Welcome to Todor Bilarev's webpage

Contact information

Office: Rudower Chaussee 25, Room 1.227
e-mail: bilarev «at» math.hu-berlin.de
Postal address: Humboldt-Universität zu Berlin
Institut für Mathematik
Unter den Linden 6
D-10099 Berlin


Research interests

Preprints and publications

  1. 'Cross-impact and hedging in multi-asset price impact models', in preparation
  2. 'Hedging with transient price impact for non-covered and covered options' (with D. Becherer), available on arXiv: 1807.05917
  3. 'Approximating diffusion reflections at elastic boundaries' (with D. Becherer and P. Frentrup), Electron. Commun. Probab. 23 (2018), no. 40, 10.1214/18-ECP141, available on arXiv: 1710.06342
  4. 'Stability for gains from large investors' strategies in M1/J1 topologies' (with D. Becherer and P. Frentrup), to app. in Bernoulli, available on arXiv:1701.02167
  5. 'Optimal Liquidation under Stochastic Liquidity' (with D. Becherer and P. Frentrup), Finance Stoch (2018) 22: 39, [doi, arXiv]
  6. 'Optimal Asset Liquidation with Multiplicative Transient Price Impact' (with D. Becherer and P. Frentrup), to appear in Appl Math Optim (2017), [doi, arXiv]
    An interactive comparison of Limit Order Book models, used for Figure 5, written by Peter Frentrup
  7. 'On the speed of convergence of Newton's method for complex polynomials' (with M. Aspenberg and D. Schleicher), Math. Comp. 85 (2016), 693-705, [arXiv version]