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(only showing first 100 items - show all)- A mathematical theory of financial bubbles
- Liquidity Preference and Financial Intermediation
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- Optimal portfolio selection under concave price impact
- Analytical valuation for geometric Asian options in illiquid markets
- Bayesian statistical inference for European options with stock liquidity
- Simulation of feedback effects for futures-style options pricing on Moscow exchange
- Risky arbitrage, asset prices, and externalities
- Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
- Risk measuring under liquidity risk
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations
- Arbitrage theory for non convex financial market models
- Large traders and illiquid options: hedging vs. manipulation
- Financial markets with a large trader
- A model of optimal portfolio selection under liquidity risk and price impact
- Optimal liquidation in a limit order book for a risk-averse investor
- Exact solutions and numerical simulation for Bakstein-Howison model
- A feedback model for the financialization of commodity markets
- Optimal growth rate in random trade time
- Set-valued shortfall and divergence risk measures
- Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
- Dynamic trading volume
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
- Liquidity Models in Continuous and Discrete Time
- Superreplication when trading at market indifference prices
- Modeling discrete stock price changes using a mixture of Poisson distributions
- Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
- Asset price bubbles, market liquidity, and systemic risk
- Duality and convergence for binomial markets with friction
- Optimal control of ultradiffusion processes with application to mathematical finance
- Optimal execution strategies in limit order books with general shape functions
- Arbitrage-free interval and dynamic hedging in an illiquid market
- Portfolio insurance with liquidity risk
- Group analysis of the Guéant and Pu model of option pricing and hedging
- Option hedging for small investors under liquidity costs
- Implicit transaction costs and the fundamental theorems of asset pricing
- Computation of estimates in segmented regression and a liquidity effect model
- A liquidity-based model for asset price bubbles
- No arbitrage conditions and liquidity
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- Liquidity in competitive dealer markets
- Optimal liquidation strategies and their implications
- Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk
- Liquidity risk and instabilities in portfolio optimization
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Option replication in discrete time with illiquidity
- Optimal investment with transient price impact
- Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics
- Resilient price impact of trading and the cost of illiquidity
- Curve following in illiquid markets
- On derivatives with illiquid underlying and market manipulation
- Asset market equilibrium with liquidity risk
- A note on convergence of an approximate hedging portfolio with liquidity risk
- Option pricing and hedging with execution costs and market impact
- Hedge and speculate: replicating option payoffs with limit and market orders
- Option pricing for a large trader with price impact and liquidity costs
- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
- Optimal investment strategies with a reallocation constraint
- Liquidity risk and the term structure of interest rates
- An infinite-dimensional model of liquidity in financial markets
- Hedging of covered options with linear market impact and gamma constraint
- Liquidity Risk with Coherent Risk Measures
- Symmetry reduction and exact solutions of the non-linear Black-Scholes equation
- Regression models for double discrete distributions
- Bid-Ask Spread Modelling, a Perturbation Approach
- Risk arbitrage and hedging to acceptability under transaction costs
- Understanding the dual formulation for the hedging of path-dependent options with price impact
- Problems of mathematical finance by stochastic control methods
- Asset liquidity and the valuation of derivative securities
- Hedging in an illiquid binomial market
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Almost-sure hedging with permanent price impact
- Merton problem in an infinite horizon and a discrete time with frictions
- The valuation of American options with the stochastic liquidity risk and jump risk
- Superhedging in illiquid markets
- Liquidity in a binomial market
- Dual representation of superhedging costs in illiquid markets
- Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
- An analysis of the supply curve for liquidity risk through book data
- A dynamic model of the limit order book
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
- Hedging of American options in illiquid markets with price impacts
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Liquidity risk theory and coherent measures of risk
- A model for a large investor trading at market indifference prices. I: Single-period case
- Hedging, arbitrage and optimality with superlinear frictions
- Signing trades and an evaluation of the Lee-Ready algorithm
- Efficient discretization of stochastic integrals
- On splitting-based numerical methods for nonlinear models of European options
- Life insurance surrender and liquidity risks
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