PETER LAKNER

Stern School of Business
New York University

44 West 4th St. KMEC Suite 8-61
New York, NY 10012
Ph.(212)998-0476 Fax:(212)995-4003
plakner@stern.nyu.edu

 

IOMS NYU Stern School

Short Bios*

Associate Professor of Statistics, received his B.A. degree in 1978 and his M.A. degree in 1980 from Eotvos Lorand University of Budapest. He received his Ph.D. from Columbia University in 1989. His research interests are in the stochastic process nature of security prices.
*my detailed bios

Selected Publications


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A Dirichlet Process Characterization of Reflected Brouonian Motion in a Wedge, with Josh Reed and Bert Zwart, submitted to the Annales de l'Institut Henri Poincare.

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Scaling limit of a limit order book via the regenerative characterization of Levy trees, with Josh Reed and Florian Simatos, submitted to Stochastic Systems.

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Optimal Production Management when Demand Depends on the Business Cycle, with Abel Cadenillas and Michael Pinedo, Operations Research, 61(4), 2013, pp. 1046-1062.

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High Frequency Asymptotics for the Limit Order Book, with Josh Reed and Sasha Stoikov, Market Microstructure and Liquidity, Vol. 2, Number 1, June 2016.

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Optimal Control of a Mean-Reverting Inventory, with Abel Cadenillas and Michael Pinedo, Operations Research (2010), Volume 58, No. 6, pp 1697-1710.

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Optimal Investment in a Defaultable Bond, with Weijian Liang, Mathematics and Financial Economics (2008), 283-310.

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Perpetual Call Options with Non-Tradeability, with Ashay Kadam and Anand Srinivasan, Optimal Control Applications and Methods 26 (2005), 107-127.

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Portfolio Optimization with Downside Constraints, with Lan Ma Nygren, Mathermatical Finance, Vol. 16, No. 2, pp. 283-299, April 2006

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"Maximum Likelihood Estimation of Hidden Diffusions", with Halina Frydman,   The Annals of Applied Probability 13 (2003), 1296-1312.

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"Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy", with Monique Jeanblanc and Ashay Kadam, Mathematics of Operations Research, 2003.

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"Optimal Trading Strategy for an Investor: the Case of Partial Information", Stochastic Processes and their Applications 76(1998), 77--97.

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"Utility Maximization with Partial Information", Stochastic Processes and their Applications 56 (1995), 247--249.
 

"Almost Sure Characterization of Martingales", with Marco Frittelli, Stochastics, Vol. 49, No.3+4, 1994, pp. 181--190.

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"Martingale Measures for a Class of Right--Continuous Processes", Mathematical Finance, Vol. 3/1, January 1993, pp.43--53.

Course Syllabi