Hedging Through a Limit Order Book with Varying Liquidity

Rossella Agliardi; Ramazan Gençay

doi:10.3905/jod.2014.22.2.032

Article

Hedging Through a Limit Order Book with Varying Liquidity

Rossella Agliardi and Ramazan Gençay

The Journal of Derivatives Winter 2014, 22 (2) 32-49; DOI: https://doi.org/10.3905/jod.2014.22.2.032

Rossella Agliardi

is an associate professor in the Department of Mathematics at the University of Bologna and IMATI- CNR in Pavia, Italy.

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For correspondence: rossella.agliardi@unibo.it

Ramazan Gençay

is a professor in the Department of Economics at Simon Fraser University in Burnaby, British Columbia, Canada, and a senior fellow at the Rimini Center for Economic Analysis in Rimini, Italy.

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For correspondence: rgencay@sfu.ca

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Vol. 22, Issue 2

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Hedging Through a Limit Order Book with Varying Liquidity