Philippe Bergault

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Simulating and analyzing a sparse order book: an application to intraday electricity markets Quantitative Finance	2025-12-12	Paper
A mean field game between informed traders and a broker SIAM Journal on Financial Mathematics	2025-05-14	Paper
A Mean-Field Game of Market-Making against Strategic Traders SIAM Journal on Financial Mathematics	2023-11-23	Paper
On Bid and Ask Side-Specific Tick Sizes SIAM Journal on Financial Mathematics	2023-11-23	Paper
Mean Field Games in a Stackelberg problem with an informed major player	2023-11-09	Paper
Algorithmic market making in dealer markets with hedging and market impact Mathematical Finance	2023-09-28	Paper
Size matters for OTC market makers: General results and dimensionality reduction techniques Mathematical Finance	2023-09-27	Paper
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics SIAM Journal on Financial Mathematics	2022-04-21	Paper
Closed-form Approximations in Multi-asset Market Making Applied Mathematical Finance	2022-03-21	Paper
Algorithmic market making for options Quantitative Finance	2021-12-01	Paper

Research outcomes over time

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