搜索结果: 1-5 共查到“经济学 illiquid markets”相关记录5条 . 查询时间(0.036 秒)
Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
Optimal Trade Execution in Illiquid Markets
optimal trade execution liquidity modeling discrete order books Markov-modulated Poisson process
2010/10/29
We study optimal trade execution strategies in nancial markets with discrete orderow.
The agent has a nite liquidation horizon and must minimize price impact given a random number of incoming trade...
Distressed Sales and Financial Arbitrageurs: Front-running in Illiquid Markets
Distressed Sales Financial Arbitrageurs Illiquid Markets
2010/7/2
We investigate the impact of an arbitrageur’s activities in an illiquid market, where there is a large distressed trader and a fringe of small traders. Large traders trade strategically considering pr...