Thomas Cayé

Dublin City University - School of Mathematical Sciences

Post-doctoral researcher

Dublin

Ireland

  • Dublin City University - School of Mathematical Sciences

SCHOLARLY PAPERS

3

DOWNLOADS

563

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (3)

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1.

Trading with Small Nonlinear Price Impact

Number of pages: 41
Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 281

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Nonlinear Price Impact, Portfolio Choice, Asymptotics

2.

Liquidation with Self-Exciting Price Impact

Swiss Finance Institute Research Paper No. 14-74
Number of pages: 12 Posted: 20 Dec 2014
Thomas Cayé and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 229 (244,238)
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optimal liquidation, price impact, self-excitement, risk aversion

3.

Asymptotics for Small Nonlinear Price Impact: A PDE Homogenization Approach to the Multidimensional Case

To appear in Mathematical Finance.
Number of pages: 63 Posted: 02 Jan 2019 Last Revised: 24 Jun 2020
Erhan Bayraktar, Thomas Cayé and Ibrahim Ekren
University of Michigan at Ann Arbor - Department of Mathematics, Dublin City University - School of Mathematical Sciences and Florida State University
Downloads 53 (687,173)
Citation 1

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utility maximization, portfolio choice, non-linear price impact, asymptotic expansion, viscosity solutions, homogenization