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Hedging and liquidation under transaction costs in currency markets

Citations

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Cited by:

  1. Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
  2. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
  3. Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova, 2012. "Set-valued average value at risk and its computation," Papers 1202.5702, arXiv.org, revised Jan 2013.
  4. Alet Roux & Tomasz Zastawniak, 2013. "American options with gradual exercise under proportional transaction costs," Papers 1308.2688, arXiv.org.
  5. Luciano Campi & Mark Owen, 2011. "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, vol. 15(3), pages 461-499, September.
  6. Dianetti, Jodi & Ferrari, Giorgio, 2021. "Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls," Center for Mathematical Economics Working Papers 645, Center for Mathematical Economics, Bielefeld University.
  7. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
  8. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, University Library of Munich, Germany.
  9. Saul Jacka & Abdelkarem Berkaoui, 2006. "On the density of properly maximal claims in financial markets with transaction costs," Papers math/0602592, arXiv.org, revised May 2007.
  10. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  11. Paolo Guasoni & Mikl'os R'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
  12. Grigoriev Pavel G., 2005. "On low dimensional case in the fundamental asset pricing theorem with transaction costs," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 33-48, January.
  13. Alet Roux, 2016. "Pricing And Hedging Game Options In Currency Models With Proportional Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-25, November.
  14. Andreas H Hamel & Birgit Rudloff & Zhou Zhou, 2019. "Robust no arbitrage and the solvability of vector-valued utility maximization problems," Papers 1909.00354, arXiv.org.
  15. Maxim Bichuch, 2011. "Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs," Papers 1112.2749, arXiv.org.
  16. de Angelis, Tiziano & Ferrari, Giorgio, 2014. "A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis," Center for Mathematical Economics Working Papers 477, Center for Mathematical Economics, Bielefeld University.
  17. Mario Sikic, 2015. "Financial market models in discrete time beyond the concave case," Papers 1512.01758, arXiv.org.
  18. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
  19. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
  20. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
  21. Teemu Pennanen, 2008. "Superhedging in illiquid markets," Papers 0807.2962, arXiv.org.
  22. Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
  23. Walter Schachermayer, 2014. "The super-replication theorem under proportional transaction costs revisited," Papers 1405.1266, arXiv.org.
  24. Peter Bank & Yan Dolinsky, 2018. "Continuous-time Duality for Super-replication with Transient Price Impact," Papers 1808.09807, arXiv.org, revised May 2019.
  25. Teemu Pennanen & Irina Penner, 2008. "Hedging of claims with physical delivery under convex transaction costs," Papers 0810.2016, arXiv.org.
  26. Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
  27. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
  28. Andreas Löhne & Birgit Rudloff & Firdevs Ulus, 2014. "Primal and dual approximation algorithms for convex vector optimization problems," Journal of Global Optimization, Springer, vol. 60(4), pages 713-736, December.
  29. Dianetti, Jodi & Ferrari, Giorgio, 2023. "Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 547-592.
  30. Giuseppe Benedetti & Luciano Campi, 2011. "Multivariate utility maximization with proportional transaction costs and random endowment," Working Papers hal-00586377, HAL.
  31. Luciano Campi & Elyès Jouini & Vincent Porte, 2013. "Efficient portfolios in financial markets with proportional transaction costs," Post-Print halshs-00664074, HAL.
  32. Saul Jacka & Abdelkarem Berkaoui & Jon Warren, 2006. "No-arbitrage and closure results for trading cones with transaction costs," Papers math/0602178, arXiv.org, revised Apr 2008.
  33. Dianetti, Jodi, 2023. "Linear-Quadratic-Singular Stochastic Differential Games and Applications," Center for Mathematical Economics Working Papers 678, Center for Mathematical Economics, Bielefeld University.
  34. Griselda Deelstra & Huyên Pham & Nizar Touzi, 2001. "Dual formulation of the utility maximisation problem under transaction costs," ULB Institutional Repository 2013/7596, ULB -- Universite Libre de Bruxelles.
  35. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  36. Maria B. Chiarolla & Giorgio Ferrari & Frank Riedel, 2012. "Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources," Papers 1203.3757, arXiv.org, revised Aug 2013.
  37. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
  38. Francesca Biagini & Thomas Reitsam, 2021. "A dynamic version of the super-replication theorem under proportional transaction costs," Papers 2107.02628, arXiv.org.
