3 papers
q-fin.TR2019
Mechanics of good trade execution in the framework of linear temporary market impact
Claudio Bellani, Damiano Brigo
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execu…
q-fin.TR2018
Static vs Adaptive Strategies for Optimal Execution with Signals
Claudio Bellani, Damiano Brigo, Alex Done +1
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive sign…
q-fin.MF2018
Option pricing models without probability: a rough paths approach
John Armstrong, Claudio Bellani, Damiano Brigo +1
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price traje…