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High-frequency simulations of an order book : a two-scale approach
Lehalle, Charles-Albert
;
Guéant, Olivier
; …
- In:
Econophysics of Order-driven Markets : proceedings of …
,
(pp. 73-92)
.
2011
Persistent link: https://www.econbiz.de/10009348942
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2
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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3
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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Execution and block trade pricing with optimal constant rate of participation
Guéant, Olivier
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 255-264
Persistent link: https://www.econbiz.de/10011312420
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5
The financial mathematics of market liquidity : from optimal execution to market making
Guéant, Olivier
-
2016
Persistent link: https://www.econbiz.de/10011418499
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6
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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7
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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8
Tournament-induced risk-shifting : a mean field games approach
Guéant, Olivier
- In:
Risk and decision analysis
4
(
2013
)
2
,
pp. 71-80
Persistent link: https://www.econbiz.de/10009782561
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9
Size matters for OTC market makers : General results and dimensionality reduction techniques
Bergault, Philippe
;
Guéant, Olivier
- In:
Mathematical Finance
31
(
2020
)
1
,
pp. 279-322
Persistent link: https://www.econbiz.de/10012283212
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10
Mean field games and applications
Guéant, Olivier
;
Lasry, Jean-Michel
;
Lions, Pierre-Louis
- In:
Paris Princeton lectures on mathematical finance
4
(
2010
),
pp. 205-266
Persistent link: https://www.econbiz.de/10009356714
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