In an incomplete market model where convex trading constraints are imposed upon the underlying assets, it is no longer possible to obtain unique arbitrage-free prices for derivatives using standard replication arguments. Most existing derivative pricing approaches involve the selection of a...

As it is well-known, the centrepiece of model calibration is regularization which plays an important role in transforming an ill-posed calibration problem into a stable and well-formulated one. Empirically, this realm of research has not been explored in much details in the literature. The goal...

In this paper, we provide a closed-form solution to an optimal portfolio execution problem with stochastic price impact and stochastic net demand pressure. Specifically, each trade of an investor has temporary and permanent price impacts, both of which are driven by a continuous-time Markov...