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20132023
most citedA convolution method for numerical solution of backward stochastic differential equations

9 citations · 25 across the 9 of their papers we have counts for

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Showing 2016Show all

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q-fin.TR2016

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Caroline Hillairet, Cody Hyndman, Ying Jiao +1

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…