Dear all, I re-post the announcement for your convenience. The seminar will be next Tuesday, but at 2:30 pm in Room 307b. Professor A. Cerny from Cass will be visiting LUISS and on Tuesday April 4, at 2:30 pm in Room 307b -- viale Romania he will give the following seminar: OPTIMAL TRADE EXECUTION UNDER ENDOGENOUS PRESSURE TO LIQUIDATE: THEORY AND NUMERICAL SOLUTIONS We study optimal liquidation of a large trading position in a market with a temporary price impact. We endogenize the pressure to liquidate and hence allow the time horizon of liquidation to be determined endogenously, as part of the optimal strategy. The corresponding HJB equation leads to a severely singular initial value problem whose numerical solution we also study. In contrast to much of the existing literature spreading the liquidation strategy over a longer horizon is not necessarily beneficial to the trader. Joint work with Pavol Brunovský and Ján Komadel, Comenius University Bratislava -- Sara Biagini, Professor of Mathematical Finance Department of Economics and Finance LUISS Guido Carli Address: viale Romania, 32 - 00197 Roma Web: http://sites.google.com/site/sarabiagini/