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Mathematics and Financial Economics

Issue 1/2016

Content (5 Articles)

Optimal portfolio liquidation with additional information

Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel

Liquidation with self-exciting price impact

Thomas Cayé, Johannes Muhle-Karbe

Positive alphas and a generalized multiple-factor asset pricing model

Robert Jarrow, Philip Protter

An optimal trading problem in intraday electricity markets

René Aïd, Pierre Gruet, Huyên Pham

Cost-efficient contingent claims with market frictions

Mario Ghossoub

Oct 15
Issue: 4/2015
Mar 16
Issue: 2/2016

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