ECB NEWS 4 Avril 2013
The ECB President and Vice-President explain the Governing Council's monetary policy decisions and answer journalists' questions
Press conference following the meeting of the Governing Council of the European Central Bank on 4 April 2013 at its premises in Frankfurt am Main, Germany
Petit-Déjeuner de La Finance - 11 avril 2013 - Paris
FRONTIERES EN FINANCE is pleased to announce the next
PETIT-DÉJEUNER DE LA FINANCE
Thursday April 11th, 2013, 8:00 AM - 9:30 AM with a présentation by Robert Almgren (Courant Institute of Mathematical Sciences - New York University): Option Hedging with Market Impact
We consider the problem of a trader hedging a large options position. We use a realistic proportional market impact cost model, as is commonly used in optimal execution problems, rather than the bid-ask spread model which has been previously used. [..]
About the speaker
Robert Almgren co-founder of Quantitative Brokers, providing agency algorithmic execution and cost measurement in interest rate markets, and Fellow in the Mathematics in Finance Program at New York University.
Registration is free but compulsory in order to participate in the seminar.