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We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model indirect liquidity costs as temporary price impact,...
Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from the curse of dimensionality. Therefore, the objective...
In this research we investigate the impact of stochastic volatility on future initial margin (IM) and margin valuation adjustment (MVA) calculations for interest rate derivatives. An analysis is performed under different market conditions, namely during the peak of the Covid-19 crisis when the...
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