Concepedia
Statistics
Publications
21
Citations
559
H-Index
14
Active since
2005
Affiliations
University of Bonn(Current)
Humboldt-Universität zu Berlin
Université Claude Bernard Lyon 1
École Centrale de Lyon
Friedrich Schiller University Jena
Stefan Ankirchner is an author at University of Bonn specializing in engineering, probability theory, and stochastic calculus.
Top concepts
EngineeringProbabilityStochastic CalculusFinanceAsset PricingMathematical ProgrammingBusinessStochastic AnalysisStochastic ProcessesFinancial Engineering
Publications per year
2005–2017
BSDEs with Singular Terminal Condition and a Control Problem with Constraints
Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse · SIAM Journal on Control and Optimization · 2014 · 71 citations
Mathematical Programming, Singular Terminal Condition, Engineering +16
The Shannon information of filtrations and the additional logarithmic utility of insiders
Stefan Ankirchner, Steffen Dereich, Peter Imkeller · The Annals of Probability · 2006 · 70 citations · Full text
Classical and Variational Differentiability of BSDEs with Quadratic Growth
Stefan Ankirchner, Peter Imkeller, Gonçalo dos Reis · Electronic Journal of Probability · 2007 · 64 citations · Full text
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
Stefan Ankirchner, Christophette Blanchet‐Scalliet, Anne Eyraud-Loisel · International Journal of Theoretical and Applied Finance · 2010 · 49 citations · Full text
Option Pricing, Financial Economics, Asset Pricing +15
PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
Stefan Ankirchner, Peter Imkeller, Gonçalo dos Reis · Mathematical Finance · 2010 · 44 citations · Full text
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