Wednesday, November 20, 2019 - 14:00 in V3-201
Hedging under permanent market impacts
A talk in the !!! CANCELLED !!! series by
Mitja Stadje from University of Ulm
| Abstract: |
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. In contrast to the standard framework of financial engineering, a trader is no more price taker as any trade has a permanent market impact via an effect to the supplier’s inventory. The P&L of a trading strategy is written as a nonlinear stochastic integral. We consider some stochastic optimal control problems and give connections to several branches of stochastic analysis.
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