Optimal market making

DOI10.1080/1350486X.2017.1342552zbMath1398.91520arXiv1605.01862OpenAlexW2387636772MaRDI QIDQ4610210

Olivier Guéant

Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01862

zbMATH Keywords

stochastic optimal controlmarket makingclosed-form approximationsCDX indicesGuéant-Lehalle-Fernandez-Tapia formulas

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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