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The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making by Olivier Gueant

• The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
• Olivier Gueant
• Page: 304
• Format: pdf, ePub, mobi, fb2
• ISBN: 9781498725477
• Publisher: Taylor & Francis

Download The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

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This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, to portfolio management and to option pricing.

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Financial Mathematics of Market Liquidity | Olivier Gueant Book | Pre
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The Financial Mathematics of Market Liquidity. From Optimal Execution to MarketMaking. By Olivier Gueant. Chapman and Hall/CRC – 2016 – 304 pages.
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(2015) Optimal trading of algorithmic orders in a liquidity fragmented market place. Annals of (2014) MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY. SIAM Journal on Financial Mathematics 5:1, 415-444 .
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"Hidden Liquidity: Some New Light on Dark Trading" Journal of Finance 70.5 "Optimal Execution Horizon" Mathematical Finance 25.3 (2015): 640-672. O'Hara, Maureen. "High Frequency Market Microstructure" Journal of Financial Economics "The "Make or Take" Decision in an Electronic Market: Evidence on the 
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Banque de France • Financial Stability Review • No. The excessively optimistic assessment of market liquidity, i.e. the belief that transactions can be settled . ( the bid-ask spread) compensates the market maker “Optimal execution of portfolio transactions”, Journal and trading-enhanced risk”, AppliedMathematical.

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