英文标题：
《Liquidity costs: a new numerical methodology and an empirical study》
---
作者：
Christophe Michel, Victor Reutenauer, Denis Talay and Etienne Tanr\\\'e
---
最新提交年份：
2015
---
英文摘要：
  We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error. We here propose an efficient algorithm based on the stochastic gradient method to compute an approximate optimal strategy without solving a stochastic control problem. We validate our algorithm by numerical experiments. We also develop several variants of the algorithm and discuss their performances in terms of the numerical parameters and the liquidity cost.
---
中文摘要：
我们考虑在存在买卖差价成本的情况下，以固定利率对浮动利率支付的利率互换。即使是简单的买卖价差成本模型，也没有明确的策略来优化对冲误差的预期函数。本文提出了一种基于随机梯度法的有效算法，在不求解随机控制问题的情况下计算近似最优策略。通过数值实验验证了算法的有效性。我们还开发了算法的几种变体，并从数值参数和流动性成本方面讨论了它们的性能。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--

---
PDF下载：
-->