Ron Rood

Barclays

London EC3P 3AH

United Kingdom

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Efficient Portfolio Valuation Incorporating Liquidity Risk

Quantitative Finance, Oct, 2013
Number of pages: 19 Posted: 27 Jan 2011 Last Revised: 28 Jan 2014
Yu Tian, Ron Rood and Cornelis W. Oosterlee
Monash University, Barclays and Center for Mathematics and Computer Science (CWI)
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Abstract:

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