Optimal Liquidity management and Hedging in the presence of a non-predictable investment opportunity
Date
2014Dewey
Economie financièreSujet
Liquidity management; Singular control problem; One-dimensional free boundary problem; Maximum principleJEL code
G32; G31; G33; G35Journal issue
Mathematics and Financial EconomicsVolume
8Number
2Publication date
2014Article pages
193-227Publisher
SpringerMetadata
Show full item recordAuthor
Villeneuve, Stéphane
Warin, Xavier