Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón(Elsevier, 2012-06)
Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black-Scholes problem. Nonlinear models appear when transaction ...
García García, Fernando; Guijarro Martínez, Francisco; Moya Clemente, Ismael(Elsevier, 2011-10)
Index tracking aims to select portfolios that imitate the behavior of a stock index. A tracking strategy is referred to as partial when the tracking portfolio is solely formed by a subset of stocks, so enabling a substantial ...