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A law of large numbers for limit order books
Horst, Ulrich; Paulsen, Michael - In: Mathematics of operations research 42 (2017) 4, pp. 1280-1312
Persistent link: https://www.econbiz.de/10011773323
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Equilibrium pricing in incomplete markets under translation invariant preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - In: Mathematics of operations research 41 (2016) 1, pp. 174-195
Persistent link: https://www.econbiz.de/10011448353
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On the Spanning Property of Risk Bonds Priced by Equilibrium
Horst, Ulrich; Müller, Matthias - In: Mathematics of operations research 32 (2007) 4, pp. 784-807
Persistent link: https://www.econbiz.de/10007879807
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A mean field game of optimal portfolio liquidation
Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, … - In: Mathematics of operations research 46 (2021) 4, pp. 1250-1281
Persistent link: https://www.econbiz.de/10012796639