Results 1 - 10
of
13
Optimal execution and block trade pricing: a general framework
, 2014
"... Abstract In this article, we develop a general CARA framework to study optimal execution and to price block trades. We prove existence and regularity results for optimal liquidation strategies and we provide several differential characterizations. We also give two different proofs that the usual re ..."
Abstract
-
Cited by 8 (4 self)
- Add to MetaCart
(Show Context)
Abstract In this article, we develop a general CARA framework to study optimal execution and to price block trades. We prove existence and regularity results for optimal liquidation strategies and we provide several differential characterizations. We also give two different proofs that the usual restriction to deterministic liquidation strategies is optimal. In addition, we focus on the important topic of block trade pricing and we therefore give a price to financial (il)liquidity. In particular, we provide a closed-form formula for the price a block trade when there is no time constraint to liquidate, and a differential characterization in the time-constrained case. Numerical methods are eventually discussed.
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
, 2013
"... ar ..."
(Show Context)
A constrained control problem with degenerate coefficients and associated backward SPDEs with singular terminal condition
, 2014
"... ..."
(Show Context)
Studies on optimal trade execution
, 2015
"... This dissertation deals with the question of how to optimally execute orders for fi-nancial assets that are subject to transaction costs. We study the problem in a discrete–time model where the asset price processes of interest are subject to stochas-tic volatility and liquidity. First, we consider ..."
Abstract
- Add to MetaCart
This dissertation deals with the question of how to optimally execute orders for fi-nancial assets that are subject to transaction costs. We study the problem in a discrete–time model where the asset price processes of interest are subject to stochas-tic volatility and liquidity. First, we consider the case for the execution of a single asset. We find predictable strategies that minimize the expectation, mean–variance and expected exponential of the implementation cost. Second, we extend the single asset case to incorporate a dark pool where the orders can be crossed at the mid-price depending on the liquidity available. The orders submitted to the dark pool face execution uncertainty and are assumed to be subject to adverse selection risk. We find strategies that minimize the expectation and the expected exponential of the implementation shortfall and show that one can incur less costs by also making use of the dark pool. Next chapter studies a multi asset setting in the presence of a dark pool. We
