Pages that link to "Item:Q3161737"
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The following pages link to THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (Q3161737):
Displayed 47 items.
- Adaptive basket liquidation (Q287672) (← links)
- Arbitrage and deflators in illiquid markets (Q483698) (← links)
- Liquidity risk, price impacts and the replication problem (Q483927) (← links)
- Hedging with temporary price impact (Q513749) (← links)
- Portfolio choice under transitory price impact (Q609848) (← links)
- Equilibrium theory of stock market crashes (Q1657461) (← links)
- Derivatives pricing with market impact and limit order book (Q1678624) (← links)
- Option pricing for a large trader with price impact and liquidity costs (Q1684699) (← links)
- Dynamic portfolio selection with market impact costs (Q1785239) (← links)
- Curve following in illiquid markets (Q1932555) (← links)
- Optimal long-term investment in illiquid markets when prices have negative memory (Q2064830) (← links)
- Analytical valuation for geometric Asian options in illiquid markets (Q2150932) (← links)
- An infinite-dimensional model of liquidity in financial markets (Q2241898) (← links)
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications (Q2296086) (← links)
- The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- A two-player portfolio tracking game (Q2675370) (← links)
- Optimal hedging through limit orders (Q2816625) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
- SUPERHEDGING IN ILLIQUID MARKETS (Q3008489) (← links)
- Optimal Basket Liquidation for CARA Investors is Deterministic (Q3063877) (← links)
- On derivatives with illiquid underlying and market manipulation (Q3088325) (← links)
- Option Replication in Discrete Time with Illiquidity (Q3176524) (← links)
- Option pricing in a CEV model with liquidity costs (Q3178199) (← links)
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions (Q3456837) (← links)
- LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS (Q4571703) (← links)
- Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636) (← links)
- Optimal accelerated share repurchases (Q4610214) (← links)
- Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations (Q4619542) (← links)
- LIQUIDITY IN A BINOMIAL MARKET (Q4906530) (← links)
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145) (← links)
- PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641) (← links)
- Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders (Q4971981) (← links)
- Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging (Q5050881) (← links)
- Slow-moving capital and stock returns (Q5139208) (← links)
- (Q5153851) (← links)
- SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS (Q5207494) (← links)
- High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control (Q5207795) (← links)
- Deep hedging (Q5234357) (← links)
- Optimal liquidation in dark pools (Q5245909) (← links)
- An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection (Q5247617) (← links)
- ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY (Q5256838) (← links)
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (Q5262511) (← links)
- OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404) (← links)
- SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (Q5357511) (← links)
- Approximation and comparison of the empirical liquidity cost function for various futures contracts (Q6117560) (← links)