Ron Rood

Barclays

London EC3P 3AH

United Kingdom

SCHOLARLY PAPERS

1

DOWNLOADS

157

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Efficient Portfolio Valuation Incorporating Liquidity Risk

Quantitative Finance, Oct, 2013
Number of pages: 19 Posted: 27 Jan 2011 Last Revised: 28 Jan 2014
Monash University, Barclays and Center for Mathematics and Computer Science (CWI)
Downloads 157 (215,551)

Abstract:

Loading...

Liquidity Risk, Portfolio Valuation, Ladder MSDC, Liquidation Sequence, Exponential MSDC, Approximation