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The Price Impact of Order Book Events.
- Published in:
- Journal of Financial Econometrics, 2014, v. 12, n. 1, p. 47, doi. 10.1093/jjfinec/nbt003
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- Publication type:
- Article
DYNAMIC ASSET ALLOCATION AND CONSUMPTION CHOICE IN INCOMPLETE MARKETS.
- Published in:
- Australian Economic Papers, 2005, v. 44, n. 4, p. 414, doi. 10.1111/j.1467-8454.2005.00269.x
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- Article
PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER.
- Published in:
- International Journal of Theoretical & Applied Finance, 2006, v. 9, n. 8, p. 1245, doi. 10.1142/S0219024906004049
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- Publication type:
- Article
Option market making under inventory risk.
- Published in:
- Review of Derivatives Research, 2009, v. 12, n. 1, p. 55, doi. 10.1007/s11147-009-9036-3
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- Publication type:
- Article
A Stochastic Model for Order Book Dynamics.
- Published in:
- Operations Research, 2010, v. 58, n. 3, p. 549, doi. 10.1287/opre.1090.0780
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- Article