8 citations · 26 across the 20 of their papers we have counts for
5 papers · 1 filter
Automated Market Making: the case of Pegged Assets
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currenc…
Simulating and analyzing a sparse order book: an application to intraday electricity markets
Philippe Bergault, Enzo Cognéville
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid…
Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics,…
Market Making in Spot Precious Metals
Alexander Barzykin, Philippe Bergault, Olivier Guéant
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, whi…
Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
Bastien Baldacci, Philippe Bergault, Olivier Guéant
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which freque…