10
H index
10
i10 index
426
Citations
Université Paris 1 (Panthéon-Sorbonne) | 10 H index 10 i10 index 426 Citations RESEARCH PRODUCTION: 12 Articles 73 Papers RESEARCH ACTIVITY: 15 years (2009 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pgu842 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Guéant. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Mathematical Finance | 4 |
Applied Mathematical Finance | 4 |
Quantitative Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 35 |
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL | 22 |
Working Papers / HAL | 12 |
Working Papers / Center for Research in Economics and Statistics | 2 |
Year | Title of citing document |
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2023 | Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012. Full description at Econpapers || Download paper |
2023 | Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper |
2024 | Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing. (2020). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:2005.04312. Full description at Econpapers || Download paper |
2023 | On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731. Full description at Econpapers || Download paper |
2023 | Mean Field Game of Optimal Relative Investment with Contagious Risk. (2021). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2108.00799. Full description at Econpapers || Download paper |
2023 | Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control. (2021). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2112.02269. Full description at Econpapers || Download paper |
2023 | Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553. Full description at Econpapers || Download paper |
2023 | Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478. Full description at Econpapers || Download paper |
2023 | Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423. Full description at Econpapers || Download paper |
2023 | Dealing with multi-currency inventory risk in FX cash markets. (2022). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2207.04100. Full description at Econpapers || Download paper |
2023 | Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations. (2022). Balch, Tucker ; Zheng, Zeyu ; Xu, Mengda ; Vann, Jared ; Amrouni, Selim ; Spooner, Thomas ; Ganesh, Sumitra ; Ardon, Leo ; Vadori, Nelson ; Veloso, Manuela. In: Papers. RePEc:arx:papers:2210.07184. Full description at Econpapers || Download paper |
2023 | Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336. Full description at Econpapers || Download paper |
2023 | Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing. (2023). Pham, Huyen ; Henry-Labordere, Pierre ; Hamdouche, Mohamed. In: Papers. RePEc:arx:papers:2302.07320. Full description at Econpapers || Download paper |
2023 | Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis. (2023). Sun, Danny D ; Liu, Shuaiqiang ; Gong, Shiqi. In: Papers. RePEc:arx:papers:2306.02764. Full description at Econpapers || Download paper |
2023 | Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers. (2023). Zohren, Stefan ; Moreno-Pino, Fernando ; Cartea, Alvaro ; Arroyo, Alvaro. In: Papers. RePEc:arx:papers:2306.05479. Full description at Econpapers || Download paper |
2023 | Integrating Tick-level Data and Periodical Signal for High-frequency Market Making. (2023). Yang, Can ; Zheng, Cong. In: Papers. RePEc:arx:papers:2306.17179. Full description at Econpapers || Download paper |
2023 | Market Making of Options via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01814. Full description at Econpapers || Download paper |
2023 | Over-the-Counter Market Making via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01816. Full description at Econpapers || Download paper |
2024 | Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499. Full description at Econpapers || Download paper |
2023 | Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024. Full description at Econpapers || Download paper |
2023 | Reinforcement Learning for Credit Index Option Hedging. (2023). Vittori, Edoardo ; Trapletti, Michele ; Pinciroli, Marco ; Mandelli, Francesco. In: Papers. RePEc:arx:papers:2307.09844. Full description at Econpapers || Download paper |
2023 | Towards Generalizable Reinforcement Learning for Trade Execution. (2023). Zhao, LI ; Li, Jian ; Chen, Jianyu ; Duan, Yitong ; Zhang, Chuheng. In: Papers. RePEc:arx:papers:2307.11685. Full description at Econpapers || Download paper |
2024 | Understanding the least well-kept secret of high-frequency trading. (2023). Sfendourakis, Emmanouil ; Rosenbaum, Mathieu ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2307.15599. Full description at Econpapers || Download paper |
2023 | IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making. (2023). An, BO ; Guo, Jian ; Li, Jian ; Lin, Zhouchi ; Zheng, Jiahao ; Niu, Hui. In: Papers. RePEc:arx:papers:2308.08918. Full description at Econpapers || Download paper |
2024 | Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216. Full description at Econpapers || Download paper |
2024 | Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2309.08431. Full description at Econpapers || Download paper |
2023 | Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers || Download paper |
2024 | Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572. Full description at Econpapers || Download paper |
2024 | Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts. (2024). Gu, Olivier ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2404.13754. Full description at Econpapers || Download paper |
2024 | Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2405.03496. Full description at Econpapers || Download paper |
2023 | Utility?based pricing and hedging of contingent claims in Almgren?Chriss model with temporary price impact. (2022). Nadtochiy, Sergey ; Ekren, Ibrahim. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:172-225. Full description at Econpapers || Download paper |
2023 | Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers || Download paper |
