Liquidity risk and arbitrage pricing theory
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Publication:1776006
DOI10.1007/S00780-004-0123-XzbMATH Open1064.60083OpenAlexW4230747638MaRDI QIDQ1776006FDOQ1776006
Authors: Umut Cetin, Robert A. Jarrow, Philip Protter 
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0123-x
Recommendations
approximationstochastic integralilliquid marketsfundamental theorems of asset pricingapproximately complete markets
Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
Cited In (only showing first 100 items - show all)
- Liquidity Models in Continuous and Discrete Time
- Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
- Optimal execution strategies in limit order books with general shape functions
- Modeling discrete stock price changes using a mixture of Poisson distributions
- Superreplication when trading at market indifference prices
- 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
- Portfolio insurance with liquidity risk
- Liquidity in competitive dealer markets
- A liquidity-based model for asset price bubbles
- Option hedging for small investors under liquidity costs
- No arbitrage conditions and liquidity
- Computation of estimates in segmented regression and a liquidity effect model
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- Optimal liquidation strategies and their implications
- Liquidity risk and instabilities in portfolio optimization
- Optimal investment with transient price impact
- Option replication in discrete time with illiquidity
- Option pricing and hedging with execution costs and market impact
- Resilient price impact of trading and the cost of illiquidity
- Curve following in illiquid markets
- Asset market equilibrium with liquidity risk
- Option pricing for a large trader with price impact and liquidity costs
- Optimal investment strategies with a reallocation constraint
- Liquidity Risk with Coherent Risk Measures
- Symmetry reduction and exact solutions of the non-linear Black-Scholes equation
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- Asset liquidity and the valuation of derivative securities
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Almost-sure hedging with permanent price impact
- Superhedging in illiquid markets
- Liquidity in a binomial market
- Dual representation of superhedging costs in illiquid markets
- An analysis of the supply curve for liquidity risk through book data
- Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
- A dynamic model of the limit order book
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Liquidity risk theory and coherent measures of risk
- On splitting-based numerical methods for nonlinear models of European options
- Life insurance surrender and liquidity risks
- 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
- Martingale decomposition of an \(L^2\) space with nonlinear stochastic integrals
- Regulatory arbitrage of risk measures
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Reduced form modeling of limit order markets
- Hedging costs for two large investors
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- A concise characterization of optimal consumption with logarithmic preferences
- Pricing in an equilibrium based model for a large investor
- Utility maximization in an illiquid market in continuous time
- Utility maximization in an illiquid market
- Perfect hedging under endogenous permanent market impacts
- Arbitrage and deflators in illiquid markets
- Liquidity risk, price impacts and the replication problem
- No arbitrage without semimartingales
- Liquidity Preference and Financial Intermediation
- A mathematical theory of financial bubbles
- Optimal portfolio selection under concave price impact
- Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Arbitrage theory for non convex financial market models
- Large traders and illiquid options: hedging vs. manipulation
- A model of optimal portfolio selection under liquidity risk and price impact
- Optimal liquidation in a limit order book for a risk-averse investor
- Set-valued shortfall and divergence risk measures
- Optimal growth rate in random trade time
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- Optimal control of ultradiffusion processes with application to mathematical finance
- Arbitrage-free interval and dynamic hedging in an illiquid market
- Group analysis of the Guéant and Pu model of option pricing and hedging
- Implicit transaction costs and the fundamental theorems of asset pricing
- Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- A note on convergence of an approximate hedging portfolio with liquidity risk
- Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics
- On derivatives with illiquid underlying and market manipulation
- Hedge and speculate: replicating option payoffs with limit and market orders
- 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
- Hedging of covered options with linear market impact and gamma constraint
- An infinite-dimensional model of liquidity in financial markets
- Liquidity risk and the term structure of interest rates
- Bid-Ask Spread Modelling, a Perturbation Approach
- Regression models for double discrete distributions
- Problems of mathematical finance by stochastic control methods
- Risk arbitrage and hedging to acceptability under transaction costs
- Understanding the dual formulation for the hedging of path-dependent options with price impact
- Hedging in an illiquid binomial market
- The valuation of American options with the stochastic liquidity risk and jump risk
- Merton problem in an infinite horizon and a discrete time with frictions
- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
- Hedging of American options in illiquid markets with price impacts
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
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