papers
Publications (7)
q-fin.PR2011
Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment
Maxim Bichuch
q-fin.PR2016
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
Maxim Bichuch, Agostino Capponi, Stephan Sturm
q-fin.PM2014
Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch, Ronnie Sircar
q-fin.PM2011
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Maxim Bichuch
q-fin.MF2018
Optimization of Fire Sales and Borrowing in Systemic Risk
Maxim Bichuch, Zachary Feinstein
q-fin.PM2013
Portfolio Optimization under Convex Incentive Schemes
Maxim Bichuch, Stephan Sturm
q-fin.PR2016
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
Maxim Bichuch, Agostino Capponi, Stephan Sturm