Hedging and liquidation under transaction costs in currency markets
From MaRDI portal
(Redirected from Publication:1297915)
Recommendations
Cited in
(only showing first 100 items - show all)- Essential supremum with respect to a random partial order
- Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
- scientific article; zbMATH DE number 1897418 (Why is no real title available?)
- Utility maximization in markets with bid-ask spreads
- Time consistency of dynamic risk measures in markets with transaction costs
- Risk measures beyond frictionless markets
- A comparison of techniques for dynamic multivariate risk measures
- Volatility-induced financial growth
- scientific article; zbMATH DE number 1795848 (Why is no real title available?)
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- On the dual of the solvency cone
- American and Bermudan options in currency markets with proportional transaction costs
- Portfolio insurance with liquidity risk
- Duality theory for portfolio optimisation under transaction costs
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- No arbitrage conditions and liquidity
- American options with gradual exercise under proportional transaction costs
- Robust utility maximization in discrete-time markets with friction
- A super-replication theorem in Kabanov's model of transaction costs
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- On the quasi-sure superhedging duality with frictions
- Stochastic programs without duality gaps
- Option replication in discrete time with illiquidity
- Two-agent Pareto optimal cooperative investment in general semimartingale model
- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- Robust utility maximisation in markets with transaction costs
- OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
- On irreversible investment
- Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
- A Knightian irreversible investment problem
- Multi-utility representations of incomplete preferences induced by set-valued risk measures
- On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative
- Critical angles in random polyhedral cones
- On the existence of shadow prices
- Superhedging in illiquid markets
- Explicit solution to the multivariate super-replication problem under transaction costs.
- The super-replication theorem under proportional transaction costs revisited
- Multivariate utility maximization with proportional transaction costs
- Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
- Dual representation of superhedging costs in illiquid markets
- Existence of shadow prices in finite probability spaces
- Editorial
- Dynamic conic hedging for competitiveness
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
- Game options with gradual exercise and cancellation under proportional transaction costs
- Multivariate risk measures: a constructive approach based on selections
- Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
- An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- A note on utility-based pricing in models with transaction costs
- Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem
- On optimal terminal wealth under transaction costs
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Efficient portfolios in financial markets with proportional transaction costs
- Set-valued dynamic risk measures for bounded discrete-time processes
- The fundamental theorem of asset pricing under transaction costs
- General financial market model defined by a liquidation value process
- Consistent price systems and face-lifting pricing under transaction costs
- Duality and optimality conditions in stochastic optimization and mathematical finance
- On the existence of shadow prices for optimal investment with random endowment
- Hedging of American options under transaction costs
- Option pricing with transaction costs using a Markov chain approximation
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Primal and dual approximation algorithms for convex vector optimization problems
- Mean-variance hedging with uncertain trade execution
- Time consistency for scalar multivariate risk measures
- Set-valued risk measures for conical market models
- Small transaction costs, absence of arbitrage and consistent price systems
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- Arbitrage and deflators in illiquid markets
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
- Von Neumann–Gale model, market frictions and capital growth
- A dynamic version of the super-replication theorem under proportional transaction costs
- Hedging under an expected loss constraint with small transaction costs
- Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
- Dual formulation of the utility maximization problem under transaction costs
- Optimal consumption choice with intertemporal substitution
- On the pricing of American contingent claims under transaction costs and multiple risky assets
- Introduction to convex optimization in financial markets
- Continuous-time public good contribution under uncertainty: a stochastic control approach
- Set-valued average value at risk and its computation
- Link-save trading
- Arbitrage and control problems in finance. A presentation
- Continuous-time duality for superreplication with transient price impact
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Scalar multivariate risk measures with a single eligible asset
- Risk measuring under liquidity risk
- A supermartingale relation for multivariate risk measures
- Arbitrage theory for non convex financial market models
- Editorial. Choosing sets: preface to the special issue on set optimization and applications
- Multivariate risks and depth-trimmed regions
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\).
This page was built for publication: Hedging and liquidation under transaction costs in currency markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1297915)
