Order book models, signatures and numerical approximations of rough differential equations
<p>We construct a mathematical model of an order driven market where traders can submit limit orders and market orders to buy and sell securities. We adapt the notion of no free lunch of Harrison and Kreps and Jouini and Kallal to our setting and we prove a no-arbitrage theorem for the model o...
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| Format: | Thesis |
| Language: | English |
| Published: |
2012
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