Alexandre F. Roch

Available identifiers

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

No records found.

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Alexandre F. Roch