Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model

We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We s...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	SIAM journal on financial mathematics 2016-01, Vol.7 (1), p.567-587
Hauptverfasser:	Kramkov, Dmitry, Pulido, Sergio
Format:	Artikel
Sprache:	eng
Schlagworte:	Computational Finance Mathematics Portfolio Management Probability Quantitative Finance Trading and Market Microstructure
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!