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Filipović, Damir; Larsson, Martin; Ware, Tony - 2018

Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state of the process conditional on the current state are given by polynomials (of degree n) of the current state. Here we explore the application of polynomial processes in the...

Persistent link: https://www.econbiz.de/10011899816

Martingale representation theorem for the G-expectation

Soner, Halil Mete; Touzi, Nizar; Jianfeng Zhang - 2010

This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward...

Persistent link: https://www.econbiz.de/10008798300

Liquidity models in continuous and discrete time

Gökay, Selim; Roch, Alexandre F.; Soner, Halil Mete - 2010

We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies

Persistent link: https://www.econbiz.de/10008798305

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...

Persistent link: https://www.econbiz.de/10009558490

Dynamic mean-variance optimisation problems with deterministic information

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...

Persistent link: https://www.econbiz.de/10011865489

Electronic trading in OTC markets vs. centralized exchange

Liu, Ying; Vogel, Sebastian; Zhang, Yuan - 2017

We model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this...

Persistent link: https://www.econbiz.de/10011877487

Swiss Electricity Supply and Demand in 2017 and 2050. Is the Swiss 2050 energy plan viable?

Mearns, Euan; Sornette, Didier - 2022

The Swiss energy plan 2050 includes an increase of electricity consumption by 37% from the electrification of transport … and heating, together with phasing out 2.9 GWe of nuclear power (about one-third of the nation's gross electricity …, Switzerland can be self-sufficient in electricity. Newly expanded pumped hydro storage may shift load from daytime solar peaks to …

Persistent link: https://www.econbiz.de/10013405090

Detecting informed trading activities in the options markets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

Persistent link: https://www.econbiz.de/10009314008

Detecting informed trading activities in the options markets : appendix on subprime financial crisis

Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

Persistent link: https://www.econbiz.de/10009314012

Information and inventories in high-frequency trading

Muhle-Karbe, Johannes; Webster, Kevin - 2015

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

Persistent link: https://www.econbiz.de/10011412266

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