output
20012025
most citedAnalysis of Fourier transform valuation formulas and applications

170 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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q-fin.TR2012

Portfolio liquidation in dark pools in continuous time

Peter Kratz, Torsten Schöneborn

We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional ex…