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

@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B24
@@ Property / Mathematics Subject Classification ID: 91B24 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G35
@@ Property / Mathematics Subject Classification ID: 60G35 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6381423
@@ Property / zbMATH DE Number: 6381423 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+liquidity risk
@@ Property / zbMATH Keywords: liquidity risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+BSDEs
@@ Property / zbMATH Keywords: BSDEs / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+price impacts
@@ Property / zbMATH Keywords: price impacts / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2158755510
@@ Property / OpenAlex ID: W2158755510 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2440
@@ Property / arXiv ID: 0812.2440 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal execution strategies in limit order books with general shape functions
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
+Normal rank
@@ Property / cites work @@
+Option hedging for small investors under liquidity costs
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+The Valuation of Volatility Options
@@ Property / cites work: The Valuation of Volatility Options / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Perfect option hedging for a large trader
@@ Property / cites work: Perfect option hedging for a large trader / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+A model of optimal portfolio selection under liquidity risk and price impact
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
+Normal rank
@@ Property / cites work @@
+Order book approach to price impact
@@ Property / cites work: Order book approach to price impact / rank @@
+Normal rank
@@ Property / cites work @@
+Large stock price changes: volume or liquidity?
@@ Property / cites work: Large stock price changes: volume or liquidity? / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:483927