Olivier Guéant

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Person:367374

Available identifiers

zbMath Open gueant.olivierDBLP01/9828WikidataQ24950692 ScholiaQ24950692MaRDI QIDQ367374

List of research outcomes





PublicationDate of PublicationType
Risk budgeting portfolios: existence and computation2024-11-20Paper
Algorithmic market making in dealer markets with hedging and market impact2023-09-28Paper
Size matters for OTC market makers: General results and dimensionality reduction techniques2023-09-27Paper
Computational Methods for Market Making Algorithms2023-09-15Paper
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics2022-04-21Paper
Closed-form Approximations in Multi-asset Market Making2022-03-21Paper
Algorithmic market making for options2021-12-01Paper
Accelerated share repurchase and other buyback programs: what neural networks can bring2020-12-07Paper
Optimal control on finite graphs: asymptotic optimal controls and ergodic constant in the case of entropic costs2020-11-04Paper
Optimal control on graphs: existence, uniqueness, and long-term behavior2020-05-11Paper
Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality2020-02-24Paper
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty2019-08-30Paper
Optimal Real-Time Bidding Strategies2018-09-26Paper
Optimal Execution and Block Trade Pricing: A General Framework2018-09-18Paper
Expected shortfall and optimal hedging payoff2018-05-08Paper
Optimal market making2018-04-06Paper
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT2017-07-21Paper
The financial mathematics of market liquidity. From optimal execution to market making2016-03-07Paper
Existence and uniqueness result for mean field games with congestion effect on graphs2015-10-28Paper
GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION2015-07-15Paper
ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY2015-06-29Paper
VWAP Execution and Guaranteed VWAP2015-01-20Paper
Mean Field Games with a Quadratic Hamiltonian: A Constructive Scheme2014-10-13Paper
Tournament-induced risk-shifting: a mean field games approach2014-08-22Paper
Dealing with the inventory risk: a solution to the market making problem2013-09-13Paper
New numerical methods for mean field games with quadratic costs2013-03-21Paper
Optimal Portfolio Liquidation with Limit Orders2013-01-25Paper
MEAN FIELD GAMES EQUATIONS WITH QUADRATIC HAMILTONIAN: A SPECIFIC APPROACH2012-10-15Paper
From infinity to one: The reduction of some mean field games to a global control problem2011-10-15Paper
Mean Field Games and Applications2010-12-14Paper
A reference case for mean field games models2009-09-29Paper

Research outcomes over time

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