1 citations · 1 across the 4 of their papers we have counts for
4 papers
A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
David German, Henry Schellhorn
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage…
Pricing in an equilibrium based model for a large investor
David German
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker…
Overview of utility-based valuation
David German
We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing b…
Hedging in an equilibrium-based model for a large investor
David German
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker…