Optimal Trade Execution Under Stochastic Volatility and Liquidity
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Publication:4586036
DOI10.1080/1350486X.2014.881005zbMath1395.91398OpenAlexW2036310667MaRDI QIDQ4586036
Patrick Cheridito, Tardu Sepin
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2014.881005
Bellman equationstochastic volatilityoptimal trade executiondiscrete-time stochastic controlstochastic liquidityimplementation cost
Related Items (11)
Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ Accelerated Share Repurchases Under Stochastic Volatility ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Market making with minimum resting times ⋮ On Regularized Optimal Execution Problems and Their Singular Limits ⋮ Optimal Execution: A Review
Cites Work
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Capacitary Measures for Completely Monotone Kernels via Singular Control
- Mean–Variance Optimal Adaptive Execution
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Basket Liquidation for CARA Investors is Deterministic
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- Optimal Trading with Stochastic Liquidity and Volatility
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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