OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (Q3008482): Difference between revisions

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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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+Liquidity risk and arbitrage pricing theory
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+Portfolio Selection with Transaction Costs
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+Risk aversion and block exercise of executive stock options
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+Valuing the option to invest in an incomplete market
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+Perpetual American options in incomplete markets: the infinitely divisible case
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+Optimal stopping of the maximum process: a converse to the results of Peskir
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+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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+Optimal stopping of the maximum process: The maximality principle
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+Optimal exercise of executive stock options
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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