Scaling limits of processes with fast nonlinear mean reversion-Reference-Cited by-同舟云学术

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Scaling limits of processes with fast nonlinear mean reversion

Published:2020-04 Issue:4 Volume:130 Page:1994-2031
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Cayé Thomas,Herdegen Martin,Muhle-Karbe Johannes

Funder

Swiss National Science Foundation

CFM-Imperial Institute of Quantitative Finance, UK

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference36 articles.

1. On using Shadow Prices for the Asymptotic Analysis of Portfolio Optimization under Proportional Transaction Costs;Ahrens,2015

2. Optimal execution with nonlinear impact functions and trading-enhanced risk;Almgren;Appl. Math. Finance,2003

3. Optimal execution of portfolio transactions;Almgren;J. Risk,2001

4. Option hedging with smooth market impact;Almgren;Mark. Microstucture Liq.,2016

5. Direct estimation of equity market impact;Almgren;RISK,2005

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asset pricing with general transaction costs: Theory and numerics;Mathematical Finance;2021-02-06

2. Trading with small nonlinear price impact;The Annals of Applied Probability;2020-04-01

3. Asset Pricing with General Transaction Costs: Theory and Numerics;SSRN Electronic Journal;2019

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