Alexandre Roch
Alexandre Roch
ESG UQAM, Finance Department
Verified email at uqam.ca - Homepage
Title
Cited by
Cited by
Year
Liquidity risk, price impacts and the replication problem
AF Roch
Finance and Stochastics 15 (3), 399, 2011
612011
Liquidity models in continuous and discrete time
S Gökay, AF Roch, HM Soner
Advanced mathematical methods for finance, 333-365, 2011
492011
Resilient price impact of trading and the cost of illiquidity
A Roch, H Mete Soner
International Journal of Theoretical and Applied Finance 16 (06), 1350037, 2013
472013
A liquidity-based model for asset price bubbles
RA Jarrow, P Protter, AF Roch
Quantitative Finance 12 (9), 1339-1349, 2012
352012
Optimal execution cost for liquidation through a limit order market
E Chevalier, VL Vath, S Scotti, A Roch
International Journal of Theoretical and Applied Finance 19 (01), 1650004, 2016
102016
Distilling liquidity costs from limit order books
D Amaya, JY Filbien, C Okou, AF Roch
Journal of Banking & Finance 94, 16-34, 2018
82018
Optimal exit strategies for investment projects
E Chevalier, VL Vath, A Roch, S Scotti
Journal of Mathematical Analysis and Applications 425 (2), 666-694, 2015
72015
Liquidity Risk and the Term Structure of Interest Rates
R Jarrow, A Roch
52013
Liquidity risk, volatility and financial bubbles
A Roch
52009
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
AF Roch
Journal of Probability and Statistics 2010, 2010
42010
Asymptotic asset pricing and bubbles
A Roch
Mathematics and Financial Economics 12 (2), 275-304, 2018
32018
Optimal dividend and capital structure with debt covenants
E Chevalier, VL Vath, A Roch
Journal of Optimization Theory and Applications, 1-31, 2020
2020
Option prices under liquidity risk as weak solutions of semilinear diffusion equations
MA Fahrenwaldt, AF Roch
Nonlinear Differential Equations and Applications NoDEA 24 (2), 12, 2017
2017
A PDE approach to pricing contingent claims under liquidity risk
M Fahrenwaldt, A Roch
2013
Optimal liquidation of an illiquid asset under stochastic liquidity and regime shifting
E Chevalier, VL Vath, A Roch, S Scotti
2013
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Articles 1–15