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A Simple Model of Liquidity Effects · Study

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ChapterA Simple Model of Liquidity Effects

L. C. G. Rogers2002

Chapter2002

A Simple Model of Liquidity Effects

L. C. G. Rogers · Omar Zane

54 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1981Point Processes and Queues 1990Portfolio Selection with Transaction Costs 1983Point Processes and Queues: Martingale Dynamics.1986Stochastic Calculus and Applications.2002Un Cours sur les Intégrales Stochastiques 2015Stochastic Calculus and Applications

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2008A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES 2012Optimal Stopping with Information Constraint 2013Mean–Variance portfolio selection in presence of infrequently traded stocks 2007Valuation of Bond Illiquidity 2005Optimal portfolio of low liquid assets with a log-utility function 2010Optimal portfolios of a small investor in a limit order market: a shadow price approach 2005Stopping at the maximum of geometric Brownian motion when signals are received

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1998State-dependent stochastic networks. Part I. Approximations and applications with continuous diffusion limitsarticle · 3 shared references 1986A Stochastic Calculus Model of Continuous Tradingarticle · 3 shared references 1997Interest rate theorychapter · 3 shared references 1994Rate conservation laws: A surveyarticle · 3 shared references 1988Exponential inequalities for ruin probabilities in the Cox casearticle · 3 shared references 2015THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTSarticle · 3 shared references

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Year2002

Typechapter

Published2002-01-01

VenueSpringer eBooks

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-04790-3_9

openalex_workW13735998

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2019

Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times