222 citations
- Université Paris 1 Panthéon-SorbonneFR50 papers
- Centre National de la Recherche ScientifiqueFR25 papers
- Laboratoire de Statistique Théorique et AppliquéeFR13 papers
- Sorbonne UniversitéFR13 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR10 papers
- Paris School of EconomicsFR9 papers
- Laboratoire de Probabilités, Statistique et ModélisationFR7 papers
- Université Paris CitéFR7 papers
- CEPN - Centre d'Economie de l'Université Paris Nord6 papers
- Cole Engineering Services (United States)US4 papers
- Université Sorbonne Paris NordFR4 papers
- CEPNFR3 papers
Showing 2018Show all
3 papers · 1 filter
q-fin.TR2018
Mid-price estimation for European corporate bonds: a particle filtering approach
Olivier Guéant, Jiang Pu
In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where m…
q-fin.TR2018
Closed-form approximations in multi-asset market making
Philippe Bergault, David Evangelista, Olivier Guéant +1
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in thes…
cs.CG2018★ 10 cited
Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises
Ludovic Cales, Apostolos Chalkis, Ioannis Z. Emiris +1
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and ano…