  39. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
  40. Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007. "Volatility-induced financial growth," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 151-160.
  41. Giorgio Ferrari & Hanwu Li & Frank Riedel, 2020. "A Knightian Irreversible Investment Problem," Papers 2003.14359, arXiv.org, revised Apr 2020.
  42. Robert Bassett & Khoa Le, 2016. "Multistage Portfolio Optimization: A Duality Result in Conic Market Models," Papers 1601.00712, arXiv.org, revised Jan 2016.
  43. Koichi Matsumoto, 2009. "Mean-Variance Hedging with Uncertain Trade Execution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 219-252.
  44. Julien Grépat & Yuri Kabanov, 2021. "On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 167-187, January.
  45. Erhan Bayraktar & Matteo Burzoni, 2020. "On the quasi-sure superhedging duality with frictions," Finance and Stochastics, Springer, vol. 24(1), pages 249-275, January.
  46. Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
  47. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
  48. Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
  49. Saul Jacka & Seb Armstrong & Abdel Berkaoui, 2017. "Multi-currency reserving for coherent risk measures," Papers 1712.01319, arXiv.org, revised Dec 2017.
  50. repec:dau:papers:123456789/6707 is not listed on IDEAS
  51. Lingqi Gu & Yiqing Lin & Junjian Yang, 2016. "A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality," Papers 1602.01070, arXiv.org, revised Feb 2016.
  52. Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483, arXiv.org, revised Dec 2012.
  53. Tang, Maoning & Qingxin, Meng & Bo, Wang, 2007. "On the pricing of American contingent claims under transaction costs and multiple risky assets," Chaos, Solitons & Fractals, Elsevier, vol. 31(2), pages 269-279.
  54. Teemu Pennanen, 2011. "Convex Duality in Stochastic Optimization and Mathematical Finance," Mathematics of Operations Research, INFORMS, vol. 36(2), pages 340-362, May.
  55. Tzuu-Shuh Chiang & Shang-Yuan Shiu & Shuenn-Jyi Sheu, 2007. "Price systems for markets with transaction costs and control problems for some finance problems," Papers math/0702828, arXiv.org.
  56. Jan Kallsen & Johannes Muhle-Karbe, 2009. "Existence of Shadow Prices in Finite Probability Spaces," Papers 0911.4801, arXiv.org, revised Nov 2010.
  57. Andreas Lohne & Birgit Rudloff, 2011. "An algorithm for calculating the set of superhedging portfolios in markets with transaction costs," Papers 1107.5720, arXiv.org, revised Dec 2013.
  58. Cascos Fernández, Ignacio & Molchanov, Ilya, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
  59. Matteo Burzoni & Mario Sikic, 2018. "Robust martingale selection problem and its connections to the no-arbitrage theory," Papers 1801.03574, arXiv.org, revised Nov 2018.
  60. Dylan Possamai & Guillaume Royer, 2014. "General indifference pricing with small transaction costs," Papers 1401.3261, arXiv.org, revised Apr 2015.
  61. Luciano Campi & Mark P. Owen, 2008. "Multivariate utility maximization with proportional transaction costs," Papers 0811.3889, arXiv.org, revised Apr 2009.
  62. repec:dau:papers:123456789/2318 is not listed on IDEAS
  63. Ferrari, Giorgio & Riedel, Frank & Steg, Jan-Henrik, 2016. "Continuous-Time Public Good Contribution under Uncertainty," Center for Mathematical Economics Working Papers 485, Center for Mathematical Economics, Bielefeld University.
  64. Dianetti, Jodi & Ferrari, Giorgio, 2019. "Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria," Center for Mathematical Economics Working Papers 605, Center for Mathematical Economics, Bielefeld University.
  65. Dianetti, Jodi & Ferrari, Giorgio & Fischer, Markus & Nendel, Max, 2022. "A Unifying Framework for Submodular Mean Field Games," Center for Mathematical Economics Working Papers 661, Center for Mathematical Economics, Bielefeld University.
  66. Jan Kallsen & Johannes Muhle-Karbe, 2011. "Existence of shadow prices in finite probability spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 251-262, April.
  67. Huy N. Chau & Miklós Rásonyi, 2019. "Robust utility maximisation in markets with transaction costs," Finance and Stochastics, Springer, vol. 23(3), pages 677-696, July.
