Pages that link to "Item:Q3446057"

The following pages link to MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (Q3446057):

Displaying 50 items.

• Adaptive basket liquidation (Q287672) (← links)
• Duality and convergence for binomial markets with friction (Q354186) (← links)
• Optimal portfolio selection under concave price impact (Q360368) (← links)
• Asset liquidity and the valuation of derivative securities (Q442747) (← links)
• Arbitrage and deflators in illiquid markets (Q483698) (← links)
• Liquidity risk, price impacts and the replication problem (Q483927) (← links)
• Convex duality in optimal investment under illiquidity (Q484140) (← links)
• Modeling discrete stock price changes using a mixture of Poisson distributions (Q530377) (← links)
• Intertemporal asset pricing and the marginal utility of wealth (Q553533) (← links)
• Option hedging for small investors under liquidity costs (Q650751) (← links)
• Large traders and illiquid options: hedging vs. manipulation (Q658638) (← links)
• Introduction to convex optimization in financial markets (Q715237) (← links)
• Asset price bubbles, market liquidity, and systemic risk (Q829205) (← links)
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (Q964670) (← links)
• Optimal investment strategies with a reallocation constraint (Q992044) (← links)
• Asset market equilibrium with liquidity risk (Q1648910) (← links)
• Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
• Liquidity-adjusted risk measures (Q1938958) (← links)
• Liquidity risk and the term structure of interest rates (Q2018551) (← links)
• Regression models for double discrete distributions (Q2089357) (← links)
• Bayesian statistical inference for European options with stock liquidity (Q2156653) (← links)
• An infinite-dimensional model of liquidity in financial markets (Q2241898) (← links)
• Optimal investment and contingent claim valuation in illiquid markets (Q2255004) (← links)
• Pricing European options in a discrete time model for the limit order book (Q2283686) (← links)
• Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
• Merton problem in an infinite horizon and a discrete time with frictions (Q2358298) (← links)
• A model of optimal portfolio selection under liquidity risk and price impact (Q2463703) (← links)
• Hedging in an illiquid binomial market (Q2510779) (← links)
• Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles (Q2633454) (← links)
• Illiquid financial market models and absence of arbitrage (Q2655603) (← links)
• RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
• Reduced form modeling of limit order markets (Q2873532) (← links)
• SUPERHEDGING IN ILLIQUID MARKETS (Q3008489) (← links)
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (Q3161737) (← links)
• Option Replication in Discrete Time with Illiquidity (Q3176524) (← links)
• Problems of Mathematical Finance by Stochastic Control Methods (Q3557801) (← links)
• Liquidity premium in the presence of stock market crises and background risk (Q4682995) (← links)
• LIQUIDITY IN A BINOMIAL MARKET (Q4906530) (← links)
• Optimal control of ultradiffusion processes with application to mathematical finance (Q4983283) (← links)
• Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging (Q5050881) (← links)
• Numerical pricing of exchange option with stock liquidity under Bayesian statistical method (Q5081059) (← links)
• Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
• HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT (Q5242951) (← links)
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404) (← links)
• SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (Q5357511) (← links)
• Arbitrage-free interval and dynamic hedging in an illiquid market (Q5397440) (← links)
• OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
• Fundamental theorem of asset pricing with acceptable risk in markets with frictions (Q6166338) (← links)
• Risk measures beyond frictionless markets (Q6557369) (← links)
• Multivariate Hawkes-based models in limit order book: European and spread option pricing (Q6644185) (← links)