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Liquidity Models in Continuous and Discrete Time

37 Pages Posted: 26 Dec 2010  

Selim Gokay

affiliation not provided to SSRN

Alexandre F. Roch

University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)

Halil Mete Soner

ETH Zürich; Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

Date Written: December 23, 2010

Abstract

We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies.

Keywords: Liquidity, super-hedging, price manipulation

JEL Classification: C61, G13, D52

Suggested Citation

Gokay, Selim and Roch, Alexandre F. and Soner, Halil Mete, Liquidity Models in Continuous and Discrete Time (December 23, 2010). Swiss Finance Institute Research Paper No. 10-53. Available at SSRN: https://ssrn.com/abstract=1730067 or http://dx.doi.org/10.2139/ssrn.1730067

Selim Gokay

affiliation not provided to SSRN ( email )

Alexandre F. Roch

University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) ( email )

Case postale 8888
Succursale Centre-ville
Montreal, Quebec H3C 3P8
Canada

Halil Mete Soner (Contact Author)

ETH Zürich ( email )

Zürichbergstrasse 18
8092 Zurich, CH-1015
Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne ( email )

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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