Scaling limits for super-replication with transient price impact (Q2174997): Difference between revisions

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+A trajectorial interpretation of Doob's martingale inequalities
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+Optimal execution strategies in limit order books with general shape functions
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+Super-replication with fixed transaction costs
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+Continuous-time duality for superreplication with transient price impact
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+Super-replication with nonlinear transaction costs and volatility uncertainty
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+The scaling limit of superreplication prices with small transaction costs in the multivariate case
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+Optimal Investment with Transient Price Impact
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+Liquidity risk and arbitrage pricing theory
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+A general version of the fundamental theorem of asset pricing
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+Duality and convergence for binomial markets with friction
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+Optional decompositions under constraints
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+LIQUIDITY IN A BINOMIAL MARKET
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+Price Manipulation and Quasi-Arbitrage
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+Limit theorem on option replication cost with transaction costs
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+Optimal Execution in a General One-Sided Limit-Order Book
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+RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
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+Proofs of the martingale FCLT
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