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

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Kramkov, Dmitry ; Pulido, Sergio (2016)
  • Publisher: HAL CCSD
  • Subject: multi-dimensional quadratic BSDEs | stability of quadratic BSDEs | asymptotic behavior of quadratic BSDEs | liquidity | price impact | JEL : D.D5.D53 | JEL : G.G1.G12 | JEL : C.C6.C62 | [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [MATH.MATH-PR] Mathematics [math]/Probability [math.PR] | [QFIN.PM] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [QFIN.TR] Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR]

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 way that it is optimal to ... View more
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