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Publications by Pierre Patie

Risk Management for Derivatives in Illiquid Markets: A Simulation Study

SSRN Electronic Journal
2002English

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Fair Risk Allocation in Illiquid Markets

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International Liquidity Management: Sterilization Policy in Illiquid Financial Markets

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Risk Aversion and the Dynamics of Optimal Liquidation Strategies in Illiquid Markets

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Crashes and Recoveries in Illiquid Markets

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A Consistent Stable Numerical Scheme for a Nonlinear Option Pricing Model in Illiquid Markets

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Risk Management in Emerging Markets

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A Study of Derivatives Market in India and Its Current Position in Global Financial Derivatives Markets

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Derivatives Markets for Home Prices

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Modeling and Pricing in Financial Markets for Weather Derivatives

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