Liquidity Models in Continuous and Discrete Time

DOI10.1007/978-3-642-18412-3_13MaRDI QIDQ5198566zbMATH OpenOpenAlexFDO

Authors Selim Gökay, Alexandre Roch, H. Mete Soner

Publication date 8 August 2011

Published in Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18412-3_13

zbMATH Keywords

hedginglarge trader modelsliquidity riskoptimal executionprice impactutility maximization

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(23)

• Modeling the liquidity effect with the limited participation model: a skeptical view
• A limit order book model for latency arbitrage
• A model for a large investor trading at market indifference prices. I: Single-period case
• Hedging, arbitrage and optimality with superlinear frictions
• Regularized robust optimization: the optimal portfolio execution case
• Hedging in an illiquid binomial market
• Liquidation with self-exciting price impact
• Resilient price impact of trading and the cost of illiquidity
• Utility maximization in an illiquid market in continuous time
• Local risk-minimization with multiple assets under illiquidity with applications in energy markets
• Trading against disorderly liquidation of a large position under asymmetric information and market impact
• A Liquidity-based Model of Security Design
• Optimal investment with transient price impact
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Hedging with temporary price impact
• Price manipulation in a market impact model with dark pool
• EGARCH Model with Weighted Liquidity
• Portfolio optimization for a large investor under partial information and price impact
• Optimal liquidation with signals: the general propagator case
• Optimal liquidation under indirect price impact with propagator
• The value of insider information for super-replication with quadratic transaction costs
• Statistical learning with sublinear regret of propagator models
• A model for a large investor trading at market indifference prices. II: Continuous-time case.

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