Zehra Eksi

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This paper studies portfolio optimization problems in a market with partial information and price impact. We consider a large investor with an objective of expected utility maximization from terminal wealth. The drift of the underlying price process is modeled as a diffusion affected by a continuous-time Markov chain and the actions of the large investor.(More)
This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an affine Gaussian process. Using the underlying affine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift(More)
We study the problem of a trader who wants to maximize the expected revenue from liquidating a given stock position. We model the stock price dynamics as a geometric pure jump process with local characteristics driven by an unobservable nite-state Markov chain and by the liquidation rate. This re ects uncertainty about activity of other traders and feedback(More)
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