The optimal liquidation problem with transaction costs, which includes a positive fixed cost, and market impact costs, is studied in this paper as a constrained stochastic optimal control problem. We assume that trading is instantaneous and the dynamics of the stock to be liquidated follows a...

We propose an optimization formulation using the l <Subscript>1</Subscript> norm to ensure accuracy and stability in calibrating a local volatility function for option pricing. Using a regularization parameter, the proposed objective function balances calibration accuracy with model complexity. Motivated by the...</subscript>

An uncertainty set is a crucial component in robust optimization. Unfortunately, it is often unclear how to specify it precisely. Thus it is important to study sensitivity of the robust solution to variations in the uncertainty set, and to develop a method which improves stability of the robust...

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged...

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged...