12 citations · 56 across the 11 of their papers we have counts for
11 papers
Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset
Ljudmila A. Bordag
We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a pres…
Optimization problem for a portfolio with an illiquid asset: Lie group analysis
Ljudmila A. Bordag, Ivan P. Yamshchikov
Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an o…
Portfolio optimization in the case of an asset with a given liquidation time distribution
Ljudmila A. Bordag, Ivan P. Yamshchikov, Dmitry Zhelezov
Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller…
Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
Ljudmila A. Bordag, Anna Mikaelyan
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model…
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Ljudmila A. Bordag
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We…
Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
Ljudmila A. Bordag
Families of exact solutions are found to a nonlinear modification of the Black-Scholes equation. This risk-adjusted pricing methodology model (RAPM) incorporates both transaction c…