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A Leland model for delta hedging in central risk books
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 504-547
Persistent link: https://www.econbiz.de/10014329890
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The effect of limit order book information on investors with different risk attitudes
Wang, Ya-hui; Lai, Chien-Chih - In: The international journal of business and finance … 9 (2015) 1, pp. 113-120
Persistent link: https://www.econbiz.de/10010515350
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Uncertainty, market structure, and liquidity
Chung, Kee H.; Chuwonganant, Chairat - In: Journal of financial economics 113 (2014) 3, pp. 476-499
Persistent link: https://www.econbiz.de/10010495807
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Instantaneous order impact and high-frequency strategy optimization in limit order books
Gonzalez, Federico; Schervish, Mark J. - In: Market microstructure and liquidity 3 (2017) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10011923314
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Cancellation and uncertainty aversion on limit order books
Large, Jeremy (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001983610
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Cancellation and uncertainty aversion on limit order books
Large, Jeremy (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984061
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2013
Persistent link: https://www.econbiz.de/10010199466
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2014
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...
Persistent link: https://www.econbiz.de/10010350439
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …
Persistent link: https://www.econbiz.de/10010481803
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2013
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...
Persistent link: https://www.econbiz.de/10010127751