This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …

This article reviews the theoretical literature on asset price bubbles, with an emphasis on the
martingale theory of bubbles. The key questions studied are as follows: First, under what …

We introduce a general continuous‐time model for an illiquid financial market where the
trades of a single large investor can move market prices. The model is specified in terms of …

This paper analyzes the influence of dynamic trading strategies on the prices in financial
markets. After a thorough discussion of the modeling issues involved we derive the …

This article studies the pricing of options in an extended Black Scholes economy in which
the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a …

The question of whether and to what extent option trading affects underlying stock prices has
been of interest to researchers since exchange-based options trading began in 1973 …

Though liquidity is commonly believed to be a major effect in financial markets, there
appears to be no consensus definition of what it is or how it is to be measured. In this paper …

We study a financial model with one risk-free and one risky asset subject to liquidity risk and
price impact. In this market, an investor may transfer funds between the two assets at any …