Financial markets with a large trader
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Publication:1704151
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Cites work
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- scientific article; zbMATH DE number 49027 (Why is no real title available?)
- scientific article; zbMATH DE number 3631722 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 926726 (Why is no real title available?)
- A Counterexample to Several Problems In the Theory of Asset Pricing
- A general version of the fundamental theorem of asset pricing
- A note on admissibility when the credit line is infinite
- A unified framework for utility maximization problems: An Orlicz space approach
- Continuous Auctions and Insider Trading
- Espaces de semi martingales et changement de probabilit�
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Liquidity risk and arbitrage pricing theory
- M6—On Minimal Market Models and Minimal Martingale Measures
- Measure theory. Vol. I and II
- No-dynamic-arbitrage and market impact
- On the closure in the emery topology of semimartingale wealth-process sets
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Optimal basket liquidation for CARA investors is deterministic
- Perfect option hedging for a large trader
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- The existence of absolutely continuous local martingale measures
- Utility maximization in incomplete markets for unbounded processes
Cited in
(8)- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Rogue traders
- Illiquid financial market models and absence of arbitrage
- Influence of big traders on the stock market: theory and simulation
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- An infinite-dimensional model of liquidity in financial markets
- Partial hedging in financial markets with a large agent
- Maximal trades
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