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Liquidity Risk and Arbitrage Pricing Theory · Study

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ChapterLiquidity Risk and Arbitrage Pricing Theory

Umut Çetın2010

Chapter2010

Liquidity Risk and Arbitrage Pricing Theory

Umut Çetın · Robert A. Jarrow · Philip E. Protter

273 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2005Stochastic Integration and Differential Equations 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1988Liquidity and Market Structure

Cited by

2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS 2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader 2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 2017Illiquidity Premia in the Equity Options Market 2013Dynamical Models of Market Impact and Algorithms for Order Execution 2006A model of optimal portfolio selection under liquidity risk and price impact

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 7 shared references 1997Interest rate theorychapter · 7 shared references 1997Towards a general theory of bond marketsarticle · 6 shared references 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Timearticle · 6 shared references 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETSarticle · 6 shared references 2008The fundamental theorem of asset pricing for continuous processes under small transaction costsarticle · 6 shared references

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Year2010

Typechapter

Published2010-01-01

VenueSpringer eBooks

Languageen

Citations273

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-0-387-77117-5_64

openalex_workW2115950314

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2009Option hedging for small investors under liquidity costs

2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING