Christoph Belak

Technische Universität Berlin — Germany

Economics, Econometrics and Finance · Social Sciences

7h-index155citations32works0.02yr avg
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Research Topics

Stochastic processes and financial applications(27), Economic theories and models(15), Financial Markets and Investment Strategies(11), Risk and Portfolio Optimization(7), Stochastic processes and statistical mechanics(4)

Publications32 total

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit
SIAM Journal on Control and Optimization·2022· 4 cited
Optimal Investment with Time-Varying Stochastic Endowments
SIAM Journal on Financial Mathematics·2022· 4 cited
Optimal investment for retail investors
Mathematical Finance·2021· 6 citedOpen Access
Continuous-Time Mean Field Games with Finite State Space and Common Noise
RePEc: Research Papers in Economics·2021· 1 citedOpen Access
Continuous-Time Mean Field Games with Finite State Space and Common Noise
Applied Mathematics & Optimization·2021· 12 citedOpen Access
Branching diffusions with jumps, and valuation with systemic counterparties
The Journal of Computational Finance·2021· 2 cited
Convergence Rates for a Deep Learning Algorithm for Semilinear PDEs
SSRN Electronic Journal·2021Open Access
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit
SSRN Electronic Journal·2021· 1 citedOpen Access
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
Finance and Stochastics·2019· 7 cited
Optimal Investment for Retail Investors with Floored and Capped Costs
SSRN Electronic Journal·2019Open Access
Probabilistic Representations of Nonlocal Nonlinear PDEs via Branching Diffusions with Jumps
SSRN Electronic Journal·2019· 3 citedOpen Access
Continuous-Time Mean Field Games with Finite State Space and Common Noise
SSRN Electronic Journal·2019Open Access
Utility maximisation in a factor model with constant and proportional transaction costs
Finance and Stochastics·2018· 10 cited
Liquidation in Target Zone Models
Market Microstructure and Liquidity·2018· 12 cited
Optimal Trading with General Signals and Liquidation in Target Zone Models
arXiv (Cornell University)·2018· 2 citedOpen Access
Optimal Trading with General Signals and Liquidation in Target Zone Models
SSRN Electronic Journal·2018· 3 citedOpen Access
Backward nonlinear expectation equations
Mathematics and Financial Economics·2017· 1 cited
A General Verification Result for Stochastic Impulse Control Problems
SIAM Journal on Control and Optimization·2017· 32 cited
WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES
International Journal of Theoretical and Applied Finance·2016· 1 cited
Pricing Contingent Claims under Jump Uncertainty
SSRN Electronic Journal·2016· 1 citedOpen Access
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Frequent Co-authors

Frank Thomas Seifried(12), Sören Christensen(10), Olaf Menkens(8), Daniel Hoffmann(5), Jörn Saß(5), Johannes Muhle‐Karbe(3), Kevin Ou(3), An Chen(2), Carla Mereu(2), Robert Stelzer(2), Lukas Mich(2), Erhan Bayraktar(2), Thomas Seiferling(2), Oliver M. Hager(1), Charlotte Reimers(1), Lotte Schnell(1), Maximilian Würschmidt(1)