Read without ads and support Scribd by becoming a Scribd Premium Reader.

See Premium Plans

Language:

Download

Go BackAdd Note

Link

Embed

Save

You're Reading a Free Preview
Pages 5 to 72 are not shown in this preview.

Buy the Full Version

You're Reading a Free Preview
Pages 77 to 163 are not shown in this preview.

Buy the Full Version

You're Reading a Free Preview
Pages 168 to 189 are not shown in this preview.

Buy the Full Version

You're Reading a Free Preview
Pages 194 to 204 are not shown in this preview.

Buy the Full Version

You're Reading a Free Preview
Pages 209 to 234 are not shown in this preview.

Buy the Full Version

Searching...

Result 00 of 00

00 results for result for

Kris Glover Analyzing PDEs

Download or Print

Add To Collection

728

Reads

Readcasts

Embed Views

Published by

Sergey Melekhin

TIP Press Ctrl-F⌘F to search anywhere in the document.

Read without ads and support Scribd by becoming a Scribd Premium Reader.

See Premium Plans

Get Scribd Mobile

To get Scribd mobile enter your number and we'll send you a link to the Scribd app for iPhone & Android.We've sent a link to the Scribd app. If you didn't receive it, try again.

Text me

We'll never share your phone number.

Sections

Declaration
Copyright Statement
Acknowledgements
Dedication
Introduction
1.1 Evidence of increased interest in liquidity
1.2 A brief history
1.3 Derivative pricing
1.3.1 European options
1.3.2 Arbitrage pricing
1.3.3 The Feynman-Kac representation theorem
1.3.4 From Feynman-Kac to Black-Scholes
1.3.5 American options
1.3.6 Optimal stopping problems
1.3.7 Free-boundary problems
1.4 Supply and demand economics
1.5 Liquidity
1.5.1 Deﬁning liquidity
1.5.2 Measuring liquidity
1.6 Price formation
1.7 Option pricing in illiquid markets: a literature
1.8 Introduction to perturbation methods
1.9 Layout of the thesis
The Modelling Framework
2.1 Technical asides
2.1.1 Markovian processes
2.1.2 Applicability of Itˆo’s formula
2.2 Alternative models
2.2.1 Transaction-cost models
2.2.2 Reaction-function (equilibrium) models
2.2.3 Reduced-form SDE models
2.3 A uniﬁed framework
2.3.1 Cetin et al. (2004)
2.3.2 Platen and Schweizer (1998)
2.3.3 Mancino and Ogawa (2003)
2.3.4 Lyukov (2004)
2.3.5 Sircar and Papanicolaou (1998)
First-order Feedback Model
3.1 Analysis close to expiry: European options
3.2 Analysis close to expiry: American put op-
3.3 The vanishing of the denominator
Full-feedback Model
4.1 Put-call parity
4.2 A solution by inspection
4.3 Similarity solutions
4.4 Perturbation expansions
4.5 Numerical solutions
4.6 Analysis close to expiry
4.7 Numerical results - full problem
numerical scheme
4.7.1 A second solution regime
and τ = 0.01
5.1 Local analysis about the singularities
5.1.1 Asymptotic matching
5.1.2 Properties of the inner solution
5.1.3 Introduction to phase-plane analysis
5.1.4 Deriving an autonomous system
5.1.5 Behaviour of the ﬁxed points
5.1.6 Structure of the phase portrait
5.1.7 Other ﬁxed points
Perpetual Options
6.1 Analytic solutions and perturbation methods
Other Models
7.1 Frey (1998, 2000)
7.2 Frey and Patie (2002)
7.3 Sircar and Papanicolaou (1998)
7.4 Bakstein and Howison (2003)
7.4.1 Non-smooth solutions to the Bakstein and Howison
7.4.2 New non-smooth solutions to the Black-Scholes equa-
7.5 Liu and Yong (2005)
7.5.1 Vanishing of the denominator
7.6 Jonsson and Keppo (2002)
7.6.1 Connections with the other modelling frameworks
8.1 Linear price impact
8.2 Nonlinear price impact
8.3 A new nonlinear price impact model
The British Option
9.1 Introduction
9.2 The no-arbitrage price
9.2.1 The gain function
9.3 Numerical treatment
9.4 Free boundary analysis far from expiry
9.5 Analysis close to expiry
9.6 Financial analysis of the British put option
9.7 The British call option
9.7.1 Analysis far from expiry
9.7.2 Analysis close to expiry
9.8 Integral representations of the free boundary
9.8.1 The American put option
9.8.2 The British put option
Conclusions
Maximum Principles
A.1 Nonlinear equations
A.2 Uniqueness of PDEs
A.2.1 The linear Black-Scholes equation
A.2.2 The nonlinear (illiquid) Black-Scholes equation
A.3 Monotonicity in λ
The Probability Density Function

Info and Rating

Category:	Uncategorized.
Rating:
Upload Date:	04/15/2012
Copyright:	Attribution Non-commercial
Tags:	No tags

Ebook download as PDF File (.pdf), Text file (.txt) or read book online.

Flag for inappropriate content

Download and print this document

Read offline in your PDF viewer
Edit this document in Adobe Acrobat, Notepad
Keep a copy in case this version is deleted from Scribd
Read and print without ads
Email the file

Choose a format to download in

Download

Read without ads and support Scribd by becoming a Scribd Premium Reader.

See Premium Plans

Kris Glover Analyzing PDEs

Get Scribd Mobile

Sections

Info and Rating

Download and print this document

Choose a format to download in

Recommended

Recommended

More From This User

Kris Glover Analyzing PDEs

Get Scribd Mobile

Sections

Info and Rating

Download and print this document

Choose a format to download in

Recommended

Recommended

More From This User

Other login options

Why Sign Up?

Login Successful

Sign Up Successful