg University
Downloads 84 (526,846)
Citation 1

Abstract:

Loading...

Portfolio Optimization, Transaction Costs, Stochastic Perron's Method, Viscosity Solutions

8.

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
Christoph Knochenhauer, Sören Christensen and Frank Thomas Seifried
Technical University of Munich, Gothenburg University and University of Trier

Abstract:

Loading...

Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls

9.

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 Knochenhauer and Sören Christensen
Technical University of Munich and Gothenburg University

Abstract:

Loading...

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

10.

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

Posted: 28 Jul 2015 Last Revised: 04 Sep 2019
Christoph Knochenhauer and Jörn Sass
Technical University of Munich and RPTU Kaiserslautern-Landau

Abstract:

Loading...

Utility Maximization, Transaction Costs, Reflected Diffusions, Superharmonic Functions

11.

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
Christoph Knochenhauer, Thomas Seiferling and Frank Thomas Seifried
Technical University of Munich, University of Kaiserslautern - Department of Mathematics and University of Trier

Abstract:

Loading...

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

12.

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 Knochenhauer, Sören Christensen and Olaf Menkens
Technical University of Munich, Gothenburg University and Dublin City University - School of Mathematical Sciences

Abstract:

Loading...

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

13.

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 Knochenhauer, Sören Christensen and Olaf Menkens
Technical University of Munich, Gothenburg University and Dublin City University - School of Mathematical Sciences

Abstract:

Loading...

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

14.

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 Knochenhauer, Olaf Menkens and Jörn Sass
Technical University of Munich, Dublin City University - School of Mathematical Sciences and RPTU Kaiserslautern-Landau

Abstract:

Loading...

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

15.

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 Knochenhauer, Olaf Menkens and Jörn Sass
Technical University of Munich, Dublin City University - School of Mathematical Sciences and RPTU Kaiserslautern-Landau

Abstract:

Loading...

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