3 papers
math.OC2020
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…
math.NA2019
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…
q-fin.TR2019
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…