Hedging and Portfolio Optimization in Financial Markets with a Large Trader

DOI10.1111/J.0960-1627.2004.00179.XzbMATH Open1119.91040OpenAlexW2108263811MaRDI QIDQ4464010FDOQ4464010

Authors: Peter Bank, Dietmar Baum

Publication date: 27 May 2004

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00179.x

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zbMATH Keywords

Ito-Wentzell formula uniform approximation of semi-martingales uniform approximation of stochastic integrals

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Generalizations of martingales (60G48) Economic growth models (91B62)

Cited In (99)

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