Large Investor Trading Impacts on Volatility

DOI10.1007/978-3-540-73327-0_4MaRDI QIDQ5435653zbMATH OpenOpenAlexFDO

Authors P.-L. Lions, J.-M. Lasry

Publication date 14 January 2008

Published in Paris-Princeton Lectures on Mathematical Finance 2004 (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPC_2007__24_2_311_0/

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(16)

• Large investor trading impacts on volatility
• Financial markets with a large trader
• An introduction to mean field game theory
• A model for a large investor trading at market indifference prices. I: Single-period case
• Hedging costs for two large investors
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• Institutional Investors and Stock Market Volatility
• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• An optimal execution problem with market impact
• Large Investors, takeovers, and the rule of law
• Hedge and speculate: replicating option payoffs with limit and market orders
• AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
• Large stock price changes: volume or liquidity?
• A hybrid deep learning method for finite-horizon mean-field game problems
• Towards a self-consistent theory of volatility

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