Search Results for author: Sergey Nadtochiy

Found 3 papers, 0 papers with code

Reflected BSDEs in non-convex domains

no code implementations12 Feb 2021 Jean-François Chassagneux, Sergey Nadtochiy, Adrien Richou

This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property.

Probability

A simple microstructural explanation of the concavity of price impact

no code implementations7 Jan 2020 Sergey Nadtochiy

This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market.

Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact

no code implementations4 Oct 2019 Ibrahim Ekren, Sergey Nadtochiy

In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact.

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