1 citations · 2 across the 4 of their papers we have counts for
7 papers · 1 filter
Rough PDEs for local stochastic volatility models
Peter Bank, Christian Bayer, Peter K. Friz +1
In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics…
Optimal investment with a noisy signal of future stock prices
Peter Bank, Yan Dolinsky
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporar…
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
Peter Bank, Yan Dolinsky, Miklós Rásonyi
In this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transac…
A Note on Utility Indifference Pricing with Delayed Information
Peter Bank, Yan Dolinsky
We consider the Bachelier model with information delay where investment decisions can be based only on observations from time units before. Utility indifference prices are st…
Scaling Limits for Super--replication with Transient Price Impact
Peter Bank, Yan Dolinsky
We prove a scaling limit theorem for the super-replication cost of options in a Cox--Ross--Rubinstein binomial model with transient price impact. The correct scaling turns out to k…
Optimal investment with transient price impact
Peter Bank, Moritz Voß
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provid…