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Optimal execution and block trade pricing : a general framework
Guéant, Olivier - In: Applied mathematical finance 22 (2015) 3/4, pp. 336-365
Persistent link: https://www.econbiz.de/10011436214
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Accelerated share repurchase : pricing and execution strategy
Guéant, Olivier; Pu, Jiang; Royer, Guillaume - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403749
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A convex duality method for optimal liquidation with participation constraints
Guéant, Olivier; Lasry, Jean-Michel; Pu, Jiang - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011588186
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Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang - In: Mathematics and financial economics 13 (2019) 4, pp. 661-719
Persistent link: https://www.econbiz.de/10012055900
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Learning a functional control for high-frequency finance
Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928