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2. The value of insider information for super-replication with quadratic transaction costs. (2021). Dolinsky, Yan ; Zouari, Jonathan.
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3. Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case. (2021). Bayraktar, Erhan ; Caye, Thomas ; Ekren, Ibrahim.
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4. Market delay and G-expectations. (2020). Dolinsky, Yan ; Zouari, Jonathan.
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5. The Value of Insider Information for Super--Replication with Quadratic Transaction Costs. (2020). Dolinsky, Yan ; Zouari, Jonathan.
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6. Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2020). Bayraktar, Erhan ; Caye, Thomas ; Ekren, Ibrahim.
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7. Pricing European Options in a Discrete Time Model for the Limit Order Book. (2019). Simard, Clarence ; Remillard, Bruno.
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8. Scaling Limits for Super--replication with Transient Price Impact. (2019). Dolinsky, Yan ; Bank, Peter.
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9. Super-Replication with Fixed Transaction Costs. (2018). Dolinsky, Yan ; Bank, Peter.
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10. Arbitrage theory for non convex financial market models. (2017). Tran, Tuan ; Lepinette, Emmanuel.
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11. Skorohods representation theorem and optimal strategies for markets with frictions. (2017). , Mikl'Os ; Chau, Huy N.
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12. Duality formulas for robust pricing and hedging in discrete time. (2017). Cheridito, Patrick ; Kupper, Michael ; Tangpi, Ludovic.
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13. Superreplication when trading at market indifference prices. (2016). Gokay, Selim ; Bank, Peter.
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14. Hedging, arbitrage and optimality with superlinear frictions. (2015). Guasoni, Paolo ; Mikl'os R'asonyi, .
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15. Super-replication with nonlinear transaction costs and volatility uncertainty. (2015). Dolinsky, Yan ; Gokay, Selim ; Bank, Peter.
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16. Robust hedging with proportional transaction costs. (2014). Dolinsky, Yan ; Soner, H..
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1. Understanding the dual formulation for the hedging of path-dependent options with price impact. (2020). Tan, Xiaolu ; Bouchard, Bruno.
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2. Market Price of Trading Liquidity Risk and Market Depth. (2019). Kijima, Masaaki ; Ting, Christopher.
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3. Implicit transaction costs and the fundamental theorems of asset pricing. (2017). ALLAJ, ERINDI.
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4. Option pricing with linear market impact and non-linear Black and Scholes equations. (2016). Loeper, Gregoire.
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5. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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6. Option pricing and hedging with execution costs and market impact. (2015). Olivier Gu'eant, ; Pu, Jiang.
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7. Large liquidity expansion of super-hedging costs. (2015). Touzi, Nizar ; Soner, Mete H. ; Possamai, Dylan.
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8. Efficient discretization of stochastic integrals. (2014). Fukasawa, Masaaki.
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9. Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact. (2014). Wu, Nan ; Zheng, Harry.
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10. Duality and convergence for binomial markets with friction. (2013). Dolinsky, Yan ; Soner, Halil .
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11. Risk Allocation under Liquidity Constraints. (2013). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
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12. Pricing and hedging contingent claims with liquidity costs and market impact. (2013). Loeper, Gregoire ; Abergel, Frederic.
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13. Superreplication when trading at market indifference prices. (2013). Gokay, Selim ; Bank, Peter.
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14. A model for a large investor trading at market indifference prices. I: single-period case. (2013). Bank, Peter ; Kramkov, Dmitry.
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15. Hedging through a Limit Order Book with Varying Liquidity. (2012). Agliardi, Rossella ; Genay, Ramazan.
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16. Signing trades and an evaluation of the Lee–Ready algorithm. (2012). Protter, Philip ; Blais, Marcel.
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17. Optimal execution and price manipulations in time-varying limit order books. (2012). Acevedo, Jose Infante ; Alfonsi, Aurelien.
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18. Discrete time hedging with liquidity risk. (2012). Lee, Kiseop ; Ku, Hyejin ; Zhu, Huaiping.
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19. A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets. (2012). Schellhorn, Henry ; German, David .
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20. Optimal execution and price manipulations in time-varying limit order books. (2012). Jos'e Infante Acevedo, ; Alfonsi, Aur'Elien.
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21. Liquidity risk, price impacts and the replication problem. (2011). Roch, Alexandre.
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22. (S,s)-adjustment Strategies and Hedging under Markovian Dynamics. (2011). Andergassen, Rainer ; Agliardi, Elettra.
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23. Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs. (2011). Millot, Nicolas ; Abergel, Frederic.
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24. Liquidity effect in OTC options markets: Premium or discount?. (2011). Gupta, Anurag ; Deuskar, Prachi ; Subrahmanyam, Marti G..
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25. Duality and Convergence for Binomial Markets with Friction. (2011). Dolinsky, Yan ; Soner, Halil Mete.
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26. Illiquidity Premia in the Equity Options Market. (2011). Goyenko, Ruslan ; Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris.
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27. Optimal investment strategies with a reallocation constraint. (2010). Soner, H. ; Egriboyun, Feyzullah.
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28. Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?. (2010). Diesinger, Peter ; Kraft, Holger ; Seifried, Frank.
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29. Option hedging for small investors under liquidity costs. (2010). Etin, Umut ; Touzi, Nizar ; Soner, H..
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30. Option hedging for small investors under liquidity costs. (2010). Cetin, Umut ; Touzi, Nizar ; Soner, Mete H..
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31. Belief updating, debt pricing and financial decisions under asymmetric information. (2010). Li, Shenghong ; Xu, Ruxing .
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32. Pricing in an equilibrium based model for a large investor. (2010). German, David .
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33. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Predescu, Mirela ; Capponi, Agostino.
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34. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aur'Elien ; Schulz, Antje .
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35. Measuring market liquidity risk - which model works best?. (2009). Kaserer, Christoph ; STANGE, SEBASTIAN ; Ernst, Cornelia.
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36. Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk. (2009). Bion-Nadal, Jocelyne .
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37. Hedging in an equilibrium-based model for a large investor. (2009). German, David .
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38. Liquidity Risk, Price Impacts and the Replication Problem. (2009). ROCH, Alexandre F..
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39. Credit Crises, Risk Management Systems and Liquidity Modelling. (2008). Milne, Frank.
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40. Time Consistent Dynamic Limit Order Books Calibrated on Options. (2008). Bion-Nadal, Jocelyne .
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41. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
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42. A Critique of Revised Basel II. (2007). Jarrow, Robert.
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43. Portfolio Insurance with Liquidity Risk. (2007). .
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44. Modeling liquidity effects in discrete time. (2007). Rogers, Leonard ; Cetin, Umut ; L. C. G. Rogers, .
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45. No arbitrage conditions and liquidity. (2007). Touzi, Nizar ; Astic, Fabian.
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46. Computation of estimates in segmented regression and a liquidity effect model. (2007). Song, Seongjoo ; Gill, Ryan ; Lee, Kiseop.
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47. Queueing Theoretic Approaches to Financial Price Fluctuations. (2007). Horst, Ulrich ; Bayraktar, Erhan ; Sircar, Ronnie.
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48. Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk. (2007). Bion-Nadal, Jocelyne .
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49. Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions. (2007). Frey, Ruediger ; Bordag, Ljudmila A..
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50. Asset Prices and asset Correlations in Illiquid Markets. (2006). Brunetti, Celso.
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