Liquidity Models in Continuous and Discrete Time

DOI10.1007/978-3-642-18412-3_13MaRDI QIDQ5198566zbMATH OpenOpenAlexFDO

Authors Selim Gökay, Alexandre Roch, H. Mete Soner

Publication date 8 August 2011

Published in Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18412-3_13

zbMATH Keywords

price impactutility maximizationhedgingoptimal executionliquidity risklarge trader models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cited in

(19)

• Local risk-minimization with multiple assets under illiquidity with applications in energy markets
• A Liquidity-based Model of Security Design
• Liquidation with self-exciting price impact
• Trading against disorderly liquidation of a large position under asymmetric information and market impact
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• Optimal investment with transient price impact
• Resilient price impact of trading and the cost of illiquidity
• Hedging in an illiquid binomial market
• Hedging with temporary price impact
• A model for a large investor trading at market indifference prices. I: Single-period case
• Hedging, arbitrage and optimality with superlinear frictions
• Modeling the liquidity effect with the limited participation model: a skeptical view
• EGARCH Model with Weighted Liquidity
• Portfolio optimization for a large investor under partial information and price impact
• Utility maximization in an illiquid market in continuous time
• A limit order book model for latency arbitrage
• Regularized robust optimization: the optimal portfolio execution case
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Price manipulation in a market impact model with dark pool

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