3 papers
q-fin.TR2023
Unwinding Stochastic Order Flow: When to Warehouse Trades
Marcel Nutz, Kevin Webster, Long Zhao
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that agg…
q-fin.MF2022
Limits of Semistatic Trading Strategies
Marcel Nutz, Johannes Wiesel, Long Zhao
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period mod…
q-fin.MF2022
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
Marcel Nutz, Johannes Wiesel, Long Zhao
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schrödinger bridge Q*…