OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
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Publication:5262522
DOI10.1111/mafi.12048zbMath1331.91163OpenAlexW1921068018MaRDI QIDQ5262522
Christoph Frei, Nicholas Westray
Publication date: 15 July 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12048
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Cites Work
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- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
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- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
- Optimal Trading with Stochastic Liquidity and Volatility
- Dam rain and cumulative gain
- A Characterization of the Gamma Distribution
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