Liquidity risk in derivatives valuation

Liquidity risk in derivatives valuation

The research article on “Liquidity risk in derivatives valuation: an improved credit proxy method” by Dr. Sumit Sourabh (CSL, UvA), Dr. Markus Hofer (ING Bank) and Prof. Drona Kandhai (ING Bank and CSl, UvA) was recently published in Quantitative Finance....