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Optimal execution with liquidity risk in a diffusive order book market
Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014444510
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Particle filters for Markov switching stochastic volatility models
Yun, Bao; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009564477
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Herding in the Singapore stock exchange
Arjoon, Vaalmikki; Bhatnagar, Chandra Shekhar; … - In: Journal of economics & business 109 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012244946
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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The LIX : a model-independent liquidity index
Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231
Persistent link: https://www.econbiz.de/10011543981
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Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio - In: Journal of economic dynamics & control 30 (2006) 1, pp. 55-79
Persistent link: https://www.econbiz.de/10003251151
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Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
Ortu, Fulvio - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 79-105
Persistent link: https://www.econbiz.de/10001683838
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Incorporating parameter risk into derivatives prices : bid-ask pricing and calibration
Bannör, Karl Friedrich - 2013
In this thesis, a new methodology using convex risk measures is developed to incorporate parameter risk into prices of financial derivatives, provided that a distribution on the parameter space is given. A technique to induce a parameter distribution in case of calibration to market prices is...
Persistent link: https://www.econbiz.de/10010191893
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A computational study of the general lot-sizing and scheduling model under demand uncertainty via robust and stochastic approaches
Alem, Douglas; Curcio, Eduardo; Amorim, Pedro; … - In: Computers & operations research : and their … 90 (2018), pp. 125-141
Persistent link: https://www.econbiz.de/10011775297
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Optimal trading of algorithmic orders in a liquidity fragmented market place
Kumaresan, Miles; Krejić, Nataša - 2015
Persistent link: https://www.econbiz.de/10011284394