2023 | A Leland model for delta hedging in central risk books. (2023). Webster, Kevin ; Wang, Zexin ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:504-547. Full description at Econpapers || Download paper |
2024 | High frequency market making: The role of speed. (2024). Salam, Mehmet ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000581. Full description at Econpapers || Download paper |
2023 | Operational research and artificial intelligence methods in banking. (2023). Zhang, Wenke ; Platanakis, Emmanouil ; Gounopoulos, Dimitrios ; Zopounidis, Constantin ; Doumpos, Michalis. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:1-16. Full description at Econpapers || Download paper |
2023 | Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control. (2023). Acharya, Dipesh ; Mizukami, Daiki ; Nakagawa, Kei ; Kubo, Kenji. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000132. Full description at Econpapers || Download paper |
2024 | Execution uncertainty of dark pools and portfolio balance. (2024). Li, Tangrong ; Sun, Xuchu ; Zhu, Jianchang. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003064. Full description at Econpapers || Download paper |
2024 | Simultaneous Search and Adverse Selection. (2024). Wolthoff, Ronald ; Gottardi, Piero ; Auster, Sarah. In: IZA Discussion Papers. RePEc:iza:izadps:dp16822. Full description at Econpapers || Download paper |
2023 | Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4. Full description at Econpapers || Download paper |
2023 | Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9. Full description at Econpapers || Download paper |
2023 | A Dual Probabilistic Discounting Approach to Assess Economic and Environmental Impacts. (2023). Ulgiati, Sergio ; Ghisellini, Patrizia ; Maselli, Gabriella ; Nestico, Antonio. In: Environmental & Resource Economics. RePEc:kap:enreec:v:85:y:2023:i:1:d:10.1007_s10640-023-00766-6. Full description at Econpapers || Download paper |
2023 | Optimal execution with stochastic delay. (2023). Sanchez-Betancourt, Leandro ; Cartea, Alvaro. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00491-w. Full description at Econpapers || Download paper |
2023 | Optimal execution with multiplicative price impact and incomplete information on the return. (2023). Ferrari, Giorgio ; Dammann, Felix. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00508-y. Full description at Econpapers || Download paper |
2023 | Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z. Full description at Econpapers || Download paper |
2023 | A discrete-time optimal execution problem with market prices subject to random environments. (2023). Pacheco, Carlos G ; Jasso-Fuentes, Hector ; Salgado-Suarez, Gladys D. In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:topjnl:v:31:y:2023:i:3:d:10.1007_s11750-022-00652-2. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2012 | Ecological Intuition versus Economic “Reason” In: Journal of Public Economic Theory. [Full Text][Citation analysis] | article | 9 |
2012 | Ecological intuition versus economic reason.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2012 | Ecological intuition versus economic reason.(2012) In: PSE-Ecole d'économie de Paris (Postprint). [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2009 | Ecological intuition versus economic reason.(2009) In: PSE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2009 | Ecological intuition versus economic reason.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2015 | GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION In: Mathematical Finance. [Full Text][Citation analysis] | article | 31 |
2015 | General Intensity Shapes in Optimal Liquidation.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2017 | OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT In: Mathematical Finance. [Full Text][Citation analysis] | article | 20 |
2015 | Option pricing and hedging with execution costs and market impact.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2021 | Size matters for OTC market makers: General results and dimensionality reduction techniques In: Mathematical Finance. [Full Text][Citation analysis] | article | 11 |
2020 | Size matters for OTC market makers: general results and dimensionality reduction techniques.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2021 | Size matters for OTC market makers: General results and dimensionality reduction techniques.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2021 | Size matters for OTC market makers: General results and dimensionality reduction techniques.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2021 | Size matters for OTC market makers: General results and dimensionality reduction techniques.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2020 | Size matters for OTC market makers: general results and dimensionality reduction techniques.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2023 | Algorithmic market making in dealer markets with hedging and market impact In: Mathematical Finance. [Full Text][Citation analysis] | article | 9 |
2022 | Algorithmic market making in dealer markets with hedging and market impact.(2022) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2022 | Algorithmic market making in dealer markets with hedging and market impact.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2022 | Algorithmic market making in dealer markets with hedging and market impact.(2022) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2015 | Agents Behavior on Multi-Dealer-to-Client Bond Trading Platforms In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2016 | The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2017 | Optimal market making In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 14 |
