A Feedback Model for the Financialization of Commodity Markets (Q3195109): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1137/140995349
@@ Property / full work available at URL: https://doi.org/10.1137/140995349 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3122514391
@@ Property / OpenAlex ID: W3122514391 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+A model for a large investor trading at market indifference prices. I: Single-period case
+Normal rank
@@ Property / cites work @@
+Q3521355
@@ Property / cites work: Q3521355 / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
+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 @@
+Equilibrium in securities markets with heterogeneous investors and unspanned income risk
+Normal rank
@@ Property / cites work @@
+RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
+Normal rank
@@ Property / cites work @@
+Market Volatility and Feedback Effects from Dynamic Hedging
+Normal rank
@@ Property / cites work @@
+Option pricing for large agents
@@ Property / cites work: Option pricing for large agents / rank @@
+Normal rank
@@ Property / cites work @@
+Market Influence of Portfolio Optimizers
@@ Property / cites work: Market Influence of Portfolio Optimizers / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+On Feedback Effects from Hedging Derivatives
@@ Property / cites work: On Feedback Effects from Hedging Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+General Black-Scholes models accounting for increased market volatility from hedging strategies
+Normal rank
@@ Property / cites work @@
+The Feedback Effect of Hedging in Illiquid Markets
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank