Liquidity Costs: A New Numerical Methodology and an Empirical Study
From MaRDI portal
Publication:4682700
DOI10.1080/1350486X.2016.1164608zbMath1396.91804arXiv1501.07404OpenAlexW3103165761WikidataQ60920713 ScholiaQ60920713MaRDI QIDQ4682700
Etienne Tanré, Christophe Michel, Denis Talay, Victor Reutenauer
Publication date: 19 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.07404
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, stochastic differential equations (65C99)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Martingale methods in financial modelling.
- Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
- Stochastic approximation and its applications
- Modeling the Term Structure of Interest Rates: A Review of the Literature
- Variational Analysis
- Asymptotic normality of randomly truncated stochastic algorithms
- A Stochastic Approximation Method
This page was built for publication: Liquidity Costs: A New Numerical Methodology and an Empirical Study
