Markets with transaction costs

By Yuri M. Kabanov, M. Safarian. 2010

222 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/ef242c81d843dc73136522a136a6ffaa5df862ba

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. T. Li
2. Robert Almgren
3. Ilya S. Molchanov
4. Ignacio Cascos
5. Torsten Schoeneborn
6. Peter Kratz

Citations in the corpus

• MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, background): “3, ρs(X +K) written as a function of X only becomes a centrally symmetric variant of the coherent utility function considered in (Kulikov, 2008, Def. 2.1). It should be noted that the utility function from Kulikov (2008) and risk measures from Hamel et al.”
• Option Hedging with Smooth Market Impact (2016, background): “model is essentially derived as a limit of time-discrete hedging rather than continuoustime Brownian motion [Kabanov and Safarian, 2009].”