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q-fin.MF2014
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Dmitry Kramkov, Sergio Pulido
We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices…
q-fin.MF2014★ 28 cited
A system of quadratic BSDEs arising in a price impact model
Dmitry Kramkov, Sergio Pulido
We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices…