Person:483926

Available identifiers

zbMath Open roch.alexandre-fWikidataQ58850238 ScholiaQ58850238MaRDI QIDQ483926

List of research outcomes

Publication	Date of Publication	Type
Optimal liquidation through a limit order book: a neural network and simulation approach	2023-07-04	Paper
HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS	2022-03-29	Paper
Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing	2021-05-17	Paper
Optimal dividend and capital structure with debt covenants	2021-05-11	Paper
Asymptotic asset pricing and bubbles	2018-04-16	Paper
Option prices under liquidity risk as weak solutions of semilinear diffusion equations	2017-10-20	Paper
OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET	2016-04-01	Paper
Liquidity risk and the term structure of interest rates	2015-03-24	Paper
Optimal exit strategies for investment projects	2015-01-30	Paper
Liquidity risk, price impacts and the replication problem	2014-12-17	Paper
A liquidity-based model for asset price bubbles	2014-01-24	Paper
RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY	2013-11-15	Paper
Liquidity Models in Continuous and Discrete Time	2011-08-08	Paper
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type	2010-12-01	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Alexandre F. Roch