Curve following in illiquid markets
type: Item
instance of: scholarly article
title: Curve following in illiquid markets
zbMATH Open document ID: 1255.91451
author: Felix Naujokat
author: Nicholas Westray
published in: Mathematics and Financial Economics
publication date: 2013-01-20T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6127195
zbMATH Keywords: stochastic maximum principle
zbMATH Keywords: convex analysis
zbMATH Keywords: fully coupled forward backward stochastic differential equations
zbMATH Keywords: trading in illiquid markets
zbMATH Keywords: C02
zbMATH Keywords: C61
MaRDI profile type: Publication
full work available at URL: s11579-011-0042-5
OpenAlex ID: W2049053657
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DOI: 10.1007/S11579-011-0042-5
description: scientific article; zbMATH DE number 6127195