3 papers
q-fin.TR2020
Insider Trading with Temporary Price Impact
Weston Barger, Ryan Donnelly
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with…
q-fin.TR2018
Optimal liquidation under stochastic price impact
Weston Barger, Matthew Lorig
We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlat…
q-fin.MF2016
Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
Weston Barger, Matthew Lorig
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series…