摘要翻译：
我们扩展了Cetin等人的流动性风险模型的线性版本。（2004）考虑价格影响。我们表明，市场订单对价格的影响取决于交易的规模和流动性水平。我们得到了自融资交易策略的一个简单刻画和无套利的一个充分条件。我们考虑了一个随机波动率模型，其中波动率与流动性过程部分相关，并证明了在使用方差互换的情况下，收益依赖于资产价值的未定权益可以在这种情况下近似复制。从具有二次增长的BSDEs解中得到了这种收益的复制代价，并研究了这些解的解析性质。
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英文标题：
《Liquidity Risk, Price Impacts and the Replication Problem》
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作者：
Alexandre F. Roch
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最新提交年份：
2009
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condition for no arbitrage. We consider a stochastic volatility model in which the volatility is partly correlated with the liquidity process and show that, with the use of variance swaps, contingent claims whose payoffs depend on the value of the asset can be approximately replicated in this setting. The replicating costs of such payoffs are obtained from the solutions of BSDEs with quadratic growth and analytical properties of these solutions are investigated.
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PDF链接：
https://arxiv.org/pdf/0812.2440