Liquidity costs : a new numerical methodology and an empirical study
Christophe Michel (CA-CIB, Paris La Defense, France), Victor Reutenauer (Fotonower (former CA-CIB), Paris, France), Denis Talay and Etienne Tanré (Inria, Sophia-Antipolis, France)
| Year of publication: |
May 2016
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|---|---|
| Authors: | Michel, Christophe ; Reutenauer, Victor ; Talay, Denis ; Tanré, Etienne |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 1/2, p. 57-79
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| Subject: | Interest rate derivatives | optimization | stochastic algorithms | Theorie | Theory | Zinsderivat | Interest rate derivative | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm |