The following pages link to Olivier Guéant (Q367374):
Displayed 30 items.
- Dealing with the inventory risk: a solution to the market making problem (Q367376) (← links)
- A reference case for mean field games models (Q843178) (← links)
- Existence and uniqueness result for mean field games with congestion effect on graphs (Q887163) (← links)
- Expected shortfall and optimal hedging payoff (Q1747394) (← links)
- New numerical methods for mean field games with quadratic costs (Q1943899) (← links)
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (Q2323341) (← links)
- (Q2787919) (← links)
- Tournament-induced risk-shifting: A mean field games approach (Q2877539) (← links)
- Mean Field Games with a Quadratic Hamiltonian: A Constructive Scheme (Q2922580) (← links)
- VWAP Execution and Guaranteed VWAP (Q2940767) (← links)
- Mean Field Games and Applications (Q3061147) (← links)
- MEAN FIELD GAMES EQUATIONS WITH QUADRATIC HAMILTONIAN: A SPECIFIC APPROACH (Q3166760) (← links)
- Optimal market making (Q4610210) (← links)
- Optimal Execution and Block Trade Pricing: A General Framework (Q4682484) (← links)
- Optimal Real-Time Bidding Strategies (Q4683871) (← links)
- Optimal Portfolio Liquidation with Limit Orders (Q4902233) (← links)
- Algorithmic market making for options (Q5014175) (← links)
- Closed-form Approximations in Multi-asset Market Making (Q5063386) (← links)
- Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495) (← links)
- Optimal control on graphs: existence, uniqueness, and long-term behavior (Q5109194) (← links)
- Accelerated share repurchase and other buyback programs: what neural networks can bring (Q5139239) (← links)
- Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality (Q5217496) (← links)
- ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY (Q5256838) (← links)
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (Q5262510) (← links)
- OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404) (← links)
- Size matters for OTC market makers: General results and dimensionality reduction techniques (Q6054136) (← links)
- Algorithmic market making in dealer markets with hedging and market impact (Q6054445) (← links)
- Computational Methods for Market Making Algorithms (Q6096556) (← links)
- From infinity to one: The reduction of some mean field games to a global control problem (Q6228385) (← links)
- Optimal control on finite graphs: asymptotic optimal controls and ergodic constant in the case of entropic costs (Q6352974) (← links)