Liquidity Models in Continuous and Discrete Time
DOI10.1007/978-3-642-18412-3_13zbMATH Open1230.91201OpenAlexW2108827269MaRDI QIDQ5198566FDOQ5198566
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Cited In (19)
- 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
- EGARCH Model with Weighted Liquidity
- Modeling the liquidity effect with the limited participation model: a skeptical view
- 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
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- A Liquidity-based Model of Security Design
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