2019/05/08 by René Carmona, Carmona, Rene, Kevin Webster +1
Economics, Econometrics and Finance · #2010: 91G99 #91G20 #91G80 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.1905.04137
openalex publication_date 2019/05/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually considered in more traditional models in financial mathematics. They include hedging European options with limit orders and the optimal behavior of market makers.