A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties...

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

In this paper we introduce a new methodology to price American put options under stochastic interestrates. The method is a combination of an analytic approach and a binomial tree approach. We constructa binomial tree for the forward risk adjusted tree and calculate analytically the expected...

Onderzoek naar de vraag waarom er zoveel kleine bedrijven kunnen bestaan, ondanks de heersende opvatting dat dit bedrijven zijn die op sub-optimale schaal presteren. Kleine bedrijven blijken productiefactoren verschillend te belonen en toe te passen ten opzichte van grote bedrijven, en langs...

In recent years the Value at Risk (VaR) concept for measuring downside risk has been widely studied. VaR basically is a summary statistic that quantifies the exposure of an asset or portfolio to market risk, or the risk that a position declines in value with adverse market price changes. Three...

In this paper we introduce a new methodology to price American put options under stochastic interest