English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

We extend a linear version of the liquidity risk model of Cetin et al. (2004)to allow for price impacts. We show that the impact of a market order on pricesdepends on the size of the transaction and the level of liquidity. We obtain asimple characterization of self-financing trading strategies and a sufficientcondition for no arbitrage. We consider a stochastic volatility model in whichthe volatility is partly correlated with the liquidity process and show that,with the use of variance swaps, contingent claims whose payoffs depend on thevalue of the asset can be approximately replicated in this setting. Thereplicating costs of such payoffs are obtained from the solutions of BSDEs withquadratic growth and analytical properties of these solutions are investigated.

Liquidity Risk, Price Impacts and the Replication Problem