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A two-player portfolio tracking game

Voß, Moritz - In: Mathematics and financial economics 16 (2022) 4, pp. 779-809

Persistent link: https://www.econbiz.de/10013438883

Hedging with temporary price impact

Bank, Peter; Soner, Halil Mete; Voß, Moritz - In: Mathematics and financial economics 11 (2017) 2, pp. 215-239

Persistent link: https://www.econbiz.de/10011900542

Dynamic hedging in illiquid financial markets

Voß, Moritz - 2017

Persistent link: https://www.econbiz.de/10012194375

Hedging with temporary price impact

Bank, Peter; Soner, Halil Mete; Voß, Moritz - 2016

We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh [24] and Naujokat and Westray, the hedging problem can be regarded as a cost optimal tracking problem of...

Persistent link: https://www.econbiz.de/10011625872

Optimal portfolio liquidation in target zone models and catalytic superprocesses

Neuman, Eyal; Schied, Alexander - In: Finance and stochastics 20 (2016) 2, pp. 495-509

Persistent link: https://www.econbiz.de/10011471483

Optimal trading : the importance of being adaptive

Bellani, Claudio; Brigo, Damiano; Done, Alex; Neuman, Eyal - In: International journal of financial engineering 8 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012815097

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738