9 citations · 25 across the 11 of their papers we have counts for
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q-fin.PM2009
Optimal execution of Portfolio transactions with geometric price process
Gerardo Hernandez-del-Valle, Carlos Pacheco-Gonzalez
In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast…
math.PR2009
On the first passage time density of a continuous Martingale over a moving boundary
Gerardo Hernandez-del-Valle
In this paper we derive the density of the first time that a continuous martingale with non-random quadratic variation hits a moving…
math.PR2009
On Schroedinger's equation, 3-dimensional bessel bridges, and passage time problems
Gerardo Hernandez-del-Valle
We obtain explicit solutions for the density of the first-time that a one-dimensional Brownian process reaches the twice, continuously differentiable moving boundary…