Seminar on Probability and Statistics

Seminar information archive ~06/09Next seminarFuture seminars 06/10~

Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike


11:00-12:00   Room #123 (Graduate School of Math. Sci. Bldg.)
Frédéric Abergel (CentraleSupélec)
Market impact and option hedging in the presence of liquidity costs

[ Abstract ]
The phenomenon of market (or: price) impact is well-known among practicioners, and it has long been recognized as a key feature of trading in electronic markets. In the first part of this talk, I will present some new, recent results on market impact, especially for limit orders. I will then propose a theory for option hedging in the presence of liquidity costs.(Based on joint works with E. Saïd, G. Loeper).