smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2025SMQ / 172894789826526
On the utility problem in a market where price impact is transient
Lóránt Nagy / Miklós Rásonyi
mathematical finance / optimizationResource overview

On the utility problem in a market where price impact is transient

Paper2025

by Lóránt Nagy, Miklós Rásonyi

Tags
mathematical financeoptimizationtransaction costs

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for market microstructure and execution and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Market Microstructure and Execution Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Lóránt Nagy, Miklós Rásonyi

4