Hedging and Portfolio Optimization in Financial Markets with a Large Trader

By Peter Bank, D. Baum. 2004

236 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/5fcf1e28cbaaa5e8c9228a0f432018200a85cedc

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Citations in the corpus

Optimal execution strategies in limit order books with general shape functions (2007, methodology): “Also the market impact models described in Bank and Baum [7], Cetin et al. [13], Frey [14], and Frey and Patie [15] fall into that category.”
Dual Formulation of Second Order Target Problems (2010, background): “As in Bank and Baum [1], we first prove that, for any F-stopping time τ and any X̃τ , Z̃τ ∈ L2(P̃, Fτ ), there exists a process Z ∈ H2(P̃,Rd) such that Z τ = Z̃τ , Z is absolutely continuous in t with finite variation on [τ,1], and”
THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010, background): “Models which feature illiquidity costs include Bank and Baum (2004) and Cetin, Jarrow, and Protter (2004).”
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (2012, background): “We will see later that one can possibly enlarge, but not so much ! The fundamental reason behind this can be understood from the following result due to Bank and Baum [1], and restated here in the case of the Brownian motion: Lemma 8.”
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “Finally, we should recall passport options, see for example Henderson and Hobson (2000) or Shereve and Vec̆er (2000), and investment problems for a large investor, see for example Buckdahn and Hu (1998) and Bank and Baum (2004), to underline the difference of our approach.”
MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (2007, unknown): “Recently, Bank and Baum [1] extended Jarrow’s result to continuous time using tools from Kunita’s non-linear integral.”
Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012, background): “One important argument was the Bank-Baum approximation in [1], which unfortunately does not seem to be extendable to the fully nonlinear case.”
The multi-dimensional super-replication problem under gamma constraints (2005, methodology): “We are grateful to Peter Bank for pointing out the approximation results of [1] and [13].”