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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
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General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17
Persistent link: https://www.econbiz.de/10010233264
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Shock amplification in an interconnected financial system of banks and investment funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …
Persistent link: https://www.econbiz.de/10012603035
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Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions
Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171
Persistent link: https://www.econbiz.de/10011802354
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Risk-averse dynamic arbitrage in illiquid markets
Moazeni, Somayeh; Collado, Ricardo A.; Zhang, Andy - In: Journal of risk 20 (2017/2018) 4, pp. 55-74
Persistent link: https://www.econbiz.de/10011848929
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Shock amplification in an interconnected financial system of banks and investment funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - In: Journal of financial stability 71 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014533535
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Pension liquidity risk
Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024
Persistent link: https://www.econbiz.de/10014483543