22 citations · 60 across the 23 of their papers we have counts for
4 papers · 1 filter
Optimal trade execution and price manipulation in order books with time-varying liquidity
Antje Fruth, Torsten Schoeneborn, Mikhail Urusov
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent…
Convergence of Integral Functionals of One-Dimensional Diffusions
Aleksandar Mijatović, Mikhail Urusov
In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any , where is (a possibly infinite) exit time of…
A note on a paper by Wong and Heyde
Aleksandar Mijatović, Mikhail Urusov
In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-66…
A Note on Delta Hedging in Markets with Jumps
Aleksandar Mijatović, Mikhail Urusov
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This str…