Hedging, arbitrage and optimality with superlinear frictions
The authors study the phenomenon of price impact, or, that is the same, market depth. This phenomena means that trading moves prices against the trader: buying faster increases execution prices, and selling faster decreases them. In the models with price impact and with continuous time, the following questions arise: what is the analogue of a martingale measure, what about optimality conditions for utility maximization, which contingent claims are hedgeable and at what price? The paper is devoted to the answers for these questions. Models with multiple assets are considered and superhedging prices, absence of arbitrage and utility maximizing strategies are characterized under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. The notion of superlinear friction is involved, and superlinear frictions struggle with buying or selling too fast. Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure. In such framework it is established that utility maximization strategies exist even if arbitrage is present.
- A generalization of a problem of Steinhaus
- A model for a large investor trading at market indifference prices. I: Single-period case
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- Arbitrage and deflators in illiquid markets
- Arbitrage under transaction costs revisited
- Arbitrage with Fractional Brownian Motion
- Can One Drop L 1 -Boundedness in Komlós's Subsequence Theorem?
- Cash Stream Valuation In the Face of Transaction Costs and Taxes
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
- Consistent price systems and face-lifting pricing under transaction costs
- Consistent price systems in multiasset markets
- Continuous Auctions and Insider Trading
- Diversity and relative arbitrage in equity markets
- Duality and convergence for binomial markets with friction
- Hedging of claims with physical delivery under convex transaction costs
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 796446 (Why is no real title available?)
- Infinite-dimensional extension of a theorem of Komlós
- Liquidity risk and arbitrage pricing theory
- Markets with transaction costs. Mathematical theory.
- Martingales and arbitage in securities markets with transaction costs
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- No arbitrage conditions and liquidity
- NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
- No-arbitrage of second kind in countable markets with proportional transaction costs
- On using shadow prices in portfolio optimization with transaction costs
- Optimal investment and contingent claim valuation in illiquid markets
- Option hedging for small investors under liquidity costs
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Superhedging in illiquid markets
- TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
- The cost of illiquidity and its effects on hedging
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- The fundamental theorem of asset pricing under transaction costs
- The mathematics of arbitrage
- The numéraire portfolio in semimartingale financial models
- Rebalancing multiple assets with mutual price impact
- Sticky processes, local and true martingales
- Perfect hedging under endogenous permanent market impacts
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Dynamic trading under integer constraints
- Optimal long-term investment in illiquid markets when prices have negative memory
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- Trading with small nonlinear price impact
- Optimal investment and contingent claim valuation in illiquid markets
- On the quasi-sure superhedging duality with frictions
- Continuous-time duality for superreplication with transient price impact
- Superreplication when trading at market indifference prices
- Arbitrage and hedging in model-independent markets with frictions
- Skorohod's representation theorem and optimal strategies for markets with frictions
- Trading fractional Brownian motion
- Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
- Existence of solutions in non-convex dynamic programming and optimal investment
- Implicit transaction costs and the fundamental theorems of asset pricing
- Price Manipulation and Quasi-Arbitrage
- Asset pricing with general transaction costs: Theory and numerics
- Optimal investment, derivative demand, and arbitrage under price impact
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
- Duality theory for exponential utility-based hedging in the Almgren-Chriss model
- Optimal liquidation with high risk aversion and small linear price impact
- A note on optimal liquidation with linear price impact
This page was built for publication: Hedging, arbitrage and optimality with superlinear frictions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2354892)
