13 citations · 16 across the 8 of their papers we have counts for
3 papers · 1 filter
Trading Cointegrated Assets with Price Impact
Alvaro Cartea, Luhui Gan, Sebastian Jaimungal
Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within…
Foreign Exchange Markets with Last Look
Alvaro Cartea, Sebastian Jaimungal, Jamie Walton
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses…
Technical Uncertainty in Real Options with Learning
Ali Al-Aradi, Alvaro Cartea, Sebastian Jaimungal
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after whic…