5 citations · 28 across the 30 of their papers we have counts for
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math.OC2021
The funds market bank problem
Elena Cristina Canepa, Traian A Pirvu
This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stoc…
q-fin.CP2021
Pricing spread option with liquidity adjustments
Kevin Shuai Zhang, Traian Pirvu
We study the pricing and hedging of European spread options on correlated assets when, in contrast to the standard framework and consistent with imperfect liquidity markets, the tr…