Bid-Ask Spread Modelling, a Perturbation Approach

DOI10.1007/978-3-0348-0545-2_21zbMath1281.91200OpenAlexW1928612748MaRDI QIDQ5746535

Thomas Lim, Vathana Ly Vath, Simone Scotti, Jean Michel Sahut

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_21

zbMATH Keywords

optimal control problemliquiditybid-ask spreadorder bookserror theory using Dirichlet forms

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cites Work

• Unnamed Item
• Mathematical methods for financial markets.
• Optimal consumption choices for a `large' investor
• Stochastic optimal control. The discrete time case
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Liquidity risk and arbitrage pricing theory
• More statistical properties of order books and price impact
• A model of optimal portfolio selection under liquidity risk and price impact
• An introduction to infinite-dimensional analysis
• Optimal Quantization for the Pricing of Swing Options
• Continuous Auctions and Insider Trading
• Error Calculus and Path Sensitivity in Financial Models
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Statistical properties of stock order books: empirical results and models

This page was built for publication: Bid-Ask Spread Modelling, a Perturbation Approach