Liquidity Models in Continuous and Discrete Time

Selim Gökay (), Alexandre F. Roch () and H. Mete Soner ()
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Selim Gökay: ETH Zürich, Departement Mathematik
Alexandre F. Roch: ETH Zürich, Departement Mathematik
H. Mete Soner: ETH Zürich, Departement Mathematik

Chapter Chapter 13 in Advanced Mathematical Methods for Finance, 2011, pp 333-365 from Springer

Abstract: Abstract We survey several models of liquidity and liquidity-related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets, and price impact models with price manipulation strategies.

Keywords: Liquidity risk; Optimal execution; Hedging; Price impact; Large trader models; Utility maximization; 60H30; 91G10; 91G20; 91G80 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-18412-3_13

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DOI: 10.1007/978-3-642-18412-3_13

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