Concepedia

Gregor Heyne

GH

4

Publications

58

Citations

4

H-Index

2008

Active since

Affiliations

Humboldt-Universität zu Berlin(Current)

University of Bonn

Gregor Heyne is an author at Humboldt-Universität zu Berlin specializing in engineering, mathematical programming, and stochastic optimization.

Top concepts

EngineeringFinanceAsset PricingStochastic AnalysisStochastic CalculusStochastic OptimizationMathematical ProgrammingBusinessEconomicsManagement

Publications per year

2008–2016

4

Publications

4

Cross hedging with stochastic correlation

Stefan Ankirchner, Gregor Heyne · Finance and Stochastics · 2010 · 18 citations

Engineering, Stochastic Optimization, Hedge Fund +3

Futures Cross-Hedging with a Stationary Basis

Stefan Ankirchner, Georgi Dimitroff, Gregor Heyne et al. · Journal of Financial and Quantitative Analysis · 2012 · 15 citations · Full text

Mathematical Programming, Hedge Error, Computational Finance +13

A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT

Stefan Ankirchner, Gregor Heyne, Peter Imkeller · Stochastics and Dynamics · 2008 · 13 citations

Engineering, Stochastic Processes, Stochastic System +12

PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY

Gregor Heyne, Michael Kupper, Ludovic Tangpi · International Journal of Theoretical and Applied Finance · 2016 · 12 citations

Mathematical Programming, Economics, Portfolio Optimization +15

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