Pages that link to "Item:Q1776006"
From MaRDI portal
The following pages link to Liquidity risk and arbitrage pricing theory (Q1776006):
Displaying 50 items.
- Superreplication when trading at market indifference prices (Q261922) (← links)
- Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967) (← links)
- Almost-sure hedging with permanent price impact (Q309172) (← links)
- Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact (Q316889) (← links)
- On the strategic behavior of large investors: a mean-variance portfolio approach (Q323400) (← links)
- Utility maximization in an illiquid market in continuous time (Q343809) (← links)
- Duality and convergence for binomial markets with friction (Q354186) (← links)
- Optimal portfolio selection under concave price impact (Q360368) (← links)
- Asset liquidity and the valuation of derivative securities (Q442747) (← links)
- Signing trades and an evaluation of the Lee-Ready algorithm (Q470417) (← links)
- Efficient discretization of stochastic integrals (Q471177) (← links)
- Arbitrage and deflators in illiquid markets (Q483698) (← links)
- Liquidity risk, price impacts and the replication problem (Q483927) (← links)
- Modeling discrete stock price changes using a mixture of Poisson distributions (Q530377) (← links)
- Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type (Q533028) (← links)
- Option hedging for small investors under liquidity costs (Q650751) (← links)
- Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? (Q650754) (← links)
- Large traders and illiquid options: hedging vs. manipulation (Q658638) (← links)
- Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions (Q694335) (← links)
- A model for a large investor trading at market indifference prices. II: Continuous-time case. (Q748319) (← links)
- Asset price bubbles, market liquidity, and systemic risk (Q829205) (← links)
- Portfolio insurance with liquidity risk (Q841847) (← links)
- Optimal investment strategies with a reallocation constraint (Q992044) (← links)
- Optimal liquidation strategies and their implications (Q1017047) (← links)
- Computation of estimates in segmented regression and a liquidity effect model (Q1020755) (← links)
- No arbitrage without semimartingales (Q1024894) (← links)
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (Q1045982) (← links)
- Option pricing with linear market impact and nonlinear Black-Scholes equations (Q1617139) (← links)
- Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function (Q1627819) (← links)
- Asset market equilibrium with liquidity risk (Q1648910) (← links)
- Option pricing for a large trader with price impact and liquidity costs (Q1684699) (← links)
- Financial markets with a large trader (Q1704151) (← links)
- Perfect hedging under endogenous permanent market impacts (Q1709607) (← links)
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies (Q1740520) (← links)
- Pricing in an equilibrium based model for a large investor (Q1932553) (← links)
- Curve following in illiquid markets (Q1932555) (← links)
- Liquidity-adjusted risk measures (Q1938958) (← links)
- Dual representation of superhedging costs in illiquid markets (Q1938969) (← links)
- Liquidity risk and the term structure of interest rates (Q2018551) (← links)
- Risk arbitrage and hedging to acceptability under transaction costs (Q2022757) (← links)
- Regression models for double discrete distributions (Q2089357) (← links)
- Analytical valuation for geometric Asian options in illiquid markets (Q2150932) (← links)
- Bayesian statistical inference for European options with stock liquidity (Q2156653) (← links)
- Understanding the dual formulation for the hedging of path-dependent options with price impact (Q2170357) (← links)
- Scaling limits for super-replication with transient price impact (Q2174997) (← links)
- Symmetry reduction and exact solutions of the non-linear Black-Scholes equation (Q2207892) (← links)
- An infinite-dimensional model of liquidity in financial markets (Q2241898) (← links)
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset (Q2251580) (← links)
- Pricing European options in a discrete time model for the limit order book (Q2283686) (← links)
