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Optimal investment and contingent claim valuation under temporary price impacts and margin requirements

Pennanen, T (King's College London)
Tuesday 19 November 2013, 11:00-11:50

Seminar Room 2, Newton Institute Gatehouse


We explore how certain fundamental results in financial mathematics are affected when moving from the classical model of perfectly liquid financial markets towards nonlinear models that incorporate portfolio constraints and nonlinear trading costs that arise in limit order markets. We extend basic results on arbitrage bounds, attainable claims and duality to general convex market models and general swap contracts where both claims and premiums may have multiple payout dates.

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