Liquidity risk, price impacts and the replication problem (Q483927): Difference between revisions

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+.2440
@@ Property / arXiv ID: 0812.2440 / rank @@
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+Optimal execution strategies in limit order books with general shape functions
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
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+BSDE with quadratic growth and unbounded terminal value
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+Liquidity risk and arbitrage pricing theory
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
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+Option hedging for small investors under liquidity costs
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+The fundamental theorem of asset pricing for unbounded stochastic processes
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+The Valuation of Volatility Options
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
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+Perfect option hedging for a large trader
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q3374309
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+A model of optimal portfolio selection under liquidity risk and price impact
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+Adapted solution of a backward stochastic differential equation
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+Order book approach to price impact
@@ Property / cites work: Order book approach to price impact / rank @@
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+Large stock price changes: volume or liquidity?
@@ Property / cites work: Large stock price changes: volume or liquidity? / rank @@
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