On the public citation graph

Perfect hedging under endogenous permanent market impacts

https://doi.org/10.1007/s00780-017-0352-4

0 signed · 62 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.

Claim with ORCID

Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.

See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/0471725250openalex-snapshot

Robust Statistics

inferredcites →https://doi.org/10.1002/cpa.3160030302openalex-snapshot

The partial differential equation u t + uu x = μ xx

inferredcites →https://doi.org/10.1002/wilm.10537openalex-snapshot

The Square-Root Impace Law Also Holds for Option Markets

inferredcites →https://doi.org/10.1007/978-1-84628-696-4_13openalex-snapshot

Brownian Motion and Stochastic Calculus

inferredcites →https://doi.org/10.1007/978-3-540-35513-7_17openalex-snapshot

The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures

inferredcites →https://doi.org/10.1007/bfb0082920openalex-snapshot

Partial Differential Equations

inferredcites →https://doi.org/10.1007/s00440-006-0497-0openalex-snapshot

BSDE with quadratic growth and unbounded terminal value

inferredcites →https://doi.org/10.1007/s00440-007-0093-yopenalex-snapshot

Quadratic BSDEs with convex generators and unbounded terminal conditions

inferredcites →https://doi.org/10.1007/s004400100172openalex-snapshot

Filtration-consistent nonlinear expectations and related g-expectations

inferredcites →https://doi.org/10.1007/s00780-004-0123-xopenalex-snapshot

Liquidity risk and arbitrage pricing theory

inferredcites →https://doi.org/10.1007/s00780-005-0152-0openalex-snapshot

Inf-convolution of risk measures and optimal risk transfer

inferredcites →https://doi.org/10.1007/s00780-005-0159-6openalex-snapshot

Conditional and dynamic convex risk measures

inferredcites →https://doi.org/10.1007/s00780-006-0017-1openalex-snapshot

Coherent and convex monetary risk measures for unbounded càdlàg processes

inferredcites →https://doi.org/10.1007/s00780-009-0119-7openalex-snapshot

Representation of the penalty term of dynamic concave utilities

inferredcites →https://doi.org/10.1007/s00780-013-0215-6openalex-snapshot

Efficient discretization of stochastic integrals

inferredcites →https://doi.org/10.1007/s00780-015-0258-yopenalex-snapshot

A model for a large investor trading at market indifference prices. I: Single-period case

