Constrained portfolio liquidation in a limit order book model


Alfonsi, Aurélien ; Fruth, Antje ; Schied, Alexander


Document Type: Article
Year of publication: 2008
The title of a journal, publication series: Banach Center Publications
Volume: 83
Page range: 9-25
Place of publication: Warszawa
Publishing house: PWN
ISSN: 0137-6934
Publication language: English
Institution: School of Business Informatics and Mathematics > Wirtschaftsmathematik I (Schied)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Alfonsi, Aurélien ; Fruth, Antje ; Schied, Alexander (2008) Constrained portfolio liquidation in a limit order book model. Banach Center Publications Warszawa 83 9-25 [Article]


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