Sökning: "Nadezda Sergeeva"

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  1. 1. The feedback effects in illiquid markets, hedging strategies of large traders

    Magister-uppsats, Sektionen för lärarutbildning (LUT)

    Författare :Nadezda Sergeeva; []
    Nyckelord :feedback; hedging; traders; illiquid; symmetry; analysis; Lie; algebra;

    Sammanfattning : The master thesis is devoted to an analysis of equilibrium or reaction-function models in illiquidity markets of derivatives. The main equation is a nonlinear equation which is a perturbation of Black-Scholes model. By using analytical methods we study invariant and scaling properties for the considered model. . LÄS MER