Antje Fruth

Risk Analyst at Munich Re, Munich

Research Interests

Financial mathematics
Risk-neutral Monte-Carlo scenarios (interest rates, equity etc.)
Securitization
Limit order books
Illiquid markets
Optimal stochastic control

Publications

Optimal trade execution in order books with stochastic liquidity

with and

accepted in Mathematical Finance, 2017

Optimal order scheduling for determinstic liquidity patterns

with

SIAM Journal on Financial Mathematics 5, 137-152, 2014

Optimal trade execution and price manipulation in order books with time-varying liquidity

with and

Mathematical Finance 24, 651-695, 2014

Optimal order execution with stochastic liquidity

PhD Thesis, TU Berlin, 2011

Optimal execution strategies in limit order books with general shape functions

with and

Quantitative Finance 10, 143-157, 2010

Constrained portfolio liquidation in a limit order book model

with and

Banach Center Publications 83, 9-25, 2008

Optimal execution in limit order book markets with call auctions

Diploma Thesis, TU Berlin, 2007

Teaching

Financial mathematics II

Summer term 2011 ()

E-mail:

Last updated: September 23, 2018