Tid: 1 september 2008 kl 15.15-16.00 .
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Martin Lillieroth
Titel: Optimal liquidation with a focus on the sample-path approach
Sammanfattning: This report is about figuring out how to split a big sell order into chunks which are sold with some time in between them, with the purpose to minimize the cost incurred by moving the market due to the size of the order. After a general introduction, we focus on a recent method for optimizing the liquidation process. The method is based on a set of sample-paths describing possible scenarios, and it aims to address the poor scaling properties of tree methods. Similar approaches have been used for pricing American options (stochastic mesh). At the end of the report some tests are presented.
|Sidansvarig: Filip Lindskog