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My bibliography Save this paperDuality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model
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- Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
- Erhan Bayraktar & Michael Ludkovski, 2014.
"Liquidation In Limit Order Books With Controlled Intensity,"
Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.
- Erhan Bayraktar & Michael Ludkovski, 2011. "Liquidation in Limit Order Books with Controlled Intensity," Papers 1105.0247, arXiv.org, revised Jan 2012.
- Peter Bank & Yan Dolinsky & Mikl'os R'asonyi, 2021. "What if we knew what the future brings? Optimal investment for a frontrunner with price impact," Papers 2108.04291, arXiv.org, revised May 2022.
- Ibrahim Ekren & Sergey Nadtochiy, 2022. "Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 172-225, January.
- Antje Fruth & Torsten Schöneborn & Mikhail Urusov, 2019. "Optimal trade execution in order books with stochastic liquidity," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 507-541, April.
- Jim Gatheral & Alexander Schied, 2011. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 353-368.
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Cited by:
- Leonid Dolinskyi & Yan Dolinsky, 2023. "Optimal Liquidation with High Risk Aversion and Small Linear Price Impact," Papers 2301.01555, arXiv.org, revised Nov 2023.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2022-11-14 (Risk Management)
- NEP-UPT-2022-11-14 (Utility Models and Prospect Theory)
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