  68. Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
  69. Cascos Fernández, Ignacio & Molchanov, Ilya, 2013. "Multivariate risk measures : a constructive approach based on selections," DES - Working Papers. Statistics and Econometrics. WS ws130101, Universidad Carlos III de Madrid. Departamento de Estadística.
  70. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
  71. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
  72. Imen Bentahar & Bruno Bouchard, 2005. "Explicit characterization of the super-replication strategy in financial markets with partial transaction costs," SFB 649 Discussion Papers SFB649DP2005-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  73. Andreas H Hamel & Andreas Löhne, 2020. "Choosing sets: preface to the special issue on set optimization and applications," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 1-4, February.
  74. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
  75. Cvitanic, Jaksa & Wang, Hui, 2001. "On optimal terminal wealth under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 223-231, April.
  76. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
  77. Chiarolla, Maria B. & Ferrari, Giorgio & Stabile, Gabriele, 2015. "Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs," European Journal of Operational Research, Elsevier, vol. 247(3), pages 847-858.
  78. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
  79. Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
  80. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
  81. Bentahar, Imen & Bouchard, Bruno, 2007. "Explicit characterization of the super-replication strategy in financial markets with partial transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 655-672, May.
  82. Francesca Biagini & Thomas Reitsam, 2019. "Asset Price Bubbles in market models with proportional transaction costs," Papers 1911.10149, arXiv.org, revised Dec 2020.
  83. Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
  84. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
  85. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the Existence of Shadow Prices," Papers 1111.6633, arXiv.org, revised Jan 2013.
  86. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013. "On the existence of shadow prices," Finance and Stochastics, Springer, vol. 17(4), pages 801-818, October.
  87. Dmitry B. Rokhlin, 2006. "Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time," Papers math/0603284, arXiv.org.
  88. Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
  89. Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.
  90. Miklos Rasonyi, 2017. "On utility maximization without passing by the dual problem," Papers 1702.00982, arXiv.org, revised Mar 2018.
  91. repec:dau:papers:123456789/5455 is not listed on IDEAS
  92. Zachary Feinstein & Birgit Rudloff, 2017. "A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle," Journal of Global Optimization, Springer, vol. 68(1), pages 47-69, May.
  93. Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
  94. Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg, 2013. "Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach," Papers 1307.2849, arXiv.org, revised Oct 2015.
  95. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
  96. Julien Grépat & Yuri Kabanov, 2012. "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, vol. 16(3), pages 357-368, July.
  97. Lepinette, Emmanuel & Tran, Tuan, 2017. "Arbitrage theory for non convex financial market models," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3331-3353.
  98. Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
  99. Yiqing Lin & Junjian Yang, 2016. "Utility maximization problem with random endowment and transaction costs: when wealth may become negative," Papers 1604.08224, arXiv.org, revised Sep 2016.
  100. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth," Economics Discussion Paper Series 1816, Economics, The University of Manchester.
  101. Bouchard, B. & Mazliak, L., 2003. "A multidimensional bipolar theorem in," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 213-231, October.
  102. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
  103. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series 1815, Economics, The University of Manchester.
  104. c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org, revised Sep 2017.
  105. Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020. "Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty," Center for Mathematical Economics Working Papers 641, Center for Mathematical Economics, Bielefeld University.
  106. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916, arXiv.org, revised Sep 2014.
  107. repec:dau:papers:123456789/5590 is not listed on IDEAS
  108. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
  109. repec:hal:wpaper:halshs-00664074 is not listed on IDEAS
  110. Matteo Burzoni, 2015. "Arbitrage and Hedging in model-independent markets with frictions," Papers 1512.01488, arXiv.org, revised Aug 2016.
  111. Zachary Feinstein & Birgit Rudloff, 2015. "A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle," Papers 1508.02367, arXiv.org, revised Jul 2016.
  112. Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
  113. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
  114. Martin Brown & Tomasz Zastawniak, 2020. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Annals of Finance, Springer, vol. 16(3), pages 423-433, September.
  115. Bruno Bouchard & Ngoc-Minh Dang, 2013. "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, vol. 17(1), pages 31-72, January.
  116. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the existence of shadow prices," Working Papers hal-00645980, HAL.
  117. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.
  118. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  119. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
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