Ján Komadel

Comenius University - Faculty of Mathematics, Physics and Informatics

Mlynská dolina

SK-842 48 Bratislava, 842 48

Slovakia

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Scholarly Papers (1)

1.

Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions

European Journal of Operational Research, 2019
Number of pages: 31 Posted: 06 Apr 2017 Last Revised: 29 Sep 2019
Pavol Brunovsky, Aleš Černý and Ján Komadel
Comenius University - Faculty of Mathematics, Physics and Informatics, Bayes Business School (formerly Cass), City, University of London and Comenius University - Faculty of Mathematics, Physics and Informatics
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Abstract:

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optimal liquidation, price impact, square-root law, singular boundary value problem, stochastic optimal control