A model for a large investor trading at market indifference prices. II: Continuous-time case.

DOI10.1214/14-AAP1059zbMath1338.91123arXiv1110.3229OpenAlexW1883071969MaRDI QIDQ748319

Dmitry Kramkov, Peter Bank

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3229

zbMATH Keywords

equilibriumrandom fieldcontingent claimsliquidityprice impactlarge investorBertrand competitionindifference pricesnonlinear stochastic integralPareto allocationsaddle functions

Mathematics Subject Classification ID

Random fields (60G60) Convex functions and convex programs in convex geometry (52A41) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (18)

Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling ⋮ Asset price bubbles, market liquidity, and systemic risk ⋮ Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles ⋮ Asset market equilibrium with liquidity risk ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Integral representation of martingales motivated by the problem of endogenous completeness in financial economics ⋮ Game Options in an Imperfect Market with Default ⋮ Perfect hedging under endogenous permanent market impacts ⋮ American options in an imperfect complete market with default ⋮ The stochastic field of aggregate utilities and its saddle conjugate ⋮ American options in a non-linear incomplete market model with default ⋮ An infinite-dimensional model of liquidity in financial markets ⋮ Liquidity risk and the term structure of interest rates ⋮ A dynamic model of the limit order book ⋮ Hedging in an illiquid binomial market ⋮ A model for a large investor trading at market indifference prices. I: Single-period case ⋮ Hedging, arbitrage and optimality with superlinear frictions ⋮ Superreplication when trading at market indifference prices

Cites Work

• Unnamed Item
• Unnamed Item
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Liquidity risk and arbitrage pricing theory
• Hedging options for a large investor and forward-backward SDE's
• Pricing in an equilibrium based model for a large investor
• On a stochastic differential equation arising in a price impact model
• A model for a large investor trading at market indifference prices. I: Single-period case
• Market Volatility and Feedback Effects from Dynamic Hedging
• Liquidity and Asset Prices
• Continuous Auctions and Insider Trading
• On Feedback Effects from Hedging Derivatives
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Liquidity Models in Continuous and Discrete Time
• Information in Securities Markets: Kyle Meets Glosten and Milgrom

This page was built for publication: A model for a large investor trading at market indifference prices. II: Continuous-time case.