8 citations · 16 across the 4 of their papers we have counts for
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math.NA2019★ 8 cited
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★ 4 cited
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…