Now showing items 1-10 of 13
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)
Mcmc Estimation Of Lévy Jump Models Using Stock And Option Prices
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
Local Variance Gamma And Explicit Calibration To Option Prices
(Wiley Periodicals, Inc.Cambridge University Press, 2017-01)
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 ...
Optimal Investment For All Time Horizons And Martin Boundary Of Space‐Time Diffusions
(Wiley Periodicals, Inc.The Open Court Publishing Company, 2017-04)
Liquidity effects of trading frequency
(Wiley Periodicals, Inc.Springer‐Verlag, 2018-07)
In this paper, we present a discrete‐time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the ...
Strict local martingales and optimal investment in a Black–Scholes model with a bubble
(BirkhäuserWiley Periodicals, Inc., 2019-01)
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen–Ledoit–Sornette (JLS) financial bubble model. Based on a class of models that embeds ...