Olivier Guéant

Available identifiers

zbMath Open gueant.olivierDBLP01/9828WikidataQ24950692 ScholiaQ24950692MaRDI QIDQ367374

List of research outcomes

Publication	Date of Publication	Type
Risk budgeting portfolios: existence and computation	2024-11-20	Paper
Algorithmic market making in dealer markets with hedging and market impact	2023-09-28	Paper
Size matters for OTC market makers: General results and dimensionality reduction techniques	2023-09-27	Paper
Computational Methods for Market Making Algorithms	2023-09-15	Paper
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics	2022-04-21	Paper
Closed-form Approximations in Multi-asset Market Making	2022-03-21	Paper
Algorithmic market making for options	2021-12-01	Paper
Accelerated share repurchase and other buyback programs: what neural networks can bring	2020-12-07	Paper
Optimal control on finite graphs: asymptotic optimal controls and ergodic constant in the case of entropic costs	2020-11-04	Paper
Optimal control on graphs: existence, uniqueness, and long-term behavior	2020-05-11	Paper
Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality	2020-02-24	Paper
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty	2019-08-30	Paper
Optimal Real-Time Bidding Strategies	2018-09-26	Paper
Optimal Execution and Block Trade Pricing: A General Framework	2018-09-18	Paper
Expected shortfall and optimal hedging payoff	2018-05-08	Paper
Optimal market making	2018-04-06	Paper
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT	2017-07-21	Paper
The financial mathematics of market liquidity. From optimal execution to market making	2016-03-07	Paper
Existence and uniqueness result for mean field games with congestion effect on graphs	2015-10-28	Paper
General intensity shapes in optimal liquidation	2015-07-15	Paper
Accelerated share repurchase: pricing and execution strategy	2015-06-29	Paper
VWAP execution and guaranteed VWAP	2015-01-20	Paper
Mean field games with a quadratic Hamiltonian: a constructive scheme	2014-10-13	Paper
Tournament-induced risk-shifting: a mean field games approach	2014-08-22	Paper
Dealing with the inventory risk: a solution to the market making problem	2013-09-13	Paper
New numerical methods for mean field games with quadratic costs	2013-03-21	Paper
Optimal portfolio liquidation with limit orders	2013-01-25	Paper
Mean field games equations with quadratic Hamiltonian: a specific approach	2012-10-15	Paper
From infinity to one: The reduction of some mean field games to a global control problem	2011-10-15	Paper
Mean field games and applications	2010-12-14	Paper
A reference case for mean field games models	2009-09-29	Paper

Research outcomes over time

This page was built for person: Olivier Guéant