Found 42 Documents (Results 1–42)
A stochastic oil price model for optimal hedging and risk management. (English) Zbl 1484.91498
MSC:
91G30
Stability for gains from large investors’ strategies in \(M_{1}/J_{1}\) topologies. (English) Zbl 1459.60121
Option pricing and hedging with execution costs and market impact. (English) Zbl 1380.91130
Reviewer: Claudio Fontana (Paris)
A state-constrained differential game arising in optimal portfolio liquidation. (English) Zbl 1397.91561
Hedging with temporary price impact. (English) Zbl 1409.91226
Reviewer: Aleksandr D. Borisenko (Kyïv)
On the numerical solution of nonlinear option pricing equation in illiquid markets. (English) Zbl 1360.91151
Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching. (English) Zbl 1322.49042
Chojnowska-Michalik, Anna (ed.) et al., Stochastic analysis. Special volume in honour of Jerzy Zabczyk. Selected papers based on the presentations at the Banach Center conference on stochastic analysis and control, Bȩdlewo, Poland, May 6–10, 2013. Warsaw: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-28-7/pbk). Banach Center Publications 105, 103-118 (2015).
Geometrical properties of differential equations. Applications of the Lie group analysis in financial mathematics. (English) Zbl 1393.22001
Hackensack, NJ: World Scientific (ISBN 978-981-4667-24-1/hbk). xi, 328 p. (2015).
Reviewer: Aleksandr D. Borisenko (Kyïv)
Optimal liquidation in dark pools. (English) Zbl 1402.91709
MSC:
91G10
Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model. (English) Zbl 1311.91195
Dynamic conic finance: pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices. (English) Zbl 1275.91128
The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation. (English) Zbl 1250.35167
On nonlinear models of markets with finite liquidity: some cautionary notes. (English) Zbl 1285.91126
Numerical analysis and computing for option pricing models in illiquid markets. (English) Zbl 1205.91168
Optimal basket liquidation for CARA investors is deterministic. (English) Zbl 1206.91077
Reviewer: Georgiy Shevchenko (Kiev)
Analytic solution of a nonlinear Black-Scholes partial differential equation. (English) Zbl 1228.35125
Reviewer: Daniel Ševčovič (Bratislava)
Numerical analysis and simulation of option pricing problems modeling illiquid markets. (English) Zbl 1193.91152
Monetary policy in illiquid markets: options for a small open economy. (English) Zbl 1418.91347
MSC:
91B64
Calibration of the SABR model in illiquid markets. (English) Zbl 1134.91469
MSC:
91B28
Liquidity risk and arbitrage pricing theory. (English) Zbl 1064.60083
Reviewer: Yuliya Mishura
Risk management for derivatives in illiquid markets: A simulation study. (English) Zbl 1002.91031
Sandmann, Klaus (ed.) et al., Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 137-159 (2002).
A simple model of market liquidity. (English) Zbl 0970.91506
MSC:
91B28
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