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<title>Max Reppen</title>
<title>Chen Yang</title>
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<hr><a href="https://www.ethz.ch"><img src="eth.png" alt="ETH Home" align="left" border="0"></a><a href="https://www.math.ethz.ch"><img src="dmath.png" alt="D-MATH Home" align="right" border="0"></a><br clear="all"><hr>
<h1>Max Reppen</h1>
<h1>Chen Yang</h1>
<h4>Postal address</h4>
Max Reppen <br>
Gruppe 3 <br>
Departement Mathematik <br>
HG G 49.1 <br>
Chen Yang <br>
Group 3 <br>
Departement of Mathematics <br>
HG GO 47.2 <br>
Rämistrasse 101 <br>
8092 Zürich <br>
Switzerland
<h4>More information</h4>
Email: <a href="mailto:max.reppen@math.ethz.ch">max.reppen@math.ethz.ch</a> <br>
Phone: +41 44 632 3444 <br>
Room: HG G 49.1 <br>
Email: <a href="mailto:chen.yang@math.ethz.ch">chen.yang@math.ethz.ch</a> <br>
Phone: +41 44 633 9356 <br>
Room: HG GO 47.2 <br>
<h4>Preprints</h4>
<h4>Working Papers</h4>
<ol reversed>
<li>Jussi Keppo, Max Reppen, H. Mete Soner. “<a href="https://arxiv.org/abs/1805.05077">Discrete dividend payments in continuous time</a>.” <i>arXiv preprint arXiv:1805.05077</i> (2018).</li>
<li>Yizhou Cao, Min Dai, Steven Kou, Lewei Li and Chen Yang. “Designing Stable Coins.” (2018).</li>
<li>Spencer Wheatley, Didier Sornette, Tobias Huber, Max Reppen, Robert N. Gantner. “<a href="https://arxiv.org/abs/1803.05663">Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model</a>.” <i>arXiv preprint arXiv:1803.05663</i> (2018).</li>
<li>Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang. “<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3232037">Inventory Management for High-Frequency Trading with Imperfect Competition</a>.” (2018).</li>
<li>Max Reppen, Jean-Charles Rochet, and H. Mete Soner. “<a href="https://arxiv.org/abs/1706.01813">Dividends with random profitability rate</a>.” <i>arXiv preprint arXiv:1706.01813</i> (2018).</li>
<li>Min Dai, Steven Kou, H. Mete Soner and Chen Yang. “Rebalancing of Leveraged ETFs under Market Frictions.” (2018).</li>
<li>Min Dai, Steven Kou and Chen Yang. "Stochastic Representation for Nonlocal Problems." (2017).</li>
</ol>
<h4>Publications</h4>
<ol reversed>
<li>Johannes Muhle-Karbe, Max Reppen, and H. Mete Soner. “<a href="http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-110716-032445">A Primer on Portfolio Choice with Small Transaction Costs</a>.” <i>Annual Review of Financial Economics</i> 9, no. 1 (2017).</li>
<li>Albert Altarovici, Max Reppen, and H. Mete Soner. “<a href="http://epubs.siam.org/doi/abs/10.1137/15M1053633">Optimal Consumption and Investment with Fixed and Proportional Transaction Costs</a>.” <i>SIAM Journal on Control and Optimization</i> 55, no. 3 (January 2017): 1673–1710. <a href="https://doi.org/10.1137/15M1053633">https://doi.org/10.1137/15M1053633</a>.</li>
<li>Min Dai, Hong Liu, Chen Yang and Yifei Zhong. “<a href="https://academic.oup.com/rfs/article/28/9/2687/1581078">Optimal Tax-timing with symmetric Long-term/short-term Capital Gains Tax</a>.” <i>The Review of Financial Studies</i> 28.9 (2017):2687-2721.</li>
</ol>
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<div align="right"><font size="-1">Last update 2018-06-05</font></div>
<div align="right"><font size="-1">Last update 2018-10-31</font></div>
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