1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.PR2020★ 1 cited
Inhomogeneous affine Volterra processes
Julia Ackermann, Thomas Kruse, Ludger Overbeck
We extend recent results on affine Volterra processes to the inhomogeneous case. This includes moment bounds of solutions of Volterra equations driven by a Brownian motion with an…
q-fin.TR2020
Optimal trade execution in an order book model with stochastic liquidity parameters
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and res…