具有风险厌恶型知情交易者的多维凯尔-巴克模型

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-14 DOI:10.1137/21m1457059

Shreya Bose, Ibrahim Ekren

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 15 卷第 1 期，第 93-120 页，2024 年 3 月。摘要。我们研究了具有风险厌恶型知情交易者的连续时间 Kyle-Back 模型。我们证明，在一个具有多种资产和非高斯价格的市场中，均衡是存在的。该均衡是通过考虑一个福克-普朗克方程和一个偏微分方程系构建的，该方程系与到期时的最优运输类型约束相耦合。

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Multidimensional Kyle–Back Model with a Risk Averse Informed Trader

SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page 93-120, March 2024.
Abstract. We study the continuous time Kyle–Back model with a risk averse informed trader. We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker–Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.