Alexandre F. Roch

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

Assistant Professor

Case postale 8888

Succursale Centre-ville

Montreal, Quebec H3C 3P8

Canada

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 20,478

in Total Papers Downloads

2,382

SSRN CITATIONS
Rank 24,241

SSRN RANKINGS

Top 24,241

in Total Papers Citations

8

CROSSREF CITATIONS

22

Scholarly Papers (10)

1.

A Liquidity Based Model for Asset Price Bubbles

Quantitative Finance, Forthcoming, Johnson School Research Paper Series No. 14-2010
Number of pages: 23 Posted: 02 Mar 2010 Last Revised: 08 Sep 2011
Philip Protter, Robert A. Jarrow and Alexandre F. Roch
Columbia University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 752 (33,206)
Citation 1

Abstract:

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2.

Liquidity Models in Continuous and Discrete Time

Swiss Finance Institute Research Paper No. 10-53
Number of pages: 37 Posted: 26 Dec 2010
Selim Gokay, Alexandre F. Roch and Halil Mete Soner
affiliation not provided to SSRN, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and ETH Zürich
Downloads 363 (83,395)
Citation 1

Abstract:

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Liquidity, super-hedging, price manipulation

3.

Liquidity Risk and the Term Structure of Interest Rates

Johnson School Research Paper Series No. 16-2013
Number of pages: 31 Posted: 23 Feb 2013 Last Revised: 24 Oct 2014
Robert A. Jarrow and Alexandre F. Roch
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 325 (94,466)
Citation 3

Abstract:

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Liquidity risk, Fixed Income Markets, Completeness, No Arbitrage

4.

Resilient Price Impact of Trading and the Cost of Illiquidity

Number of pages: 29 Posted: 07 Sep 2011 Last Revised: 23 Oct 2014
Alexandre F. Roch and Halil Mete Soner
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and ETH Zürich
Downloads 290 (107,029)
Citation 10

Abstract:

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liquidity risk, limit order books, asset pricing, utility maximization, resilience, price impacts

5.

Option Prices under Liquidity Risk as Weak Solutions of Semilinear Diffusion Equation

Number of pages: 32 Posted: 23 Feb 2013 Last Revised: 01 Feb 2017
Matthias Fahrenwaldt and Alexandre F. Roch
EBZ Business School and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 143 (207,835)

Abstract:

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Liquidity risk, Option pricing, Semilinear degenerate parabolic partial differential equations, Nonlinear analysis

6.

Optimal Exit Strategies for Investment Projects

Number of pages: 33 Posted: 23 Apr 2013 Last Revised: 24 Oct 2014
Université de Marne-la-Vallée, Université d'Évry, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and Université Paris VII Denis Diderot
Downloads 129 (225,608)

Abstract:

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real options, stochastic control, liquidity discount, regime shifting, viscosity solutions, system of variational inequalities

7.

Liquidity Risk, Price Impacts and the Replication Problem

Finance and Stochastics, Vol. 15, p. 399, 2011
Number of pages: 20 Posted: 08 Sep 2011
Alexandre F. Roch
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 129 (225,608)

Abstract:

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Liquidity risk, BSDEs, Stochastic volatility, Price impacts

8.

Optimal Execution Cost for Liquidation Through a Limit Order Market

Number of pages: 28 Posted: 30 Nov 2013 Last Revised: 26 Apr 2017
Université de Marne-la-Vallée, Université d'Évry, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and Université Paris VII Denis Diderot
Downloads 108 (257,021)

Abstract:

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Liquidity Risk, Limit Order Books, Impulse Control, Viscosity Solutions, System of Variational Inequalities

9.

Distilling Liquidity Costs from Limit Order Books

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 16 Sep 2015 Last Revised: 24 Jun 2018
Diego Amaya, Jean-Yves Filbien, Cedric Okou and Alexandre F. Roch
Wilfrid Laurier University, University of Lille I, University of Quebec at Montreal (UQAM) and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 98 (274,640)
Citation 1

Abstract:

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Intraday liquidity, limit order books, price impact, price formation

10.

Asymptotic Asset Pricing and Bubbles

Number of pages: 26 Posted: 25 Apr 2017
Alexandre F. Roch
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 45 (414,635)

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Asymptotic Arbitrage, Local Martingales, Contiguity of Probability Measures, Superreplication