Christoph Knochenhauer (f.k.a. Belak)

Assistant Professor • Technical University of Munich

Publications

Preprints

  1. ESG Risk: Lessons Learned from Utility Theory
    with Sebastian Geissel
  2. An Explicit Solution for the Problem of Optimal Investment with Random Endowment
    with Michael Donisch
  3. Optimal Investment with Costly Expert Opinions
    with Alexander Merkel and Yufei Zhang
  4. Continuous-Time Dynamic Decision Making with Costly Information
    with Alexander Merkel and Yufei Zhang
  5. Convergence Rates for a Deep Learning Algorithm for Semilinear PDEs
    with Oliver Hager, Charlotte Reimers, Lotte Schnell, Frank T. Seifried and Maximilian Würschmidt
  6. Pricing Contingent Claims under Jump Uncertainty
    with Olaf Menkens

Journal Publications

  1. Optimal Adaptive Control with Separable Drift Uncertainty
    with Samuel N. Cohen and Alexander Merkel
    SIAM Journal on Control and Optimization, Vol. 63, No. 2, pp. 1348–1373, 2025
  2. Long-Run Behavior and Convergence of Dynamic Mean Field Equilibria
    with Berenice A. Neumann
    Dynamic Games and Applications, Vol. 15, pp. 1646–1684, 2025
  3. Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit
    with Erhan Bayraktar, Sören Christensen and Frank T. Seifried
    SIAM Journal on Control and Optimization, Vol. 60, No. 5, pp. 2712–2736, 2022
  4. Optimal Investment with Time-Varying Stochastic Endowments
    with An Chen, Carla Mereu and Robert Stelzer
    SIAM Journal on Financial Mathematics, Vol. 13, No. 3, pp. 969–1003, 2022
  5. Optimal Investment for Retail Investors
    with Lukas Mich and Frank T. Seifried
    Mathematical Finance, Vol. 32, No. 2, pp. 555–594, 2022
  6. Branching Diffusions with Jumps, and Valuation with Systemic Counterparties
    with Daniel Hoffmann and Frank T. Seifried
    Journal of Computational Finance, Vol. 25, No. 3, pp. 51–86, 2021
  7. Continuous-Time Mean Field Games with Finite State Space and Common Noise
    with Daniel Hoffmann and Frank T. Seifried
    Applied Mathematics & Optimization, Vol. 84, pp. 3173–3216, 2021
  8. Liquidation in Target Zone Models
    with Johannes Muhle-Karbe and Kevin Ou
    Market Microstructure and Liquidity, Vol. 4, No. 03n04, 1950010 (12 pages), 2020
  9. Finite Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies
    with Jörn Sass
    Finance and Stochastics, Vol. 23, No. 4, pp. 861–888, 2019
  10. Utility Maximisation in a Factor Model with Constant and Proportional Transaction Costs
    with Sören Christensen
    Finance and Stochastics, Vol. 23, No. 1, pp. 29–96, 2019
  11. Backward Nonlinear Expectation Equations
    with Thomas Seiferling and Frank T. Seifried
    Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111–134, 2018
  12. A General Verification Result for Stochastic Impulse Control Problems
    with Sören Christensen and Frank T. Seifried
    SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627–649, 2017
  13. Worst-Case Portfolio Optimization in a Market with Bubbles
    with Sören Christensen and Olaf Menkens
    International Journal of Theoretical and Applied Finance, Vol. 19, No. 2, 1650009 (36 pages), 2016
  14. On the Uniqueness of Unbounded Viscosity Solutions arising in an Optimal Terminal Wealth Problem with Transaction Costs
    with Olaf Menkens and Jörn Sass
    SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878–2897, 2015
  15. Worst-Case Portfolio Optimization with Proportional Transaction Costs
    with Olaf Menkens and Jörn Sass
    Stochastics, Vol. 87, No. 4, pp. 623–663, 2015
  16. Worst-Case Optimal Investment with a Random Number of Crashes
    with Sören Christensen and Olaf Menkens
    Statistics & Probability Letters, Vol. 90, pp. 140–148, 2014

Conference Papers

  1. Fractional Diffusion Bridge Models
    with Gabriel Nobis, Maximilian Springenberg, Arina Belova, Rembert Daems, Manfred Opper, Tolga Birdal, Wojciech Samek
    accepted in the Proceedings of the 39th Annual Conference on Neural Information Processing Systems, 2025
  2. Generative Fractional Diffusion Models
    with Gabriel Nobis, Maximilian Springenberg, Marco Aversa, Michael Detzel, Rembert Daems, Roderick Murray-Smith, Shinichi Nakajima, Sebastian Lapuschkin, Stefano Ermon, Tolga Birdal, Manfred Opper, Luis Oala, Wojciech Samek
    Proceedings of the 38th Annual Conference on Neural Information Processing Systems, pp. 25469–25509, 2025
  3. Optimizing Non-Linear Kicker Injection Parameters using Machine Learning
    with Alexander Schütt, Meghan McAteer and Pierre Schnizer
    15th International Particle Accelerator Conference, pp. 3565–3568, 2024

Ph.D. Thesis