Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Arbitrage and deflators in illiquid markets

16 references·5 citing·46 second hop

FromToDepth

this work references cited by second hop

References

2001Optimal execution of portfolio transactions1,598 cited
2004Stochastic Finance701 cited
1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
1992Convex Duality in Constrained Portfolio Optimization628 cited
1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
2004Liquidity risk and arbitrage pricing theory285 cited
2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
1999Hedging and liquidation under transaction costs in currency markets257 cited
2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader226 cited
1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time190 cited
2001A teacher’s note on no-arbitrage criteria127 cited
1998On Feedback Effects from Hedging Derivatives124 cited
2006MODELING LIQUIDITY EFFECTS IN DISCRETE TIME97 cited
1998On Esscher Transforms in Discrete Finance Models97 cited
2008Constrained portfolio liquidation in a limit order book model76 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2003

On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property

70 cited

Cited by

2012Stochastic programs without duality gaps38 cited
2010SUPERHEDGING IN ILLIQUID MARKETS30 cited
2015Hedging, arbitrage and optimality with superlinear frictions27 cited
2011Dual representation of superhedging costs in illiquid markets25 cited
2015Price Systems for Random Amounts0 cited