Seminar series
Date
Fri, 22 Feb 2008
13:15
13:15
Location
DH 1st floor SR
Speaker
Peter Bank
Organisation
Berlin
When liquidating large portfolios of securities one faces a trade off between adverse market impact of sell orders and the impatience to generate proceeds. We present a Black-Scholes model with an impact factor describing the market's distress arising from previous transactions and show how to solve the ensuing optimization problem via classical calculus of variations. (Joint work with Dirk Becherer, Humboldt Universität zu
Berlin)