papers
Publications (6)
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
q-fin.MF2019
A sensitivity analysis of the long-term expected utility of optimal portfolios
Hyungbin Park, Stephan Sturm
q-fin.RM2012
From Smile Asymptotics to Market Risk Measures
Ronnie Sircar, Stephan Sturm
q-fin.PR2016
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
Maxim Bichuch, Agostino Capponi, Stephan Sturm
q-fin.CP2011
Is the minimum value of an option on variance generated by local volatility?
Mathias Beiglboeck, Peter Friz, Stephan Sturm