Risk Management for Derivatives in Illiquid Markets: A Simulation Study

Rüdiger Frey, Pierre Patie

Publication: Chapter in book/Conference proceedingChapter in edited volume

Abstract

In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
Original languageEnglish
Title of host publicationAdvances in Finance and Stochastics
Editors Sandmann, Klaus; Schönbucher, Philip J. (Eds.)
Place of PublicationBerlin
PublisherSpringer
Pages137 - 160
Publication statusPublished - 1 May 2002

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