Derivative pricing and optimal execution of portfolio transactions in finitely liquid markets
In real markets, to some degree, every trade will incur a non-zero cost and will influence the price of the asset traded. In situations where a dynamic trading strategy is implemented these liquidity effects can play a significant role. In this thesis we examine two situations in which such trading...
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit |
| Veröffentlicht: |
University of Oxford;Mathematical Institute
2007
|