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Mathematics and Financial Economics

Ausgabe 3/2016

Inhalt (5 Artikel)

Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis

Aimé Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle, Pierre-Louis Lions

The geometry of relative arbitrage

Soumik Pal, Ting-Kam Leonard Wong

Radner equilibrium in incomplete Lévy models

Kasper Larsen, Tanawit Sae-Sue

Incorporating order-flow into optimal execution

Álvaro Cartea, Sebastian Jaimungal