1 citations · 2 across the 3 of their papers we have counts for
9 papers
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features…
Stefan problem with surface tension: global existence of physical solutions under radial symmetry
Sergey Nadtochiy, Mykhaylo Shkolnikov
We consider the Stefan problem with surface tension, also known as the Stefan-Gibbs-Thomson problem, in an ambient space of arbitrary dimension. Assuming the radial symmetry of the…
Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem
Sergey Nadtochiy, Mykhaylo Shkolnikov, Xiling Zhang
We consider (a variant of) the external multi-particle diffusion-limited aggregation (MDLA) process of Rosenstock and Marquardt on the plane. Based on the recent findings of [11],…
Reflected BSDEs in non-convex domains
Jean-François Chassagneux, Sergey Nadtochiy, Adrien Richou
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped propert…
A simple microstructural explanation of the concavity of price impact
Sergey Nadtochiy
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is mad…
Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
Ibrahim Ekren, Sergey Nadtochiy
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical cha…