Hedging and Portfolio Optimization in Financial Markets with a Large Trader
From MaRDI portal
Publication:4464010
DOI10.1111/j.0960-1627.2004.00179.xzbMath1119.91040OpenAlexW2108263811MaRDI QIDQ4464010
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
Ito-Wentzell formulauniform approximation of semi-martingalesuniform approximation of stochastic integrals
Generalizations of martingales (60G48) Economic growth models (91B62) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
Related Items (91)
IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT ⋮ THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. ⋮ Asset price bubbles, market liquidity, and systemic risk ⋮ A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS ⋮ MODELING LIQUIDITY EFFECTS IN DISCRETE TIME ⋮ Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ Super-replication with nonlinear transaction costs and volatility uncertainty ⋮ Portfolio insurance with liquidity risk ⋮ Option Replication in Discrete Time with Illiquidity ⋮ Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles ⋮ Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact ⋮ On the strategic behavior of large investors: a mean-variance portfolio approach ⋮ HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ No arbitrage conditions and liquidity ⋮ Asset market equilibrium with liquidity risk ⋮ A Feedback Model for the Financialization of Commodity Markets ⋮ Smooth investment ⋮ Duality and convergence for binomial markets with friction ⋮ OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR ⋮ Illiquid financial market models and absence of arbitrage ⋮ Optimal portfolio selection under concave price impact ⋮ LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ Arbitrage theory for non convex financial market models ⋮ Option prices under liquidity risk as weak solutions of semilinear diffusion equations ⋮ Stochastic maximum principle for systems driven by local martingales with spatial parameters ⋮ Option pricing for a large trader with price impact and liquidity costs ⋮ Pricing in an equilibrium based model for a large investor ⋮ Liquidity in competitive dealer markets ⋮ Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk ⋮ Optimal execution with weighted impact functions: a quadratic programming approach ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ Dual formulation of second order target problems ⋮ Financial markets with a large trader ⋮ On viscosity solutions of path dependent PDEs ⋮ Perfect hedging under endogenous permanent market impacts ⋮ Option hedging for small investors under liquidity costs ⋮ Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? ⋮ Large traders and illiquid options: hedging vs. manipulation ⋮ The impact of quantitative easing on the US term structure of interest rates ⋮ Arbitrage and deflators in illiquid markets ⋮ Liquidity risk, price impacts and the replication problem ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ ASSET PRICE BUBBLES IN INCOMPLETE MARKETS ⋮ Arbitrage-free interval and dynamic hedging in an illiquid market ⋮ A model of optimal portfolio selection under liquidity risk and price impact ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS ⋮ LIQUIDITY IN A BINOMIAL MARKET ⋮ An infinite-dimensional model of liquidity in financial markets ⋮ Nonlinear stochastic integration with a non-smooth family of integrators ⋮ Hedging costs for two large investors ⋮ Option pricing with an illiquid underlying asset market ⋮ Modeling discrete stock price changes using a mixture of Poisson distributions ⋮ From discrete to continuous time evolutionary finance models ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ Foreign currency bubbles ⋮ A note on convergence of an approximate hedging portfolio with liquidity risk ⋮ Bid-Ask Spread Modelling, a Perturbation Approach ⋮ A market model with medium/long-term effects due to an insider ⋮ Market selection of constant proportions investment strategies in continuous time ⋮ Dynamic instability in generic model of multi-assets markets ⋮ Liquidity risk and the term structure of interest rates ⋮ Small time path behavior of double stochastic integrals and applications to stochastic control ⋮ Optimal execution strategies in limit order books with general shape functions ⋮ Continuity of utility maximization under weak convergence ⋮ Numerical analysis and simulation of option pricing problems modeling illiquid markets ⋮ Pricing European options in a discrete time model for the limit order book ⋮ Hedging in an illiquid binomial market ⋮ Martingale decomposition of an L2 space with nonlinear stochastic integrals ⋮ Continuous-time duality for superreplication with transient price impact ⋮ A model for a large investor trading at market indifference prices. II: Continuous-time case. ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ Computation of estimates in segmented regression and a liquidity effect model ⋮ Mean-Variance Hedging with Uncertain Trade Execution ⋮ Partial Hedging in Financial Markets with a Large Agent ⋮ Simplified stochastic calculus via semimartingale representations ⋮ Kyle equilibrium under random price pressure ⋮ OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK ⋮ Regression models for double discrete distributions ⋮ Unnamed Item ⋮ Liquidity Risk with Coherent Risk Measures ⋮ The multi-dimensional super-replication problem under gamma constraints ⋮ A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES ⋮ Optimal execution strategy in the presence of permanent price impact and fixed transaction cost ⋮ A liquidity-based model for asset price bubbles
This page was built for publication: Hedging and Portfolio Optimization in Financial Markets with a Large Trader
