public class EnhancedEulerScheme
extends java.lang.Object
EnhancedEulerScheme demonstrates the Enhancement used by Almgren (2009, 2012) to deal with Time Evolution
under Singular Initial Conditions. The References are:
- Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3
(2) 5-39.
- Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf.
- Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility, SIAM Journal of
Financial Mathematics 3 (1) 163-181.
- Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes, Mathematical Finance 11 (1)
79-96.
- Walia, N. (2006): Optimal Trading: Dynamic Stock Liquidation Strategies, Senior Thesis, Princeton
University.
- Author:
- Lakshmi Krishnamurthy