Peter Bank

Humboldt University of Berlin - Department of Mathematics

Unter den Linden 6

Berlin, D-10099

Germany

SCHOLARLY PAPERS

3

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612

SSRN CITATIONS
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in Total Papers Citations

17

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Optimal Execution and Speculation With Trade Signals

Number of pages: 42 Posted: 05 Jun 2023 Last Revised: 12 Jan 2024
Peter Bank, Álvaro Cartea and Laura Körber
Humboldt University of Berlin - Department of Mathematics, University of Oxford and Technische Universität Berlin (TU Berlin)
Downloads 398 (141,599)

Abstract:

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Optimal execution, speculation, trade signal, Meyer sigma-field, stochastic optimal control

2.

Hedging with Temporary Price Impact

Swiss Finance Institute Research Paper No. 16-72
Number of pages: 37 Posted: 07 Dec 2016
Peter Bank, Halil Mete Soner and Moritz Voss
Humboldt University of Berlin - Department of Mathematics, ETH Zürich and University of California Los Angeles, Department of Mathematics
Downloads 112 (459,961)
Citation 15

Abstract:

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Hedging, illiquid markets, portfolio tracking

3.

Liquidity in Competitive Dealer Markets

Number of pages: 29 Posted: 08 Aug 2018 Last Revised: 02 Mar 2021
Humboldt University of Berlin - Department of Mathematics, Florida State University and Imperial College London - Department of Mathematics
Downloads 102 (491,856)
Citation 4

Abstract:

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dealer market, dynamic equilibrium, endogenous liquidity