Bank, Peter; Dolinsky, Yan Optimal investment with a noisy signal of future stock prices. (English) Zbl 07801985 Appl. Math. Optim. 89, No. 2, Paper No. 35, 23 p. (2024). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{P. Bank} and \textit{Y. Dolinsky}, Appl. Math. Optim. 89, No. 2, Paper No. 35, 23 p. (2024; Zbl 07801985) Full Text: DOI arXiv OA License
Ekren, Ibrahim; Nadtochiy, Sergey Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. (English) Zbl 1522.91271 Math. Finance 32, No. 1, 172-225 (2022). MSC: 91G20 49L12 93E20 PDFBibTeX XMLCite \textit{I. Ekren} and \textit{S. Nadtochiy}, Math. Finance 32, No. 1, 172--225 (2022; Zbl 1522.91271) Full Text: DOI arXiv
Donnelly, Ryan Optimal execution: a review. (English) Zbl 1508.91524 Appl. Math. Finance 29, No. 3, 181-212 (2022). MSC: 91G15 93E20 91-02 PDFBibTeX XMLCite \textit{R. Donnelly}, Appl. Math. Finance 29, No. 3, 181--212 (2022; Zbl 1508.91524) Full Text: DOI
Souza, Max O.; Thamsten, Y. On regularized optimal execution problems and their singular limits. (English) Zbl 1508.91512 Appl. Math. Finance 29, No. 2, 79-109 (2022). MSC: 91G10 93E20 49L25 PDFBibTeX XMLCite \textit{M. O. Souza} and \textit{Y. Thamsten}, Appl. Math. Finance 29, No. 2, 79--109 (2022; Zbl 1508.91512) Full Text: DOI arXiv
Voß, Moritz A two-player portfolio tracking game. (English) Zbl 1496.91080 Math. Financ. Econ. 16, No. 4, 779-809 (2022). MSC: 91G10 91A15 91A80 91G80 PDFBibTeX XMLCite \textit{M. Voß}, Math. Financ. Econ. 16, No. 4, 779--809 (2022; Zbl 1496.91080) Full Text: DOI arXiv
Neuman, Eyal; Voß, Moritz Optimal signal-adaptive trading with temporary and transient price impact. (English) Zbl 1489.91238 SIAM J. Financ. Math. 13, No. 2, 551-575 (2022). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{E. Neuman} and \textit{M. Voß}, SIAM J. Financ. Math. 13, No. 2, 551--575 (2022; Zbl 1489.91238) Full Text: DOI arXiv
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin Optimal trade execution for Gaussian signals with power-law resilience. (English) Zbl 1487.91131 Quant. Finance 22, No. 3, 585-596 (2022). MSC: 91G15 45B05 PDFBibTeX XMLCite \textit{M. Forde} et al., Quant. Finance 22, No. 3, 585--596 (2022; Zbl 1487.91131) Full Text: DOI
Féron, Olivier; Tankov, Peter; Tinsi, Laura Price formation and optimal trading in intraday electricity markets. (English) Zbl 1484.91315 Math. Financ. Econ. 16, No. 2, 205-237 (2022). MSC: 91B74 93E20 91A16 PDFBibTeX XMLCite \textit{O. Féron} et al., Math. Financ. Econ. 16, No. 2, 205--237 (2022; Zbl 1484.91315) Full Text: DOI arXiv
Noh, Eunjung; Weston, Kim Price impact equilibrium with transaction costs and TWAP trading. (English) Zbl 1484.91461 Math. Financ. Econ. 16, No. 1, 187-204 (2022). MSC: 91G15 93E20 PDFBibTeX XMLCite \textit{E. Noh} and \textit{K. Weston}, Math. Financ. Econ. 16, No. 1, 187--204 (2022; Zbl 1484.91461) Full Text: DOI arXiv
Bank, Peter; Ekren, Ibrahim; Muhle-Karbe, Johannes Liquidity in competitive dealer markets. (English) Zbl 1521.91342 Math. Finance 31, No. 3, 827-856 (2021). MSC: 91G15 PDFBibTeX XMLCite \textit{P. Bank} et al., Math. Finance 31, No. 3, 827--856 (2021; Zbl 1521.91342) Full Text: DOI arXiv OA License
Gonon, Lukas; Muhle-Karbe, Johannes; Shi, Xiaofei Asset pricing with general transaction costs: theory and numerics. (English) Zbl 1521.91366 Math. Finance 31, No. 2, 595-648 (2021). MSC: 91G30 60H10 68T07 PDFBibTeX XMLCite \textit{L. Gonon} et al., Math. Finance 31, No. 2, 595--648 (2021; Zbl 1521.91366) Full Text: DOI arXiv
Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. (English) Zbl 1522.91205 Math. Finance 31, No. 1, 36-108 (2021). MSC: 91G10 35C20 49L25 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Math. Finance 31, No. 1, 36--108 (2021; Zbl 1522.91205) Full Text: DOI arXiv
