On derivatives with illiquid underlying and market manipulation

DOI10.1080/14697688.2011.552517zbMath1219.91140MaRDI QIDQ3088325

Ulrich Horst, Felix Naujokat

Publication date: 19 August 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.552517

zbMATH Keywords

game theory; stochastic models; derivatives pricing; market manipulation; liquidity modelling

Mathematics Subject Classification ID

91A80: Applications of game theory

91B16: Utility theory

91G20: Derivative securities (option pricing, hedging, etc.)

Cites Work

• Large traders and illiquid options: hedging vs. manipulation
• Zero-sum stochastic differential games and backward equations
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Liquidity risk and arbitrage pricing theory
• Stochastic differential games
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Continuous Auctions and Insider Trading
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• The Feedback Effect of Hedging in Illiquid Markets
• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
• Stochastic differential games and viscosity solutions of Isaacs equations
• Optimal execution strategies in limit order books with general shape functions
• Price Manipulation and Quasi-Arbitrage