no code implementations • 18 Jul 2023 • Peter Bank, Christian Bayer, Peter K. Friz, Luca Pelizzari
In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models.
no code implementations • 1 Jun 2023 • Peter Bank, Álvaro Cartea, Laura Körber
The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity process which reflects the balance of the demand and supply of liquidity.
no code implementations • 21 Feb 2023 • Peter Bank, Yan Dolinsky
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations.
no code implementations • 9 Aug 2021 • Peter Bank, Yan Dolinsky, Miklós Rásonyi
In this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transaction costs.
no code implementations • 29 Aug 2018 • Peter Bank, Yan Dolinsky
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an exponential rate.
no code implementations • 22 Jul 2018 • Peter Bank, Ibrahim Ekren, Johannes Muhle-Karbe
We study a continuous-time version of the intermediation model of Grossman and Miller (1988).
