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Journal article

A system of quadratic BSDEs arising in a price impact model

Abstract:: We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded demand if and only if the market maker’s risk-aversion is sufficiently small. The uniqueness is established in the natural class of solutions, without any additional norm restrictions. To the best...
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Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Kramkov, D., & Pulido, S. (2016). A system of quadratic BSDEs arising in a price impact model. Annals of Applied Probability, 26(2), 794–817.

MLA Style

Kramkov, D., and S. Pulido. “A System of Quadratic BSDEs Arising in a Price Impact Model.” Annals of Applied Probability, vol. 26, no. 2, Institute of Mathematical Statistics, 2016, pp. 794–817.

Chicago Style

Kramkov, D, and S Pulido. 2016. “A System of Quadratic BSDEs Arising in a Price Impact Model.” Annals of Applied Probability 26 (2): 794–817.
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Files:: 2016_AAP.pdf

(Version of record, pdf, 208.1KB)

Publisher copy:: 10.1214/15-AAP1103

Authors

+ Kramkov, D More by this author

Institution:

University of Oxford

Division:

MPLS

Department:

Mathematical Institute

Role:

Author

+ Pulido, S More by this author

Role:

Author

Bibliographic Details

Publisher:: Institute of Mathematical Statistics Publisher's website
Journal:: Annals of Applied Probability Journal website
Volume:: 26
Issue:: 2
Pages:: 794-817
Publication date:: 2016-03-22
DOI:: 10.1214/15-AAP1103
ISSN:: 1050-5164

Item Description

Keywords:: SBTMR
Pubs id:: pubs:479987
UUID:: uuid:ce71cc9c-45d4-4620-a225-c2d098d0f730
Local pid:: pubs:479987
Source identifiers:: 479987
Deposit date:: 2017-01-20

Terms of use

Copyright holder:: Institute of Mathematical Statistics
Copyright date:: 2016
Notes:: © Institute of Mathematical Statistics, 2016

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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