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q-fin.PR2010
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…
q-fin.GN2010
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…