48 citations · 195 across the 26 of their papers we have counts for
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q-fin.TR2011
Efficiency and Equilibria in Games of Optimal Derivative Design
Ulrich Horst, Santiago Moreno-Bromberg
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a conti…
q-fin.TR2008★ 12 cited
Illiquidity and Derivative Valuation
Ulrich Horst, Felix Naujokat
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical frame…