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q-fin.CP2019
Algorithmic market making for options
Bastien Baldacci, Philippe Bergault, Olivier Guéant
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of…
q-fin.TR2019
Size matters for OTC market makers: general results and dimensionality reduction techniques
Philippe Bergault, Olivier Guéant
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to bu…