The feedback effects in illiquid markets, hedging strategies of large traders

by Nadezda Sergeeva

Institution: Högskolan i Halmstad
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


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.