49 citations · 101 across the 16 of their papers we have counts for
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q-fin.TR2012★ 1 cited
Optimal multifactor trading under proportional transaction costs
Richard J. Martin
Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solutio…
q-fin.PR2012★ 3 cited
A CDS Option Miscellany
Richard J Martin
CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of differen…