Jaber, Eduardo Abi; Miller, Enzo; Pham, Huyên Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation. (English) Zbl 1475.93116 Ann. Appl. Probab. 31, No. 5, 2244-2274 (2021). MSC: 93E20 93C25 49N10 60G22 60H20 PDFBibTeX XMLCite \textit{E. A. Jaber} et al., Ann. Appl. Probab. 31, No. 5, 2244--2274 (2021; Zbl 1475.93116) Full Text: DOI arXiv Link
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail Optimal trade execution in an order book model with stochastic liquidity parameters. (English) Zbl 1471.91522 SIAM J. Financ. Math. 12, No. 2, 788-822 (2021). MSC: 91G15 93E20 60G99 PDFBibTeX XMLCite \textit{J. Ackermann} et al., SIAM J. Financ. Math. 12, No. 2, 788--822 (2021; Zbl 1471.91522) Full Text: DOI arXiv
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan Equilibrium asset pricing with transaction costs. (English) Zbl 1461.91327 Finance Stoch. 25, No. 2, 231-275 (2021). MSC: 91G30 91G15 60H10 PDFBibTeX XMLCite \textit{M. Herdegen} et al., Finance Stoch. 25, No. 2, 231--275 (2021; Zbl 1461.91327) Full Text: DOI arXiv
Dyshaev, M. M. On measuring the cost of liquidity in the limit order book. (English) Zbl 1470.91274 Chelyabinskiĭ Fiz.-Mat. Zh. 5, No. 1, 96-104 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{M. M. Dyshaev}, Chelyabinskiĭ Fiz.-Mat. Zh. 5, No. 1, 96--104 (2020; Zbl 1470.91274) Full Text: DOI MNR
Ma, Jiangming; Gao, Di A class of optimal liquidation problem with a nonlinear temporary market impact. (English) Zbl 1459.91064 Math. Probl. Eng. 2020, Article ID 6614177, 7 p. (2020). MSC: 91B24 91G10 93E20 PDFBibTeX XMLCite \textit{J. Ma} and \textit{D. Gao}, Math. Probl. Eng. 2020, Article ID 6614177, 7 p. (2020; Zbl 1459.91064) Full Text: DOI
Firoozi, Dena; Jaimungal, Sebastian; Caines, Peter E. Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems. (English) Zbl 1451.91015 Syst. Control Lett. 142, Article ID 104734, 11 p. (2020). MSC: 91A16 49N10 49N80 90C25 PDFBibTeX XMLCite \textit{D. Firoozi} et al., Syst. Control Lett. 142, Article ID 104734, 11 p. (2020; Zbl 1451.91015) Full Text: DOI arXiv
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes Trading with small nonlinear price impact. (English) Zbl 1447.91157 Ann. Appl. Probab. 30, No. 2, 706-746 (2020). MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{T. Cayé} et al., Ann. Appl. Probab. 30, No. 2, 706--746 (2020; Zbl 1447.91157) Full Text: DOI Euclid
Dolinsky, Yan; Gottesman, Benjamin; Gurel-Gurevich, Ori A note on costs minimization with stochastic target constraints. (English) Zbl 1440.49023 Electron. Commun. Probab. 25, Paper No. 11, 12 p. (2020). Reviewer: Nikolaos Halidias (Athína) MSC: 49J55 60H30 93E20 49K45 49J15 PDFBibTeX XMLCite \textit{Y. Dolinsky} et al., Electron. Commun. Probab. 25, Paper No. 11, 12 p. (2020; Zbl 1440.49023) Full Text: DOI arXiv Euclid
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes Scaling limits of processes with fast nonlinear mean reversion. (English) Zbl 1434.60112 Stochastic Processes Appl. 130, No. 4, 1994-2031 (2020). MSC: 60F25 60H10 PDFBibTeX XMLCite \textit{T. Cayé} et al., Stochastic Processes Appl. 130, No. 4, 1994--2031 (2020; Zbl 1434.60112) Full Text: DOI arXiv Link
Dyshaev, Mikhaĭl Mikhaĭlovich; Fedorov, Vladimir Evgen’evich The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs. (English) Zbl 1433.91174 Izv. Irkutsk. Gos. Univ., Ser. Mat. 31, 3-17 (2020). MSC: 91G20 91G10 91G60 PDFBibTeX XMLCite \textit{M. M. Dyshaev} and \textit{V. E. Fedorov}, Izv. Irkutsk. Gos. Univ., Ser. Mat. 31, 3--17 (2020; Zbl 1433.91174) Full Text: DOI Link
