Liquidity Models in Continuous and Discrete Time (Q5198566)

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scientific article; zbMATH DE number 5936954
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English
Liquidity Models in Continuous and Discrete Time
scientific article; zbMATH DE number 5936954

    Statements

    title
    Liquidity Models in Continuous and Discrete Time (English)
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    author
    Selim Gökay
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    Alexandre F. Roch
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    Halil Mete Soner
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    publication date
    8 August 2011
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    zbMATH Keywords
    liquidity risk
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    optimal execution
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    hedging
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    price impact
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    large trader models
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    utility maximization
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    60H30
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    91G10
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    91G20
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    zbMATH DE Number
    5936954
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