2 citations · 3 across the 11 of their papers we have counts for
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q-fin.TR2015★ 1 cited
On Optimal Pricing Model for Multiple Dealers in a Competitive Market
Wai-Ki Ching, Jia-Wen Gu, Qing-Qing Yang +1
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive…
q-fin.TR2015
Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion
Jia-Wen Gu, Mogens Steffensen
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We gi…