Curve following in illiquid markets (Q1932555): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s11579-011-0042-5 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2049053657 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal execution with nonlinear impact functions and trading-enhanced risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Analysis of Monotone Follower Problems for Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time discretization and Markovian iteration for coupled FBSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some solvable stochastic control problemst<sup>†</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Control with partial observations and an explicit solution of Mortensen's equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic maximum principle for systems with jumps, with applications to finance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Liquidity risk and arbitrage pricing theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Selection with Transaction Costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4702909 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5520962 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A maximum principle for stochastic optimal control with terminal state constraints, and its applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite-Fuel Singular Control With Discretionary Stopping / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5290220 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential equations and quasilinear parabolic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4435813 / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and consumption with transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 03:22, 6 July 2024

scientific article
Language Label Description Also known as
English
Curve following in illiquid markets
scientific article

    Statements

    Curve following in illiquid markets (English)
    0 references
    0 references
    0 references
    20 January 2013
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    stochastic maximum principle
    0 references
    convex analysis
    0 references
    fully coupled forward backward stochastic differential equations
    0 references
    trading in illiquid markets
    0 references
    C02
    0 references
    C61
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references