The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but … experiments show that because price pressure and order-flow effects create non-linear execution costs, the optimal hedge for an …

auxiliary two-dimensional optimal stopping problem featuring stochastic volatility, and subsequently retrieve the primal value … function as well as the optimal portfolio and consumption plans. Finally, a numerical study is conducted to derive economic and …

hypothesis that the given status quo tax is optimal leads to a contradiction. Thus, the perturbation approach cannot be used to … characterize a fully optimal tax system. …

.S., accounting for life expectancy inequality reduces optimal marginal tax rates particularly at the bottom of the income …