2017 | Optimal market making.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2016 | Optimal market making.(2016) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2017 | Optimal market making.(2017) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2017 | Optimal execution of accelerated share repurchase contracts with fixed notional In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2017 | Optimal execution of accelerated share repurchase contracts with fixed notional.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | Optimal execution of accelerated share repurchase contracts with fixed notional.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2018 | Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2018 | Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2018 | Expected Shortfall and optimal hedging payoff In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2018 | Expected Shortfall and optimal hedging payoff.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Accelerated Share Repurchase and other buyback programs: what neural networks can bring In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 6 |
2020 | Accelerated share repurchase and other buyback programs: what neural networks can bring.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2020 | Accelerated share repurchase and other buyback programs: what neural networks can bring.(2020) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2020 | Accelerated Share Repurchase and other buyback programs: what neural networks can bring.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2020 | Accelerated share repurchase and other buyback programs: what neural networks can bring.(2020) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2019 | Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 7 |
2019 | Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2019 | Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 23 |
2019 | Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2019 | Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality.(2019) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2021 | Algorithmic market making for options In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 6 |
2021 | Algorithmic market making for options.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2021 | Algorithmic market making for options.(2021) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2020 | Optimal control on graphs: existence, uniqueness, and long-term behavior In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 2 |
2020 | Optimal control on graphs: existence, uniqueness, and long-term behavior.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 6 |
2022 | Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2021 | Closed-form Approximations in Multi-asset Market Making In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 11 |
2021 | Closed-form Approximations in Multi-asset Market Making.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2021 | Closed-form Approximations in Multi-asset Market Making.(2021) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2022 | Stochastic Algorithms for Advanced Risk Budgeting In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2022 | Stochastic Algorithms for Advanced Risk Budgeting.(2022) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2022 | Dealing with multi-currency inventory risk in FX cash markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 2 |
2022 | Dealing with multi-currency inventory risk in FX cash markets.(2022) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2022 | Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control.(2022) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2022 | Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control.(2022) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2024 | Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2024 | Algorithmic Market Making in Spot Precious Metals In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
2024 | Factor Risk Budgeting and Beyond In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2013 | Tournament-induced risk-shifting: A mean field games approach In: Post-Print. [Citation analysis] | paper | 0 |
2011 | Mean Field Games and Applications In: Post-Print. [Citation analysis] | paper | 53 |
2010 | Mean Field Games and Oil Production In: Post-Print. [Citation analysis] | paper | 13 |
2013 | Dealing with the Inventory Risk. A solution to the market making problem In: Post-Print. [Citation analysis] | paper | 99 |
2012 | Optimal Portfolio Liquidation with Limit Orders In: Post-Print. [Citation analysis] | paper | 67 |
2015 | Optimal execution and block trade pricing: a general framework In: Post-Print. [Citation analysis] | paper | 2 |
2015 | Optimal Execution and Block Trade Pricing: A General Framework.(2015) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2014 | Execution and block trade pricing with optimal constant rate of participation In: Post-Print. [Citation analysis] | paper | 0 |
2014 | VWAP execution and guaranteed VWAP In: Post-Print. [Citation analysis] | paper | 5 |
2015 | Accelerated Share Repurchase: pricing and execution strategy In: Post-Print. [Citation analysis] | paper | 6 |
2015 | ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2015 | A convex duality method for optimal liquidation with participation constraints In: Post-Print. [Citation analysis] | paper | 3 |
2016 | The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making In: Post-Print. [Citation analysis] | paper | 4 |
2021 | Algorithmic market making for options In: Post-Print. [Citation analysis] | paper | 4 |
2023 | Risk Budgeting portfolios: Existence and computation In: Post-Print. [Citation analysis] | paper | 0 |
2023 | Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions In: Post-Print. [Citation analysis] | paper | 1 |
2023 | Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions.(2023) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2022 | Computational methods for market making algorithms In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
2023 | Reinforcement Learning for Algorithmic Trading In: Post-Print. [Citation analysis] | paper | 0 |
2016 | Optimal execution of ASR contracts with fixed notional In: Working Papers. [Citation analysis] | paper | 0 |
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