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Thesis

Derivative pricing and optimal execution of portfolio transactions in finitely liquid markets

Abstract:

In real markets, to some degree, every trade will incur a non-zero cost and will influence the price of the asset traded. In situations where a dynamic trading strategy is implemented these liquidity effects can play a significant role. In this thesis we examine two situations in which such trading strategies are inherent to the problem; that of pricing a derivative contingent on the asset and that of executing a large portfolio transaction in the asset. The asset's finite liquidity has been...

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M. D. Mitton More by this author
Publication date:
2007
URN:
uuid:818044b7-08f4-4f82-a7f3-e90b2f794626
Local pid:
oai:eprints.maths.ox.ac.uk:585

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