Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01w0892b00k
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dc.contributor.authorLi, Tianhuien_US
dc.contributor.otherOperations Research and Financial Engineering Departmenten_US
dc.date.accessioned2013-05-21T13:33:31Z-
dc.date.available2013-05-21T13:33:31Z-
dc.date.issued2013en_US
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/dsp01w0892b00k-
dc.description.abstractWe apply dynamic programming to two dierent trading problems. We introduce a novel trading model that captures the active-versus-passive order tradeo faced by a broker when benchmarked to VWAP (Volume Weighted Average Price). We are able to solve both the case where the stock quantity is discrete and continuous. The solution is in terms of a highly intuitive forward and backward boundary, for which we even obtain closed-form solutions in certain cases. The second problem is the dynamic hedging of an option under an Almgren-Chriss model of market impact. We are able to derive a highly intuitive dynamic solution.en_US
dc.language.isoenen_US
dc.publisherPrinceton, NJ : Princeton Universityen_US
dc.relation.isformatofThe Mudd Manuscript Library retains one bound copy of each dissertation. Search for these copies in the <a href=http://catalog.princeton.edu> library's main catalog </a>en_US
dc.subjectdynamic controlen_US
dc.subjectmicrostructureen_US
dc.subjectoptimal executionen_US