Ludovic Moreau

ETH Zürich - Department of Mathematics

R¨amistrasse 101

Raemistr. 101

Z¨urich, 8092

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

215

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (2)

1.

Trading with Small Price Impact

Swiss Finance Institute Research Paper No. 14-17
Number of pages: 48 Posted: 01 Mar 2014 Last Revised: 11 Apr 2017
ETH Zürich - Department of Mathematics, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 150 (264,544)
Citation 5

Abstract:

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price impact, portfolio choice, asymptotics, homogenization

2.

Hedging Under an Expected Loss Constraint with Small Transaction Costs

Swiss Finance Institute Research Paper No. 14-60
Number of pages: 42 Posted: 21 Oct 2014 Last Revised: 09 Dec 2016
Bruno Bouchard, Ludovic Moreau and Halil Mete Soner
Université Paris Dauphine - CEREMADE, ETH Zürich - Department of Mathematics and ETH Zürich
Downloads 65 (455,452)
Citation 4

Abstract:

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Expected loss constraint, hedging, transaction cost, asymptotic expansion