In this work, we present a rigorous development of a model for the Price-Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced...

We propose a general approximation method for the determination of optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems, from optimally tracking benchmarks and...

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...