Tianhui Li

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

SCHOLARLY PAPERS

5

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777

CITATIONS
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13

Scholarly Papers (5)

1.

Optimal Limit-versus-Market Order Slicing under a VWAP Benchmark - Discrete Case

Number of pages: 39 Posted: 01 Sep 2013 Last Revised: 03 Sep 2013
Tianhui Li
Princeton University
Downloads 254 (114,378)

Abstract:

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Market impact model, optimal order execution, algorithmic trading, VWAP, TWAP

2.

Dual Characterization of Properties of Risk Measures

Number of pages: 27 Posted: 03 Mar 2008
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 224 (129,740)
Citation 2

Abstract:

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Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts

3.

Closed-Form Solutions for Option Hedging with Market Impact

Number of pages: 30 Posted: 01 Sep 2013
Tianhui Li and Robert Almgren
Princeton University and University of Toronto - Department of Mathematics
Downloads 184 (156,046)

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market impact model, optimal order execution, algorithmic trading, options hedging

4.

Optimal Limit-versus-Market Order Slicing Under a VWAP Benchmark - Continuous Case

Number of pages: 37 Posted: 01 Sep 2013 Last Revised: 03 Sep 2013
Tianhui Li
Princeton University
Downloads 113 (232,226)

Abstract:

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Market impact model, optimal order execution, algorithmic trading, VWAP, TWAP

5.
Downloads 2 (604,050)

Risk Measures on Orlicz Hearts

Mathematical Finance, Vol. 19, Issue 2, pp. 189-214, April 2009
Number of pages: 26 Posted: 27 Apr 2009
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 2 (633,365)
Citation 11
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Risk Measures on Orlicz Hearts

Posted: 09 May 2007
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University

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coherent risk measures, convex monetary risk measures, monetary risk measures, acceptance sets, robust representations, cash-additive hulls, transformed norm risk measures, transformed loss risk measures, Orlicz spaces