42 citations · 105 across the 19 of their papers we have counts for
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q-fin.MF2023
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…
q-fin.TR2023
Optimal execution and speculation with trade signals
Peter Bank, Álvaro Cartea, Laura Körber
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of lim…
q-fin.MF2023★ 1 cited
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…