英文标题：
《Efficient price dynamics in a limit order market: an utility
  indifference approach》
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作者：
Masaaki Fukasawa
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最新提交年份：
2014
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英文摘要：
  We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander follows an optimal strategy. We show that a Pareto efficient allocation is achieved under a completeness condi- tion. We give an explicit representation of the efficient price for several examples. In particular, we observe that the volatility of the asset depends on the convexity of an initial endowment. Further, we observe that an asset price crash is invoked by an endowment shock. We establish a dynamic programming principle under an incomplete framework.
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中文摘要：
我们构造了一个基于效用的动态资产定价模型。价格在数量上是非线性的，受市场影响。我们解决了一个在市场冲击下的最优套期保值问题，并推导了有效价格的动力学，即当一个具有代表性的流动性需求方遵循最优策略时的资产价格。我们证明了帕累托有效分配是在完全条件下实现的。我们给出了几个例子的有效价格的显式表示。特别是，我们观察到资产的波动性取决于初始捐赠的凸性。此外，我们观察到，资产价格崩溃是由捐赠冲击引起的。在不完全框架下建立了动态规划原理。
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分类信息：

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：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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