AMS classifications: 47H10; 54H25; 55M20; 90C33; 91B50

Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have...

Set-valued optimisation is an important topic and has wide applications in engineering and game theory. An interesting topic in set-valued optimisation is the appropriate introduction of a derivative concept for set-valued mappings. In this paper, Dini directional derivatives are introduced and...

Set-valued optimisation is an important topic and has wide applications in engineering and game theory. An interesting topic in set-valued optimisation is the appropriate introduction of a derivative concept for set-valued mappings. In this paper, Dini directional derivatives are introduced and...