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統計数学セミナー
過去の記録 ～04/19｜次回の予定｜今後の予定 04/20～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2018年11月09日(金)
11:00-12:00 数理科学研究科棟(駒場) 123号室
Frédéric Abergel 氏 (CentraleSupélec)
Market impact and option hedging in the presence of liquidity costs
Frédéric Abergel 氏 (CentraleSupélec)
Market impact and option hedging in the presence of liquidity costs
[ 講演概要 ]
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).
