401-3910-13L Illiquid Markets
Semester | Spring Semester 2013 |
Lecturers | J. Muhle-Karbe |
Periodicity | non-recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | ||||
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401-3910-13 S | Illiquid Markets The seminar is fully booked. | 2 hrs |
| J. Muhle-Karbe |
Catalogue data
Abstract | Classical financial theory is built on "perfectly liquid" markets, where orders of arbitrary size can be executed at the market price. This is a sensible for small investors. For large traders, however, the price impact caused by their orders constitutes a major risk factor. In this seminar, we will look a various price impact models, and discuss how optimal trading strategies should be adjusted. |
Objective | a) Learn to work through a research article and present it in a scientific talk. b) Digest the underlying mathematics. c) Develop the corresponding economic intuition. |
Content | Overview over recent developments in: a) price impact modeling b) stochastic optimization problems for large traders, such as unwinding a large position, portfolio rebalancing, or option hedging |
Lecture notes | Not available. The seminar will be based on original research articles. |
Literature | Topics will be assigned taking into account the participants' interests and prerequisites. Some references include: Obizhaeva and Wang (2005). Optimal trading strategy and supply/demand dynamics. Available online at Link Almgren and Chriss (2000). Optimal execution of portfolio transactions. Available online at Link Schied and Schöneborn (2009). Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Available online at Link Collin-Dufresne, Daniel, Moallemi, and Saglam (2012). Strategic asset allocation in the presence of transaction costs. Available online at Link |
Prerequisites / Notice | Strongly recommended: Foundations for Mathematical Finance, solid knowledge of Ito calculus. The seminar will be run jointly by Johannes Muhle-Karbe and Ludovic Moreau. We welcome early registration (email to Link). |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 4 credits |
Examiners | J. Muhle-Karbe |
Type | ungraded semester performance |
Language of examination | English |
Repetition | Repetition only possible after re-enrolling for the course unit. |
Learning materials
No public learning materials available. | |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |
Offered in
Programme | Section | Type | |
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Mathematics Master | Seminars | W |