Tardu Sepin

Bank of America Merrill Lynch · Structured notes trading

We consider the problem of optimally acquiring a position in a financial asset by submitting orders to a standard exchange and a dark pool. We assume that volatility is stochastic and trading at the standard exchange causes a price impact. Orders sent to the dark pool do not generate price impact. But they are not always filled and are exposed to a...

In this paper we study a portfolio execution problem in a discrete-time model in which orders can be submitted to a standard exchange and a dark pool. We model volatilities and correlations as stochastic processes and assume that trading at the standard exchange causes price impact. Orders sent to the dark pool do not affect prices. But they are no...

We study the problem of optimally liquidating a financial position in a discrete-time model with stochastic volatility and liquidity. We consider the three cases where the objective is to minimize the expectation, mean-variance and expected exponential of the implementation cost. In the first case, the optimal solution can be fully characterized by...