英文标题：
《Perfect hedging under endogenous permanent market impacts》
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作者：
Masaaki Fukasawa and Mitja Stadje
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最新提交年份：
2017
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英文摘要：
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the standard framework of financial engineering, a trader is no more price taker as any trade has a permanent market impact via an effect to the supplier\'s inventory. The P&L of a trading strategy is written as a nonlinear stochastic integral. Under this market impact model, we introduce a completeness condition under which any derivative can be perfectly replicated by a dynamic trading strategy. In the special case of a Markovian setting the corresponding pricing and hedging can be done by solving a semi-linear PDE.
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中文摘要：
我们将市场中报价的非线性价格曲线建模为代表性流动性供应商的效用无差异曲线。作为效用函数，我们采用g-期望。与金融工程的标准框架不同，交易员不再是价格接受者，因为任何交易都会通过对供应商库存的影响而对市场产生永久影响。交易策略的损益被写成非线性随机积分。在此市场影响模型下，我们引入了一个完备性条件，在此条件下，任何衍生工具都可以通过动态交易策略完全复制。在马尔可夫设定的特殊情况下，可以通过求解半线性偏微分方程来进行相应的定价和套期保值。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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