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Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
Optimal Trade Execution in Illiquid Markets
optimal trade execution liquidity modeling discrete order books Markov-modulated Poisson process
2010/10/29
We study optimal trade execution strategies in nancial markets with discrete orderow.
The agent has a nite liquidation horizon and must minimize price impact given a random number of incoming trade...