Dörte Kreher

According to our database¹, Dörte Kreher authored at least 3 papers between 2017 and 2023.

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2023

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model.

[BibT_eX]

[DOI]

SIAM J. Financial Math., March, 2023

2018

Second order approximations for limit order books.

[BibT_eX]

[DOI]

Finance Stochastics, 2018

2017

A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2017