Abstract

http://ssrn.com/abstract=1730067
 
 

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Liquidity Models in Continuous and Discrete Time


Selim Gokay


affiliation not provided to SSRN

Alexandre F. Roch


University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)

Halil Mete Soner


ETH Zürich; Swiss Finance Institute

December 23, 2010

Swiss Finance Institute Research Paper No. 10-53

Abstract:     
We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies.

Number of Pages in PDF File: 37

Keywords: Liquidity, super-hedging, price manipulation

JEL Classification: C61, G13, D52

working papers series


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Date posted: December 26, 2010  

Suggested Citation

Gokay, Selim and Roch, Alexandre F. and Soner, Halil Mete, Liquidity Models in Continuous and Discrete Time (December 23, 2010). Swiss Finance Institute Research Paper No. 10-53. Available at SSRN: http://ssrn.com/abstract=1730067 or http://dx.doi.org/10.2139/ssrn.1730067

Contact Information

Selim Gokay
affiliation not provided to SSRN ( email )
Alexandre F. Roch
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) ( email )
Case postale 8888
Succursale Centre-ville
Montreal, Quebec H3C 3P8
Canada
Halil Mete Soner (Contact Author)
Swiss Federal Institute of Technology Zurich ( email )
Zürichbergstrasse 18
8092 Zurich, CH-1015
Switzerland
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland
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