181 citations · 548 across the 46 of their papers we have counts for
7 papers · 1 filter
High Frequency Market Making
Rene Carmona, Kevin Webster
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equi…
Probabilistic Analysis of Mean-Field Games
Rene Carmona, Francois Delarue
The purpose of this paper is to provide a complete probabilistic analysis of a large class of stochastic differential games for which the interaction between the players is of mean…
Singular FBSDEs and Scalar Conservation Laws Driven by Diffusion Processes
Rene Carmona, Francois Delarue
Motivated by earlier work on the use of fully-coupled Forward-Backward Stochastic Differential Equations (henceforth FBSDEs) in the analysis of mathematical models for the CO2 emis…
Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
Rene Carmona, Francois Delarue, Gilles-Edouard Espinosa +1
We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models f…
Control of McKean-Vlasov Dynamics versus Mean Field Games
Rene Carmona, Francois Delarue, Aime Lachapelle
We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to th…
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Rene Carmona, Michael Coulon, Daniel Schwarz
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated com…