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About the Department |
Financial Mathematics Seminar ·
Dr. Kiseop Lee will speak on Wednesday, May 21, 2008, Abstract: The
liquidity risk is the additional risk due to the timing and size of the
trade. Since the traditional asset pricing theory is based on markets without
this risk, and this does, of course, exist, we need to consider a modified
market including liquidity effect. Based on the theory of Cetin et al (2004), we study an
asymptotically optimal hedging strategies and convergence rate. Also, we
discuss how to estimate the supply curve using the segmented regression and
the constraint least square method. .
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