Liquidity Models in Continuous and Discrete Time
affiliation not provided to SSRN
Alexandre F. Roch
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Halil Mete Soner
ETH Zürich; Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
December 23, 2010
Swiss Finance Institute Research Paper No. 10-53
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
Date posted: December 26, 2010
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