IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION-Reference-Cited by-同舟云学术

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IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION

Published:2015-09-18 Issue:2 Volume:27 Page:401-437
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Federico Salvatore¹,Gassiat Paul²,Gozzi Fausto³

Affiliation:

1. Università di Firenze

2. Technische Universität Berlin

3. Libera Università degli Studi Sociali “Guido Carli”

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12101/fullpdf

Reference27 articles.

1. Portfolio Choice with Illiquid Assets;Ang;Manag. Sci,2014

2. The Intertemporal Elasticity of Substitution: An Exploration Using a US Panel of State Data;Beaudry;Economica,1996

3. Optimal Trade Execution in Illiquid Markets;Bayraktar;Math. Finance,2011

4. Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations;Bayraktar;SIAM J. Control Optim,2013

5. On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options;Bayraktar;SIAM J. Financ. Math,2013

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3. Intelligent algorithm of optimal investment model under stochastic interest rate and stochastic volatility;Journal of Intelligent & Fuzzy Systems;2019-07-09

4. Modeling stochastic operation of reservoir under ambiguity with an emphasis on river management;Optimal Control Applications and Methods;2019-04-30

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