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The feedback effects in illiquid markets, hedging strategies of large traders
Halmstad University, School of Teacher Education (LUT).
(English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för lärarutbildning (LUT).
Keywords [en]
feedback, hedging, traders, illiquid, symmetry, analysis, Lie, algebra
Identifiers
URN: urn:nbn:se:hh:diva-1636Local ID: 2082/2017OAI: oai:DiVA.org:hh-1636DiVA, id: diva2:238854
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2009-10-26

Open Access in DiVA

fulltext(284 kB)439 downloads
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File name FULLTEXT01.pdfFile size 284 kBChecksum MD5
0c16b6dfd02c934344dc128012f913d492986ec1cd8c90c78fc55003de345f9df0dda2e1d062ef7e580bff1eccf88b1e415cc7dacb241530e0588e65f3b2252c2b9d024bde6f6dae304d6f3c584e87e1
Type fulltextMimetype application/pdf

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • nn-NB
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  • Other locale
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Output format
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