218 citations · 219 across the 3 of their papers we have counts for
3 papers
Recipes for hedging exotics with illiquid vanillas
Joaquin Fernandez-Tapia, Olivier Guéant
In this paper, we address the question of the optimal Delta and Vega hedging of a book of exotic options when there are execution costs associated with the trading of vanilla optio…
Optimal Real-Time Bidding Strategies
Joaquin Fernandez-Tapia, Olivier Guéant, Jean-Michel Lasry
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms…
Dealing with the Inventory Risk. A solution to the market making problem
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the b…