Pages that link to "Item:Q1776006"
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The following pages link to Liquidity risk and arbitrage pricing theory (Q1776006):
Displaying 50 items.
- A dynamic model of the limit order book (Q2284921) (← links)
- A model for a large investor trading at market indifference prices. I: Single-period case (Q2339125) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- Dynamic equilibrium limit order book model and optimal execution problem (Q2356562) (← links)
- Merton problem in an infinite horizon and a discrete time with frictions (Q2358298) (← links)
- Arbitrage theory for non convex financial market models (Q2403708) (← links)
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations (Q2410980) (← links)
- Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics (Q2452612) (← links)
- Risky arbitrage, asset prices, and externalities (Q2458434) (← links)
- A model of optimal portfolio selection under liquidity risk and price impact (Q2463703) (← links)
- Hedging in an illiquid binomial market (Q2510779) (← links)
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles (Q2633454) (← links)
- No arbitrage conditions and liquidity (Q2642001) (← links)
- Illiquid financial market models and absence of arbitrage (Q2655603) (← links)
- An analysis of the supply curve for liquidity risk through book data (Q2786341) (← links)
- Liquidity risk and instabilities in portfolio optimization (Q2816955) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- A concise characterization of optimal consumption with logarithmic preferences (Q2862512) (← links)
- Resilient price impact of trading and the cost of illiquidity (Q2862513) (← links)
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791) (← links)
- Reduced form modeling of limit order markets (Q2873532) (← links)
- A liquidity-based model for asset price bubbles (Q2873554) (← links)
- Optimal liquidation in a limit order book for a risk-averse investor (Q2927947) (← links)
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (Q3008482) (← links)
- SUPERHEDGING IN ILLIQUID MARKETS (Q3008489) (← links)
- Hedging costs for two large investors (Q3017913) (← links)
- On derivatives with illiquid underlying and market manipulation (Q3088325) (← links)
- Option Replication in Discrete Time with Illiquidity (Q3176524) (← links)
- A Feedback Model for the Financialization of Commodity Markets (Q3195109) (← links)
- Optimal growth rate in random trade time (Q3400020) (← links)
- Liquidity Risk with Coherent Risk Measures (Q3424330) (← links)
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (Q3446057) (← links)
- Problems of Mathematical Finance by Stochastic Control Methods (Q3557801) (← links)
- Liquidity risk theory and coherent measures of risk (Q3605228) (← links)
- Mean-Variance Hedging with Uncertain Trade Execution (Q3652692) (← links)
- Liquidity Preference and Financial Intermediation (Q4219776) (← links)
- LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS (Q4571703) (← links)
- Optimal Execution and Price Manipulations in Time-varying Limit Order Books (Q4586029) (← links)
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint (Q4588841) (← links)
- Duality Formulas for Robust Pricing and Hedging in Discrete Time (Q4607049) (← links)
- Risk measuring under liquidity risk (Q4610215) (← links)
- Fundamental Theorems of Asset Pricing for Good Deal Bounds (Q4827308) (← links)
- LIQUIDITY IN A BINOMIAL MARKET (Q4906530) (← links)
- Optimal Investment with Transient Price Impact (Q4971979) (← links)
- Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders (Q4971981) (← links)
- Optimal control of ultradiffusion processes with application to mathematical finance (Q4983283) (← links)
- (Q4999718) (← links)
- Regulatory arbitrage of risk measures (Q5001133) (← links)
- Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging (Q5050881) (← links)
- HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS (Q5066293) (← links)