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Price manipulation in a market impact model with dark pool
Klöck, Florian; Schied, Alexander; Sun, Yuemeng - In: Applied mathematical finance 24 (2017) 5/6, pp. 417-450
Persistent link: https://www.econbiz.de/10011815281
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Risk valuation of quanto derivatives on temperature and electricity
Alfonsi, Aurélien; Vadillo, Nerea - In: Applied mathematical finance 30 (2023) 6, pp. 275-312
Persistent link: https://www.econbiz.de/10015194149
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Optimal execution and price manipulations in time-varying limit order books
Alfonsi, Aurélien; Infante, Arturo - In: Applied mathematical finance 21 (2014) 3/4, pp. 201-237
Persistent link: https://www.econbiz.de/10010499717
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Robust strategies for optimal order execution in the Almgren-Chriss framework
Schied, Alexander - In: Applied mathematical finance 20 (2013) 3/4, pp. 264-286
Persistent link: https://www.econbiz.de/10010187665
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Optimal Basket Liquidation for CARA Investors is Deterministic
Schied, Alexander; Schoneborn, Torsten; Tehranchi, Michael - In: Applied mathematical finance 17 (2010) 6, pp. 471-490
Persistent link: https://www.econbiz.de/10008713931
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Robust Strategies for Optimal Order Execution in the AlmgrenChriss Framework
Schied, Alexander - In: Applied mathematical finance 20 (2013) 3, pp. 264-286
Persistent link: https://www.econbiz.de/10010140088
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Optimal basket liquidation for CARA investors is deterministic
Schied, Alexander; Schöneborn, Torsten; Tehranchi, Michael - In: Applied mathematical finance 17 (2010) 5/6, pp. 471-489
Persistent link: https://www.econbiz.de/10008797245