inferredcites →https://doi.org/10.1007/s007800050035openalex-snapshot

Perfect option hedging for a large trader

inferredcites →https://doi.org/10.1007/s10679-006-8279-1openalex-snapshot

Towards a General Theory of Good-Deal Bounds

inferredcites →https://doi.org/10.1007/s11579-009-0019-9openalex-snapshot

Representation results for law invariant time consistent functions

inferredcites →https://doi.org/10.1007/s11579-010-0022-1openalex-snapshot

On securitization, market completion and equilibrium risk transfer

inferredcites →https://doi.org/10.1007/s11579-013-0097-6openalex-snapshot

Acceptability indexes via $$g$$ -expectations: an application to liquidity risk

inferredcites →https://doi.org/10.1016/0304-405x(76)90006-4openalex-snapshot

Market microstructure

inferredcites →https://doi.org/10.1016/0304-405x(80)90020-3openalex-snapshot

Dealership market

inferredcites →https://doi.org/10.1016/0304-405x(81)90020-9openalex-snapshot

Optimal dealer pricing under transactions and return uncertainty

inferredcites →https://doi.org/10.1016/0304-405x(85)90044-3openalex-snapshot

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

inferredcites →https://doi.org/10.1016/0304-4068(89)90018-9openalex-snapshot

Maxmin expected utility with non-unique prior

inferredcites →https://doi.org/10.1016/j.jet.2011.05.006openalex-snapshot

Uncertainty averse preferences

inferredcites →https://doi.org/10.1016/j.spa.2004.03.004openalex-snapshot

Dynamic coherent risk measures

inferredcites →https://doi.org/10.1016/j.spa.2007.10.002openalex-snapshot

Representation theorems for quadratic F -consistent nonlinear expectations

inferredcites →https://doi.org/10.1017/cbo9781139151184.030openalex-snapshot

Dynamical Models of Market Impact and Algorithms for Order Execution

inferredcites →https://doi.org/10.1080/17442509808834149openalex-snapshot

Existence for BSDE with superlinear–quadratic coefficient

inferredcites →https://doi.org/10.1086/262112openalex-snapshot

Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets

inferredcites →https://doi.org/10.1086/296472openalex-snapshot

Portfolio Insurance and Financial Market Equilibrium

inferredcites →https://doi.org/10.1093/rfs/hhn081openalex-snapshot

New Measures for Performance Evaluation

inferredcites →https://doi.org/10.1111/1467-9965.00036openalex-snapshot

Market Volatility and Feedback Effects from Dynamic Hedging

inferredcites →https://doi.org/10.1111/j.0960-1627.2004.00179.xopenalex-snapshot

Hedging and Portfolio Optimization in Financial Markets with a Large Trader

inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00317.xopenalex-snapshot

DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00716.xopenalex-snapshot

Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

inferredcites →https://doi.org/10.1111/mafi.12020openalex-snapshot

CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

inferredcites →https://doi.org/10.1111/mafi.12102openalex-snapshot

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

inferredcites →https://doi.org/10.1142/9789812819222_0008openalex-snapshot

Liquidity risk and arbitrage pricing theory

inferredcites →https://doi.org/10.1142/s0219024910006157openalex-snapshot

MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE

inferredcites →https://doi.org/10.1201/9780203489659openalex-snapshot

Handbook of Nonlinear Partial Differential Equations

inferredcites →https://doi.org/10.1214/105051607000000294openalex-snapshot

Convexity, translation invariance and subadditivity for g-expectations and related risk measures

inferredcites →https://doi.org/10.1214/14-aap1059openalex-snapshot

A model for a large investor trading at market indifference prices. II: Continuous-time case

inferredcites →https://doi.org/10.1214/aoap/1034968136openalex-snapshot

Hedging options for a large investor and forward-backward SDE's

inferredcites →https://doi.org/10.1214/aoms/1177730030openalex-snapshot

Statistical Decision Functions

inferredcites →https://doi.org/10.1214/aop/1019160253openalex-snapshot

Backward stochastic differential equations and partial differential equations with quadratic growth

inferredcites →https://doi.org/10.1214/ejp.v12-462openalex-snapshot

Classical and Variational Differentiability of BSDEs with Quadratic Growth

inferredcites →https://doi.org/10.1287/moor.1060.0204openalex-snapshot

Conditional Risk Mappings

inferredcites →https://doi.org/10.1287/moor.2017.0899openalex-snapshot

Optimal Stopping Under Uncertainty in Drift and Jump Intensity

inferredcites →https://doi.org/10.21314/jor.2001.041openalex-snapshot

Optimal execution of portfolio transactions

inferredcites →https://doi.org/10.22004/ag.econ.275405openalex-snapshot

Maxmin Expected Utility with a Non-Unique Prior

inferredcites →https://doi.org/10.2307/2289894openalex-snapshot

Brownian Motion and Stochastic Calculus.

inferredcites →https://doi.org/10.2307/2330686openalex-snapshot

The Microeconomics of Market Making

inferredcites →https://doi.org/10.2307/2669903openalex-snapshot

Stochastic Flows and Stochastic Differential Equations

inferredcites →https://doi.org/10.3386/w5489openalex-snapshot

Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets

inferredcites →https://doi.org/10.48550/arxiv.1305.0413openalex-snapshot

Permanent market impact can be nonlinear

inferredcites →https://doi.org/10.5860/choice.46-1005openalex-snapshot

A demon of our own design: markets, hedge funds, and the perils of financial innovation

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3297530openalex-extracted

inferred← citeshttps://doi.org/10.1111/mafi.12282openalex-snapshot

Optimal Investment, Derivative Demand and Arbitrage Under Price Impact

inferred← citeshttps://doi.org/10.1287/moor.2023.0376openalex-snapshot

Utility Maximization Under Endogenous Pricing

Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.