Michael Kamal

Independent

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

Optimal Limit Order Execution in a Simple Model for Market Microstructure Dynamics

Number of pages: 37 Posted: 05 Dec 2012 Last Revised: 27 Apr 2013
Yuri Burlakov, Michael Kamal and Michele Salvadore
Chicago Trading Company, LLC, Independent and Chicago Trading Company, LLC
Downloads 965 (37,350)
Citation 2

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market microstructure, high-frequency trading, optimal execution, limit order book, upcrossing, price of immediacy, tick data, electronic order-driven markets

2.

Consistent and Realistic Dynamics of the Implied Volatility Surface under Local Volatility Models

Number of pages: 14 Posted: 30 Jan 2013
Erik Doeff and Michael Kamal
Chicago Trading Company, LLC and Independent
Downloads 421 (108,330)
Citation 2

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Implied volatility, local volatility, volatility dynamics, volatility skew

3.

The TSLL Model: A Simple, Parametric Fit for the Implied Volatilities of VIX Options Inspired by the Shifted Lognormal Model

Number of pages: 10 Posted: 20 Jun 2019
Michael Kamal
Independent
Downloads 103 (395,230)

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VIX, VIX options, shifted lognormal, displaced diffusion, parametric implied volatility

4.

Incorporating Linear Neutrality Constraints into the Garleanu-Pedersen Framework for Dynamic Trading

Number of pages: 9 Posted: 18 May 2021 Last Revised: 30 May 2021
Michael Kamal
Independent
Downloads 44 (617,924)

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Portfolio optimization, Constrained optimization, Multiperiod optimization, Dynamic trading, Transaction cost

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homotopy, portfolio optlimization, mean-variance, critical line algorithm