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  • Search: subject:"singular terminal value"
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Year of publication
Subject
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portfolio liquidation 5 singular terminal value 5 Portfolio selection 4 Portfolio-Management 4 Stochastic process 4 Stochastischer Prozess 4 Hawkes process 3 Liquidity 3 Liquidität 3 mean-field games 3 stochastic games 3 Game theory 2 Spieltheorie 2 Stochastic game 2 Stochastisches Spiel 2 stochastic control 2 superlinear growth gradient 2 uncertainty 2 Control theory 1 Decision under uncertainty 1 Entscheidung unter Unsicherheit 1 Kontrolltheorie 1 Mathematical programming 1 Mathematische Optimierung 1 Multi-dimensional backward stochastic Riccati differential equations 1 Multi-dimensional portfolio liquidation problem 1 Option pricing theory 1 Optionspreistheorie 1 Risiko 1 Risk 1 Singular terminal value 1 Stochastic control 1 Theorie 1 Theory 1
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Online availability
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Free 5 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 2
Type of publication (narrower categories)
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Working Paper 4 Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 6
Author
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Horst, Ulrich 6 Xia, Xiaonyu 6 Fu, Guanxing 3 Zhou, Chao 2
Published in...
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Discussion Paper 2 Discussion paper 2 Finance and stochastics 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1
Source
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ECONIS (ZBW) 4 EconStor 2
Showing 1 - 6 of 6
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Portfolio liquidation games with self-exciting order flow
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - 2022
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price...
Persistent link: https://www.econbiz.de/10013197567
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Cover Image
Portfolio liquidation games with self-exciting order flow
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - 2022
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price...
Persistent link: https://www.econbiz.de/10013193885
Saved in:
Cover Image
Portfolio liquidation games with self-exciting order flow
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1020-1065
Persistent link: https://www.econbiz.de/10013463387
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Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
with superlinear gradient, monotone generator and singular terminal value. We also establish an asymptotic analysis of the …
Persistent link: https://www.econbiz.de/10012504520
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Cover Image
Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
with superlinear gradient, monotone generator and singular terminal value. We also establish an asymptotic analysis of the …
Persistent link: https://www.econbiz.de/10012500352
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Cover Image
Multi-dimensional optimal trade execution under stochastic resilience
Horst, Ulrich; Xia, Xiaonyu - In: Finance and stochastics 23 (2019) 4, pp. 889-923
Persistent link: https://www.econbiz.de/10012114663
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