Chandra, Shiva; Papanicolaou, Andrew Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs. (English) Zbl 1430.91083 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950039, 18 p. (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{S. Chandra} and \textit{A. Papanicolaou}, Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950039, 18 p. (2019; Zbl 1430.91083) Full Text: DOI arXiv
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian Hedge and speculate: replicating option payoffs with limit and market orders. (English) Zbl 1427.91268 SIAM J. Financ. Math. 10, No. 3, 790-814 (2019). MSC: 91G20 60G40 49L25 PDFBibTeX XMLCite \textit{Á. Cartea} et al., SIAM J. Financ. Math. 10, No. 3, 790--814 (2019; Zbl 1427.91268) Full Text: DOI Link
Bank, Peter; Voß, Moritz Optimal investment with transient price impact. (English) Zbl 1429.91302 SIAM J. Financ. Math. 10, No. 3, 723-768 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G15 91G10 91G80 93E20 35Q91 PDFBibTeX XMLCite \textit{P. Bank} and \textit{M. Voß}, SIAM J. Financ. Math. 10, No. 3, 723--768 (2019; Zbl 1429.91302) Full Text: DOI arXiv Link
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. Deep hedging. (English) Zbl 1420.91450 Quant. Finance 19, No. 8, 1271-1291 (2019). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{H. Buehler} et al., Quant. Finance 19, No. 8, 1271--1291 (2019; Zbl 1420.91450) Full Text: DOI arXiv
Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason Algorithmic trading, stochastic control, and mutually exciting processes. (English) Zbl 1410.91411 SIAM Rev. 60, No. 3, 673-703 (2018). MSC: 91G10 93E20 91G80 PDFBibTeX XMLCite \textit{Á. Cartea} et al., SIAM Rev. 60, No. 3, 673--703 (2018; Zbl 1410.91411) Full Text: DOI
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes Equilibrium returns with transaction costs. (English) Zbl 1402.91666 Finance Stoch. 22, No. 3, 569-601 (2018). MSC: 91G10 91G80 60H10 PDFBibTeX XMLCite \textit{B. Bouchard} et al., Finance Stoch. 22, No. 3, 569--601 (2018; Zbl 1402.91666) Full Text: DOI arXiv Link
Christodoulou, Panagiotis; Detering, Nils; Meyer-Brandis, Thilo Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (English) Zbl 1395.91434 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850028, 44 p. (2018). MSC: 91G20 60G44 PDFBibTeX XMLCite \textit{P. Christodoulou} et al., Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850028, 44 p. (2018; Zbl 1395.91434) Full Text: DOI arXiv
Tan, Zongjun; Tankov, Peter Optimal trading policies for wind energy producer. (English) Zbl 1408.91246 SIAM J. Financ. Math. 9, No. 1, 315-346 (2018). MSC: 91G99 91B76 62M20 62P20 93E20 PDFBibTeX XMLCite \textit{Z. Tan} and \textit{P. Tankov}, SIAM J. Financ. Math. 9, No. 1, 315--346 (2018; Zbl 1408.91246) Full Text: DOI arXiv
Bank, Peter; Voß, Moritz Linear quadratic stochastic control problems with stochastic terminal constraint. (English) Zbl 1387.93180 SIAM J. Control Optim. 56, No. 2, 672-699 (2018). MSC: 93E20 60H10 91G80 PDFBibTeX XMLCite \textit{P. Bank} and \textit{M. Voß}, SIAM J. Control Optim. 56, No. 2, 672--699 (2018; Zbl 1387.93180) Full Text: DOI arXiv
Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H. Optimal accelerated share repurchases. (English) Zbl 1398.91600 Appl. Math. Finance 24, No. 3-4, 216-245 (2017). MSC: 91G20 93E20 60G40 PDFBibTeX XMLCite \textit{S. Jaimungal} et al., Appl. Math. Finance 24, No. 3--4, 216--245 (2017; Zbl 1398.91600) Full Text: DOI
Pham, Huyên Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. (English) Zbl 1433.49030 Probab. Uncertain. Quant. Risk 1, Paper No. 7, 26 p. (2016). MSC: 49K20 49L20 60H10 93E20 91B24 91B51 35Q83 PDFBibTeX XMLCite \textit{H. Pham}, Probab. Uncertain. Quant. Risk 1, Paper No. 7, 26 p. (2016; Zbl 1433.49030) Full Text: DOI arXiv