8 citations · 16 across the 4 of their papers we have counts for
4 papers
Optimal market making under partial information and numerical methods for impulse control games with applications
Diego Zabaljauregui
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to ma…
A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
Diego Zabaljauregui
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other ar…
Optimal market making under partial information with general intensities
Diego Zabaljauregui, Luciano Campi
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. T…
A policy iteration algorithm for nonzero-sum stochastic impulse games
René Aïd, Francisco Bernal, Mohamed Mnif +2
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving s…