1 citations · 1 across the 7 of their papers we have counts for
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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…
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…
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…