This paper studies a coherent acceptability measure which is a negative coherent risk measure, in a multi-period model. When a coherent acceptability measure changes according to new information in the market, a time consistency plays an important role. The usual strong time consistency gives...

This paper studies a hedging problem of a contingent claim in a discrete time model. The contingent claim is hedged by one illiquid risky asset and the hedging error is measured by a quadratic criterion. In our model, trade does not always succeed and then trade times are not only discrete, but...

Recently many kinds of credit derivatives are traded in the market. The default probability implied in the market becomes important to price some credit derivatives. Also it is useful for managing the credit risk because it includes the market information. In this paper we show how to calculate...

In the real market an asset is not completely liquid. An investor should plan a strategy on the grounds that an asset cannot always be traded. In this paper we consider the classical Merton wealth problem, but the risky asset is not completely liquid. The liquidity is represented by the success...

This article studies a replication of a contingent claim in an illiquid market. We represent the liquidity as a supply curve in a discrete time model. Because the trade price of the illiquid asset is a function of the trade size in this model, it is important whether the contingent claim is...