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q-fin.PR2019
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…
math.PR2019
Global solutions to the supercooled Stefan problem with blow-ups: regularity and uniqueness
Francois Delarue, Sergey Nadtochiy, Mykhaylo Shkolnikov
We consider the supercooled Stefan problem, which captures the freezing of a supercooled liquid, in one space dimension. A probabilistic reformulation of the problem allows to defi…