Curve following in illiquid markets

DOI10.1007/s11579-011-0042-5zbMath1255.91451OpenAlexW2049053657MaRDI QIDQ1932555

Felix Naujokat, Nicholas Westray

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-011-0042-5

zbMATH Keywords

stochastic maximum principleconvex analysisC61C02fully coupled forward backward stochastic differential equationstrading in illiquid markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY ⋮ A two-player portfolio tracking game ⋮ Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint ⋮ Hedging with temporary price impact ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection ⋮ PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

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