1

Optimal high-frequency trading with limit and market orders

Year:
2013
Language:
english
File:
PDF, 1.15 MB
english, 2013
2

OPTIMAL HIGH-FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION

Year:
2015
Language:
english
File:
PDF, 1.24 MB
english, 2015
4

Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix

Year:
2018
Language:
english
File:
PDF, 517 KB
english, 2018
11

The fundamental theorem of asset pricing with cone constraints

Year:
1999
Language:
english
File:
PDF, 120 KB
english, 1999
13

A model of optimal portfolio selection under liquidity risk and price impact

Year:
2007
Language:
english
File:
PDF, 611 KB
english, 2007
17

Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model

Year:
1997
Language:
english
File:
PDF, 215 KB
english, 1997
18

An optimal trading problem in intraday electricity markets

Year:
2016
Language:
english
File:
PDF, 2.71 MB
english, 2016
19

Mean-Variance Hedging and Numéraire

Year:
1998
Language:
english
File:
PDF, 221 KB
english, 1998
21

On quadratic hedging in continuous time

Year:
2000
Language:
english
File:
PDF, 192 KB
english, 2000
26

Semi-Markov Model for Market Microstructure

Year:
2015
Language:
english
File:
PDF, 1.59 MB
english, 2015
30

Optimal stopping, free boundary, and American option in a jump-diffusion model

Year:
1997
Language:
english
File:
PDF, 816 KB
english, 1997
31

Stochastic optimization under constraints

Year:
2001
Language:
english
File:
PDF, 245 KB
english, 2001
35

MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES

Year:
2001
Language:
english
File:
PDF, 397 KB
english, 2001
38

EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL

Year:
1996
Language:
english
File:
PDF, 1.07 MB
english, 1996
41

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

Year:
2008
Language:
english
File:
PDF, 158 KB
english, 2008
43

Optimal consumption policies in illiquid markets

Year:
2011
Language:
english
File:
PDF, 709 KB
english, 2011
47

Local Risk-Minimization under Transaction Costs

Year:
1998
Language:
english
File:
PDF, 1020 KB
english, 1998