ALBERT — All Library Books, journals and Electronic Records Telegrafenberg

Hits per page

hit 1 - 1 | 1 hit

Select All Export

Electronic Resource

Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2004)

Bank, Peter ; Baum, Dietmar

350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.

Mathematical finance 14 (2004), S. 0

add to mindlist on the mindlist

Details

ISSN: 1467-9965

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Mathematics , Economics

Notes: We introduce a general continuous-time model for an illiquid financial market where the trades of a single large investor can move market prices. The model is specified in terms of parameter-dependent semimartingales, and its mathematical analysis relies on the nonlinear integration theory of such semimartingale families. The Itô–Wentzell formula is used to prove absence of arbitrage for the large investor, and, using approximation results for stochastic integrals, we characterize the set of approximately attainable claims. We furthermore show how to compute superreplication prices and discuss the large investor's utility maximization problem.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00179.x

	Location	Call Number	Expected	Availability

Others were also interested in ...

Paper (German National Licenses)

Fulltext

hit 1 - 1 | 1 hit