AbstractsPhysics
The feedback effects in illiquid markets, hedging strategies of large traders
| Institution: | Högskolan i Halmstad |
|---|---|
| Department: | |
| Year: | 0 |
| Keywords: | feedback; hedging; traders; illiquid; symmetry; analysis; Lie; algebra; Financial Mathematics; Finansiell matematik; Physics, Chemistry, Mathematics; fysik/kemi/matematik |
| Record ID: | 1332116 |
| Full text PDF: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1636 |
Abstract
The master thesis is devoted to an analysis of equilibrium or reaction-function models in illiquidity markets of derivatives. The main equation is a nonlinear equation which is a perturbation of Black-Scholes model. By using analytical methods we study invariant and scaling properties for the considered model.
