1 citations · 1 across the 7 of their papers we have counts for
10 papers
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
Philippe Bergault, Fayçal Drissi, Olivier Guéant
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of lar…
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…
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
Olivier Guéant, Iuliia Manziuk
In corporate bond markets, which are mainly OTC markets, market makers play a central role by providing bid and ask prices for a large number of bonds to asset managers from all ar…
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…
Accelerated Share Repurchase and other buyback programs: what neural networks can bring
Olivier Guéant, Iuliia Manziuk, Jiang Pu
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks…
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…
Optimal control on graphs: existence, uniqueness, and long-term behavior
Olivier Guéant, Iuliia Manziuk
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal cont…
Mid-price estimation for European corporate bonds: a particle filtering approach
Olivier Guéant, Jiang Pu
In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where m…
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…
Mean field games equations with quadratic Hamiltonian: a specific approach
Olivier Guéant
Mean field games models describing the limit of a large class of stochastic differential games, as the number of players goes to , have been introduced by J.-M. Lasry and…