We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the...

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce...

We present a method for simulating yield curve dynamics by learning the curve distribution from historical data using Artificial Neural Networks (ANN) in a two step procedure. The first step involves an autoencoder which performs a quantization of curve moves, generating a set of representative...