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

no code implementations • 4 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.

A simple microstructural explanation of the concavity of price impact

no code implementations • 7 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.

Reflected BSDEs in non-convex domains

no code implementations • 12 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

Optimal brokerage contracts in Almgren-Chriss model with multiple clients

no code implementations • 11 Apr 2022 • Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster

This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model.

Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal

no code implementations • 13 Jul 2023 • Guillermo Alonso Alvarez, Sergey Nadtochiy

In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry.