Robert F. Almgren

Publications

Tianhui Michael Li and RA, "A fully-dynamic closed-form solution for Δ-hedging with market impact", submitted for publication 2011.
RA, "Optimal trading with stochastic liquidity and volatility", SIAM J. Financial Math., to appear 2012. Earlier version released as NYU Mathematics in Finance Working Paper 2009-2.
Julian Lorenz and RA, "Mean-variance optimal adaptive execution", Applied Mathematical Finance 18 (2011) 395-422.
RA and Neil Chriss, "Portfolios from sorts", currently in revision
"Execution costs", in Encyclopedia of Quantitative Finance 2009.
RA and Julian Lorenz, "Adaptive arrival price", appeared in shortened form in Algorithmic Trading III: Precision, Control, Execution, Brian R. Bruce, editor, Institutional Investor Journals 2007.
RA and Agnes Tourin, "Optimal soaring with Hamilton-Jacobi-Bellman equations", perpetual preprint.
RA and Julian Lorenz, "Bayesian adaptive trading with a daily cycle", J. Trading, Fall 2006.
RA and Neil Chriss, "Optimal portfolios from ordering information", J. Risk, Fall 2006.
RA, Chee Thum, Emmanuel Hauptmann, and Hong Li, "Direct estimation of equity market impact", appeared slightly shortened as "Equity market impact" in Risk, July 2005.
RA and N. Chriss, "Competitive bids for principal program trades", appeared as "Bidding principles" in Risk, June 2003.
"Optimal execution with nonlinear impact functions and trading-enhanced risk", Applied Mathematical Finance 10 (2003) 1-18.
"Financial derivatives and partial differential equations", American Mathematical Monthly, January 2002.
RA and N.Chriss, "Optimal execution of portfolio transactions", J. Risk 3 (Winter 2000/2001) 5-39.
K. Glasner and RA, "Dual fronts in a phase field model", Physica D 146 (2000), 328-340.
RA and N.Chriss, "Value under liquidation", Risk, Dec. 1999.
B. Johnson, R. Sekerka, and RA, "Thermodynamic basis for a variational model for crystal growth", Phys. Rev. E 60 (1999), 705-714.
N. Provatas, N. Goldenfeld, J. Dantzig, J. C. LaCombe, A. Lupulescu, M. B. Koss, M. E. Glicksman, and RA, "Crossover scaling in dendritic evolution at low undercooling", Phys. Rev. Lett. 82 (1999), 4496-4499.
"Second-order phase field asymptotics for unequal conductivities", SIAM J. Appl. Math 59 (1999) 2086-2107.
"Geometric Biology for the Chicago Public Schools" in proceedings of Inquiry-Based Geometry Throughout the Secondary Curriculum, St. Olaf College, June 1997.
A. Almgren and RA, "Phase field instabilities and adaptive mesh refinement", in Modern Methods for Modeling Microstructure in Materials, TMS/SIAM 1996.
RA, A. Bertozzi, and M. P. Brenner, "Stable and unstable singularities in the unforced Hele-Shaw cell", Phys. Fluids 8 (1996), 1356-1370.
"Singularity formation in Hele-Shaw bubbles", Phys. Fluids 8 (1996), 344-352.
"Crystalline Saffman-Taylor fingers", SIAM J. Appl. Math. 55 (1995), 1511-1535.
"Computing Laplacian dendrites", in J. I. Diaz, M. A. Herrero, A. Liñan, and J. L. Vazquez, editors, Free Boundary Problems: Theory and Applications, pages 1-12. Longman Scientific and Technical, 1995.
RA, W. Dai, and V. Hakim, "Scaling behavior in anisotropic Hele-Shaw flow", Phys. Rev. Lett. 71 (1993), 3461-3464.
"Variational algorithms and pattern formation in dendritic solidification", J. Comp. Phys. 106 (1993), 337-354.
"High-frequency acoustic waves in a reacting gas", SIAM J. Appl. Math. 51 (1991), 351-373.
RA, A. Majda, and R. R. Rosales, "Asymptotic analysis of reacting materials with saturated explosion. I. Low-frequency waves", Stud. Appl. Math. 84 (1991), 275-313.
RA, A. Majda, and R. R. Rosales, "Asymptotic analysis of reacting materials with saturated explosion. II. High-frequency waves", Stud. Appl. Math. 84 (1991), 315-360.
"Modulated high-frequency waves", Stud. Appl. Math. 83 (1990), 159-181.
RA, A. Majda, and R. R. Rosales, "Rapid initiation in condensed phases through resonant nonlinear acoustics", Phys. Fluids A 2 (1990), 1014-1029.
"An isotropic three-dimensional structure with Poisson's ratio=-1", J. Elasticity 15 (1985), 427-430.

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