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2. Simplified calculus for semimartingales: Multiplicative compensators and changes of measure. (2023). Černý, Aleš ; Ruf, Johannes.
   In: Stochastic Processes and their Applications.
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3. Simplified calculus for semimartingales: Multiplicative compensators and changes of measure. (2023). Černý, Aleš ; ÄŒerný, AleÅ¡ ; Ruf, Johannes ; Vcern, Alevs.
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4. Simplified stochastic calculus with applications in Economics and Finance. (2021). Černý, Aleš ; Ruf, Johannes.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:293:y:2021:i:2:p:547-560.

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1. Hedging with physical or cash settlement under transient multiplicative price impact. (2023). Bilarev, Todor ; Becherer, Dirk.
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2. Simplified stochastic calculus via semimartingale representations. (2022). Černý, Aleš ; ÄŒerný, AleÅ¡ ; Ruf, Johannes ; Vcern, Alevs.
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3. An optional decomposition of $\mathscr{Y}^{g,\xi}-submartingales$ and applications to the hedging of American options in incomplete markets. (2022). Dumitrescu, Roxana.
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   RePEc:arx:papers:1901.02505.

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4. The value of insider information for super-replication with quadratic transaction costs. (2021). Dolinsky, Yan ; Zouari, Jonathan.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:131:y:2021:i:c:p:394-416.

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5. Optimal investment, derivative demand, and arbitrage under price impact. (2021). Anthropelos, Michail ; Robertson, Scott ; Spiliopoulos, Konstantinos.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:31:y:2021:i:1:p:3-35.

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6. Liquidity in Competitive Dealer Markets. (2021). Bank, Peter ; Muhle-Karbe, Johannes ; Ekren, Ibrahim.
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7. Hedging with Liquidity Risk under CEV Diffusion. (2020). Park, Sang-Hyeon ; Lee, Kiseop.
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8. Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop.
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9. The Value of Insider Information for Super--Replication with Quadratic Transaction Costs. (2020). Dolinsky, Yan ; Zouari, Jonathan.
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   RePEc:arx:papers:1910.09855.

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10. Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. (2020). Nadtochiy, Sergey ; Ekren, Ibrahim.
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    RePEc:arx:papers:1910.01778.

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11. Continuity of Utility Maximization under Weak Convergence. (2020). Bayraktar, Erhan ; Dolinsky, Yan ; Guo, Jia.
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12. Kyle equilibrium under random price pressure. (2019). Fajardo, José ; Corcuera, Jose Manuel ; Nunno, Giulia.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00231-4.

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13. LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS. (2018). Meyer-Brandis, Thilo ; Christodoulou, Panagiotis ; Detering, Nils.
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14. KYLE–BACK’S MODEL WITH A RANDOM HORIZON. (2018). Corcuera, Jose Manuel ; di Nunno, Giulia.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500164.

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15. Perfect hedging under endogenous permanent market impacts. (2018). Stadje, Mitja ; Fukasawa, Masaaki.
    In: Finance and Stochastics.
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16. Asset market equilibrium with liquidity risk. (2018). Jarrow, Robert.
    In: Annals of Finance.
    RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0316-x.

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17. Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Robertson, Scott ; Spiliopoulos, Konstantinos.
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18. Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Meyer-Brandis, Thilo ; Christodoulou, Panagiotis ; Detering, Nils.
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19. Stability for gains from large investors strategies in M1/J1 topologies. (2018). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
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    RePEc:arx:papers:1701.02167.

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20. A String Model of Liquidity in Financial Markets. (2018). Zhao, Ran ; Schellhorn, Henry.
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21. A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES. (2017). Jarrow, Robert.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500534.

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22. IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING. (2017). Allaj, Erindi.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500248.

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23. Hedging and pricing illiquid options with market impacts. (2017). Saito, Taiga.
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24. Arbitrage theory for non convex financial market models. (2017). Tran, Tuan ; Lepinette, Emmanuel.
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    RePEc:eee:spapps:v:127:y:2017:i:10:p:3331-3353.

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25. BSDEs with default jump. (2017). Dumitrescu, Roxana ; Quenez, Marie-Claire ; Sulem, Agnes.
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26. Smooth investment. (2016). Jensen, Ninna Reitzel ; Steffensen, Mogens ; Bruhn, Kenneth.
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27. On the strategic behavior of large investors: A mean-variance portfolio approach. (2016). Villena, Marcelo ; Reus, Lorenzo.
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28. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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29. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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30. Super-replication with nonlinear transaction costs and volatility uncertainty. (2015). Dolinsky, Yan ; Gokay, Selim ; Bank, Peter.
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31. A model for a large investor trading at market indifference prices. II: Continuous-time case. (2015). Bank, Peter ; Kramkov, Dmitry.
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32. The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao.
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33. High-Resilience Limits of Block-Shaped Order Books. (2014). Muhle-Karbe, Johannes ; Kallsen, Jan.
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34. A model for a large investor trading at market indifference prices. I: single-period case. (2013). Bank, Peter ; Kramkov, Dmitry.
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35. Discrete time hedging with liquidity risk. (2012). Lee, Kiseop ; Ku, Hyejin ; Zhu, Huaiping.
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36. A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets. (2012). Schellhorn, Henry ; German, David .
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37. Large traders and illiquid options: Hedging vs. manipulation. (2011). Kühn, Christoph, ; Kraft, Holger.
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38. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje.
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39. Option hedging for small investors under liquidity costs. (2010). Cetin, Umut ; Touzi, Nizar ; Soner, Mete H..
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40. From discrete to continuous time evolutionary finance models. (2010). Schenk-Hoppé, Klaus ; Schenk-Hoppe, Klaus Reiner ; Palczewski, Jan.
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41. Pricing in an equilibrium based model for a large investor. (2010). German, David .
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42. Partial Hedging in Financial Markets with a Large Agent. (2009). Jonsson, Mattias ; Choi, Jungmin.
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43. Mean-Variance Hedging with Uncertain Trade Execution. (2009). Matsumoto, Koichi.
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44. Dynamic instability in generic model of multi-assets markets. (2009). Marsili, Matteo ; Raffaelli, Giacomo ; Ponsot, Benedicte .
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45. Hedging in an equilibrium-based model for a large investor. (2009). German, David .
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46. Liquidity Risk, Price Impacts and the Replication Problem. (2009). ROCH, Alexandre F..
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47. Arbitrage and deflators in illiquid markets. (2009). Pennanen, Teemu.
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48. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
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49. Computation of estimates in segmented regression and a liquidity effect model. (2007). Song, Seongjoo ; Gill, Ryan ; Lee, Kiseop.
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50. Option pricing with an illiquid underlying asset market. (2005). Liu, Hong ; Yong, Jiongmin.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:12:p:2125-2156.

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