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Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation
16 references·2 citing·41 second hop
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 1999Quantile hedging294 cited
  • 1999Hedging and liquidation under transaction costs in currency markets257 cited
  • 1986Optimal Control with State-Space Constraint. II236 cited
  • 2002Dynamic programming for stochastic target problems and geometric flows160 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 1993SDEs with Oblique Reflection on Nonsmooth Domains148 cited
  • 1999A closed-form solution to the problem of super-replication under transaction costs123 cited
  • 2002Stochastic target problems, dynamic programming, and viscosity solutions121 cited
  • 1999Super-replication in stochastic volatility models under portfolio constraints98 cited
  • 2009Stochastic Target Problems with Controlled Loss95 cited
  • 2011Optimal Control of Trading Algorithms: A General Impulse Control Approach92 cited
  • 2000Superreplication Under Gamma Constraints81 cited
  • 1999Optimal control of execution costs for portfolios66 cited
  • 2011

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Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
61 cited

Cited by

  • 2012Portfolio Liquidation in Dark Pools in Continuous Time29 cited
  • 2012A Stochastic Target Approach for P&L Matching Problems22 cited