Peter Schober

Goethe University Frankfurt - Department of Finance

Research Assistant

House of Finance

Theodor-W.-Adorno Platz 3

Frankfurt am Main, Hessen 60323

Germany

SCHOLARLY PAPERS

9

DOWNLOADS

601

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Efficient Parallel Solution Methods for Dynamic Portfolio Choice Models in Discrete Time

Number of pages: 28 Posted: 01 May 2018
Vanya Horneff, Raimond Maurer and Peter Schober
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 231 (132,358)
Citation 3

Abstract:

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Dynamic Portfolio Choice, Discrete Time Dynamic Programming, Parallelization, High Performance Computing

2.

Efficient Parallel Solution Methods for High-Dimensional Option Pricing Problems

Number of pages: 21 Posted: 07 Apr 2015 Last Revised: 09 Sep 2017
Peter Schober, Philipp Schröder and Gabriel Wittum
Goethe University Frankfurt - Department of Finance, Goethe Center for Scientific Computing and Goethe Center for Scientific Computing
Downloads 101 (263,373)

Abstract:

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ANOVA Decomposition, High Performance Computing, Option Pricing, Partial Differential Equations, Sparse Grids

3.

Supercomputers

Electronic version of a book chapter published in High-Performance Computing in Finance: Problems, Methods, and Solutions, M.A.H. Dempster, J. Kanniainen, J. Keane, and E. Vynckier (Eds), Chapman and Hall/CRC, 2018. ISBN 9781482299663
Number of pages: 24 Posted: 05 Jun 2017 Last Revised: 13 Mar 2019
Peter Schober
Goethe University Frankfurt - Department of Finance
Downloads 65 (342,646)

Abstract:

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Basket Options, Dynamic Portfolio Choice, Finance, High Performance Computing, Supercomputers

4.

Arbitrage Potential in the Eurex Order Book – Evidence from the Financial Crisis in 2008

Electronic version of an article published in Risk governance & control: financial markets & institutions, Volume 5, Issue 4, 2015, Continued - 2, pages 300 - 313, Presented at the 49th Annual Meeting of the Southwestern Finance Association, March 2010
Number of pages: 33 Posted: 30 May 2015 Last Revised: 12 Mar 2019
Peter Schober and Martin Wagener
Goethe University Frankfurt - Department of Finance and Stuttgart Stock Exchange
Downloads 57 (365,865)

Abstract:

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Arbitrage Potential, Valuation Efficiency, Financial Crisis, Volatility, Short-Selling

5.

Solving Dynamic Portfolio Choice Models in Discrete Time Using Spatially Adaptive Sparse Grids

Electronic version of an article published in Sparse Grids and Applications - Miami 2016 (Lecture Notes in Computational Science and Engineering, Vol 123), Garcke J., Pflüger D., Webster C., Zhang G. (Eds), Springer, Cham 2018. ISBN 9783319754253
Number of pages: 32 Posted: 17 Nov 2017 Last Revised: 13 Mar 2019
Peter Schober
Goethe University Frankfurt - Department of Finance
Downloads 55 (372,180)
Citation 1

Abstract:

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Dynamic Portfolio Choice, Discrete Time Dynamic Programming, Spatially Adaptive Sparse Grids, High Dimensional Models

6.

Dimension-Wise Decompositions and Their Efficient Parallelization

Electronic version of an article published in Recent Developments in Computational Finance, Interdisciplinary Mathematical Sciences, Volume 14, 2013, chapter 13, pages 445-472, DOI: 0.1142/9789814436434 0013(c) World Scientific Publishing Company
Number of pages: 30 Posted: 19 Apr 2015
Philipp Schröder, Peter Schober and Gabriel Wittum
Goethe Center for Scientific Computing, Goethe University Frankfurt - Department of Finance and Goethe Center for Scientific Computing
Downloads 45 (405,851)

Abstract:

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ANOVA Decomposition, High Performance Computing, Option Pricing, Partial Differential Equations, Parallelization, Sparse Grids

7.

Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids

Number of pages: 38 Posted: 17 Jun 2019 Last Revised: 29 Jul 2019
Dirk Pflüger, Peter Schober and Julian Valentin
University of Stuttgart - Institute for Parallel and Distributed Systems, Goethe University Frankfurt - Department of Finance and University of Stuttgart - Institute for Parallel and Distributed Systems
Downloads 39 (428,656)

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curse of dimensionality, dynamic portfolio choice, discrete time dynamic programming, gradient-based optimization, spatially adaptive sparse grids, hierarchical B-splines

8.

Dynamic Portfolio Choice with Annuities When the Interest Rate Is Stochastic

Number of pages: 35 Posted: 06 Sep 2019
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 7 (602,069)

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annuity risk, deferred life annuities, dynamic portfolio choice, interest rate risk

9.

Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models

Number of pages: 24
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 1

Abstract:

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Dynamic portfolio choice, discrete time dynamic programming, Euler equation errors, gradient-based optimization