3 citations · 8 across the 15 of their papers we have counts for
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q-fin.MF2022
Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return
Felix Dammann, Giorgio Ferrari
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at…
q-fin.MF2021
On an Irreversible Investment Problem with Two-Factor Uncertainty
Felix Dammann, Giorgio Ferrari
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant c…
q-fin.MF2018
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Giorgio Ferrari, Patrick Schuhmann
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian…