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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 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 : 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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Option pricing and hedging with execution costs and market impact
Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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Deep reinforcement learning for market making in corporate bonds : beating the curse of dimensionality
Guéant, Olivier; Manziuk, Iuliia - In: Applied mathematical finance 26 (2019) 5, pp. 387-452
Persistent link: https://www.econbiz.de/10012210413
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Algorithmic market making in dealer markets with hedging and market impact
Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 41-79
Persistent link: https://www.econbiz.de/10014278660
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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