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General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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Optimal market making
Guéant, Olivier - In: Applied mathematical finance 24 (2017) 1/2, pp. 112-154
Persistent link: https://www.econbiz.de/10011746995
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Optimal execution of accelerated share repuchase contracts with fixed notional
Guéant, Olivier - In: Journal of risk 19 (2017) 5, pp. 77-99
Persistent link: https://www.econbiz.de/10011747118
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Accelerated share repurchase and other buyback programs : what neural networks can bring
Guéant, Olivier; Manziuk, Iuliia; Pu, Jiang - In: Quantitative finance 20 (2020) 8, pp. 1389-1404
Persistent link: https://www.econbiz.de/10012262692
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Algorithmic market making for options
Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier - In: Quantitative finance 21 (2021) 1, pp. 85-97
Persistent link: https://www.econbiz.de/10012424635
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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Closed-form approximations in multi-asset market making
Bergault, Philippe; Evangelista, David; Guéant, Olivier; … - In: Applied mathematical finance 28 (2021) 2, pp. 101-142
Persistent link: https://www.econbiz.de/10013171062
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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
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Mean field game of controls and an application to trade crowding
Cardaliaguet, Pierre; Lehalle, Charles-Albert - In: Mathematics and financial economics 12 (2018) 3, pp. 335-363
Persistent link: https://www.econbiz.de/10011963860
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Incorporating signals into optimal trading
Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311
Persistent link: https://www.econbiz.de/10012023738