Revisiting the Obizhaeva and Wang Model
Host
Department of Applied Mathematics
Speaker
Kevin Webster
Citadel LLC
https://www.linkedin.com/in/kevin-webster-17a98421
Description
We study two new applications of the Obizhaeva and Wang model using a new, simplified proof method. The first application covers the delta hedging of options in the presence of transient price impact. The second application solves the mean field game arising from the model.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning