[R-SIG-Finance] Pricing guaranteed execution

[Krishna]

Yes that book covers it, there is also a paper by Robert Almgren &  
Neil Chriss that goes into this in detail as well.


On Dec 11, 2009, at 5:46 PM, Bjorn Hertzberg  
<bjorn.hertzberg at gmail.com> wrote:

> The book "Optimal trading strategies" by Kissell & Glantz cover this  
> if my memory servs me correctly.
>
> Not aware of any implementations of it though...
>
> /b
>
>
> Skickat från min iPhone
>
> 11 dec 2009 kl. 16.38 skrev R_help Help <rhelpacc at gmail.com>:
>
>> Mark - Not really. Let me explain the setting a bit. You receive says
>> a day order of 1mio shares of stock XYZ. You guarantee client
>> execution price using some benchmark such as VWAP price of the day.  
>> In
>> return, you'll charge them for markup to compensate your risk. Just
>> wondering if anybody has put any thoughts on such a problem on how to
>> come up with this markup. Thanks.
>>
>> On Mon, Dec 7, 2009 at 11:29 PM,  <markleeds at verizon.net> wrote:
>>> I doubt I can help but I'm not sure that I understand your  
>>> question. Are you
>>> trying to simulate a strategy and
>>> buying and selling intraday ?
>>>
>>>
>>> On Dec 7, 2009, R_help Help <rhelpacc at gmail.com> wrote:
>>>
>>> Well thanks Mark. My order horizon is usually much longer. So I'm
>>> wondering if there's any framework for pricing such executions that
>>> people have put thoughts on so far? Thanks.
>>>
>>> On Mon, Dec 7, 2009 at 11:11 PM, <markleeds at verizon.net> wrote:
>>>> hi: you could assume the offer quote on a buy and the bid quote  
>>>> on a sale
>>>> but even that's not guaranteed if you don't
>>>> get there first.
>>>>
>>>>
>>>>
>>>> On Dec 7, 2009, R_help Help <rhelpacc at gmail.com> wrote:
>>>>
>>>> Hi,
>>>>
>>>> Sorry. This is probably not an R question. But I'd like to know  
>>>> if one
>>>> were to guarantee execution. Is there any framework to price the
>>>> markup? Thank you.
>>>>
>>>> rhelp
>>>>
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>>>
>>
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