Package org.drip.sample.almgren2009

Class EnhancedEulerScheme

java.lang.Object
org.drip.sample.almgren2009.EnhancedEulerScheme
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 Princeton University




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    EnhancedEulerScheme()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • EnhancedEulerScheme

      public EnhancedEulerScheme()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation