Следене
Thomas Cayé
Thomas Cayé
Postdoctoral researcher fellow, School of Mathematics, DCU
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Trading with small nonlinear price impact
T Cayé, M Herdegen, J Muhle-Karbe
The Annals of Applied Probability 30 (2), 706-746, 2020
132020
Liquidation with self-exciting price impact
T Cayé, J Muhle-Karbe
Mathematics and Financial Economics 10, 15-28, 2016
122016
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
E Bayraktar, T Cayé, I Ekren
Mathematical Finance 31 (1), 36-108, 2021
82021
Scaling limits of processes with fast nonlinear mean reversion
T Cayé, M Herdegen, J Muhle-Karbe
Stochastic Processes and their Applications 130 (4), 1994-2031, 2020
32020
Trading with small nonlinear price impact: Optimal execution and rebalancing of active investments
T Cayé
ETH Zurich, 2017
12017
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Статии 1–5