Seminar on Probability and Statistics
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Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
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2018/11/09
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
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).
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).