Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Di Graziano, Giuseppe"'
Autor:
Brigo, Damiano, Di Graziano, Giuseppe
We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new criterion called
Externí odkaz:
http://arxiv.org/abs/1304.2942
Autor:
Di Graziano, Giuseppe1 (AUTHOR), Rogers, L. C. G.2 (AUTHOR) l.c.g.rogers@statslab.cam.ac.uk
Publikováno v:
Quantitative Finance. Feb2009, Vol. 9 Issue 1, p19-26. 8p. 6 Charts, 1 Graph.
Autor:
DI GRAZIANO, GIUSEPPE1,2 giuseppe.di-graziano@db.com, TORRICELLI, LORENZO3 lorenzo.torricelli.11@ucl.ac.uk
Publikováno v:
International Journal of Theoretical & Applied Finance. Feb2012, Vol. 15 Issue 1, p1250005-1-1250005-17. 17p. 4 Charts.
Autor:
DI GRAZIANO, GIUSEPPE1 giuseppe.di-graziano@db.com, ROGERS, L. C. G.2 L.C.G.Rogers@statslab.cam.ac.uk
Publikováno v:
International Journal of Theoretical & Applied Finance. Feb2009, Vol. 12 Issue 1, p45-62. 18p. 9 Charts, 3 Graphs.
Autor:
Brigo, Damiano, Di Graziano, Giuseppe
Publikováno v:
Journal of Financial Engineering; Jun2014, Vol. 1 Issue 2, p-1, 17p
Publikováno v:
Blätter / Deutsche Gesellschaft für Versicherungsmathematik; Apr2009, Vol. 30 Issue 1, p15-29, 15p