Now showing items 1-7 of 7
On the market viability under proportional transaction costs
(SpringerWiley Periodicals, Inc., 2018-07)
This paper studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems as in the literature, we show that strictly consistent local martingale ...
Liquidation In Limit Order Books With Controlled Intensity
(Systems & Control: Foundations & Applications. Boston, MA: BirkhäuserWiley Periodicals, Inc., 2014-10)
Distribution‐constrained optimal stopping
(Cambridge University PressWiley Periodicals, Inc., 2019-01)
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time’s distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem ...
A Unified Framework For Pricing Credit And Equity Derivatives
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints
(SpringerWiley Periodicals, Inc., 2017-10)
We consider the fundamental theorem of asset pricing (FTAP) and the hedging prices of options under nondominated model uncertainty and portfolio constraints in discrete time. We first show that no arbitrage holds if and ...
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
(Cambridge University PressWiley Periodicals, Inc., 2021-01)
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small nonlinear price impact. In our model, cross‐impacts between assets are allowed. In the ...
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
(University of British ColumbiaWiley Periodicals, Inc., 2021-01)
A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Huang, Y.‐J., & Nguyen‐Huu, A. (2018, ...