Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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Publication:4464010
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Cited in
(99)- Arbitrage theory for non convex financial market models
- No arbitrage conditions and liquidity
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Hedging costs for two large investors
- Regression models for double discrete distributions
- The cost of illiquidity and its effects on hedging
- Computation of estimates in segmented regression and a liquidity effect model
- Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
- A concise characterization of optimal consumption with logarithmic preferences
- Small time path behavior of double stochastic integrals and applications to stochastic control
- Pricing in an equilibrium based model for a large investor
- On viscosity solutions of path dependent PDEs
- Asset price bubbles, market liquidity, and systemic risk
- Asset market equilibrium with liquidity risk
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Martingale decomposition of an \(L^2\) space with nonlinear stochastic integrals
- Optimal liquidation in a limit order book for a risk-averse investor
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- Option pricing with an illiquid underlying asset market
- Asset price bubbles in incomplete markets
- Liquidity in a binomial market
- Dual formulation of second order target problems
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Liquidity Risk with Coherent Risk Measures
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- Optimal portfolio selection under concave price impact
- Option replication in discrete time with illiquidity
- Duality and convergence for binomial markets with friction
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- A market model with medium/long-term effects due to an insider
- Dynamic instability in generic model of multi-assets markets
- Foreign currency bubbles
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Liquidity in competitive dealer markets
- Large traders and illiquid options: hedging vs. manipulation
- Perfect option hedging for a large trader
- Large investor trading impacts on volatility
- Optimal consumption and investment for a large investor: an intensity-based control framework
- A liquidity-based model for asset price bubbles
- Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
- Optimal execution with weighted impact functions: a quadratic programming approach
- Option pricing and hedging with execution costs and market impact
- The multi-dimensional super-replication problem under gamma constraints
- Option hedging for small investors under liquidity costs
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Perfect hedging under endogenous permanent market impacts
- Optimal execution strategies in limit order books with general shape functions
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- Arbitrage and deflators in illiquid markets
- Liquidity risk, price impacts and the replication problem
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Option pricing for a large trader with price impact and liquidity costs
- Partial hedging in financial markets with a large agent
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- Modeling discrete stock price changes using a mixture of Poisson distributions
- Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
- From discrete to continuous time evolutionary finance models
- Large Investor Trading Impacts on Volatility
- Financial markets with a large trader
- The impact of quantitative easing on the US term structure of interest rates
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Portfolio insurance with liquidity risk
- A model of optimal portfolio selection under liquidity risk and price impact
- Market selection of constant proportions investment strategies in continuous time
- Hedge and speculate: replicating option payoffs with limit and market orders
- Stochastic maximum principle for systems driven by local martingales with spatial parameters
- Hedging in an illiquid binomial market
- On linear-autonomous symmetries of Guéant-Pu fractional model
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
- Illiquid financial market models and absence of arbitrage
- Smooth investment
- A feedback model for the financialization of commodity markets
- Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk
- Simplified stochastic calculus via semimartingale representations
- Continuity of utility maximization under weak convergence
- Arbitrage-free interval and dynamic hedging in an illiquid market
- A CAPM with trading constraints and price bubbles
- Realizable portfolio value in non-liquid financial markets.
- Mean-variance hedging with uncertain trade execution
- Nash equilibria for relative investors with (non)linear price impact
- Bid-Ask Spread Modelling, a Perturbation Approach
- A note on convergence of an approximate hedging portfolio with liquidity risk
- An infinite-dimensional model of liquidity in financial markets
- Continuous-time duality for superreplication with transient price impact
- On measuring the cost of liquidity in the limit order book
- Liquidity risk and the term structure of interest rates
- Hedging of American options in illiquid markets with price impacts
- Optimal investment, derivative demand, and arbitrage under price impact
- Hedging with physical or cash settlement under transient multiplicative price impact
- Group analysis of the Guéant and Pu model of option pricing and hedging
- A dysfunctional role of high frequency trading in electronic markets
- Nonlinear stochastic integration with a non-smooth family of integrators
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations
- Kyle equilibrium under random price pressure
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
- Implicit transaction costs and the fundamental theorems of asset pricing
- Pricing European options in a discrete time model for the limit order book
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
- Do price trajectory data increase the efficiency of market impact estimation?
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