In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

We derive an expansion for the (expected) difference between the continuously monitored supremum and evenly monitored discrete maximum over a finite time horizon of a jump diffusion process with i.i.d. normal jump sizes. The monitoring error is of the form $a_0/N^{1/2}$ $ a_1/N^{3/2}$ $ \cdots$...

This paper presents a set of schemes for the fast and accurate inversion of analytic characteristic functions. The schemes are based on sinc expansion approximation of functions that are analytic in a horizontal strip in the complex plane. A function in this class can be reconstructed highly...

A new algorithm, which is based on the splitting-step idea and the penalization method, for reflected stochastic differential equation (RSDE) in the upper half-space R¹<sub >+</sub> is presented in this paper. After some important estimates about RSDEs and penalization ODEs are obtained, the local pathwise...