42 citations · 105 across the 19 of their papers we have counts for
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q-fin.TR2011★ 6 cited
On a stochastic differential equation arising in a price impact model
Peter Bank, Dmitry Kramkov
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stat…
q-fin.TR2011★ 42 cited
A model for a large investor trading at market indifference prices. II: Continuous-time case
Peter Bank, Dmitry Kramkov
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In thi…
q-fin.TR2011★ 24 cited
A model for a large investor trading at market indifference prices. I: single-period case
Peter Bank, Dmitry Kramkov
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle f…