Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model

Article, Preprint English OPEN
Kramkov , Dmitry; Pulido , Sergio;
(2016)
  • Publisher: HAL CCSD
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | JEL : C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C62 - Existence and Stability Conditions of Equilibrium | JEL : G.G1.G12 | stability of quadratic BSDEs | liquidity | [QFIN.PM] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | JEL : D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets | [ QFIN.TR ] Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] | JEL : C.C6.C62 | price impact | multi-dimensional quadratic BSDEs | [MATH.MATH-PR] Mathematics [math]/Probability [math.PR] | [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [QFIN.TR] Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] | asymptotic behavior of quadratic BSDEs | JEL : D.D5.D53

International audience; We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a wa... View more
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