Hedging and portfolio optimization in financial markets with a large trader

Mathematical Finance

Volumn 14, Issue 1, 2004, Pages 1-18

  Bank, Peter ^a   Baum, Dietmar ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b Bank of America House   (United Kingdom)

Author keywords

Feedback effect; It Wentzell formula; Large investor; Parameter dependent semimartingales; Uniform approximation of stochastic integrals

Indexed keywords

EID: 1042279214     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00179.x     Document Type: Article

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