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

702

SSRN CITATIONS

4

CROSSREF CITATIONS

6

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
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 247 (133,240)
Citation 4

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 106 (272,815)

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 72 (346,703)

Abstract:

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

4.

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 59 (384,492)
Citation 2

Abstract:

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

5.

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 (390,967)

Abstract:

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

6.

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

Number of pages: 41 Posted: 17 Jun 2019 Last Revised: 12 Feb 2020
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 55 (397,645)
Citation 2

Abstract:

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

7.

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 46 (429,538)

Abstract:

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

8.

Dynamic Portfolio Choice with Annuities When the Interest Rate Is Stochastic

Number of pages: 35 Posted: 06 Sep 2019 Last Revised: 17 Jan 2020
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 40 (453,557)

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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: 25 Posted: 20 Sep 2019 Last Revised: 12 Feb 2020
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 20 (557,385)
Citation 1

Abstract:

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