37 Pages Posted: 26 Dec 2010
Date Written: December 23, 2010
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: 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
By Jim Gatheral