5 citations · 15 across the 11 of their papers we have counts for
4 papers · 1 filter
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…
A convex duality method for optimal liquidation with participation constraints
Olivier Guéant, Jean-Michel Lasry, Jiang Pu
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed.…
Accelerated Share Repurchase: pricing and execution strategy
Olivier Guéant, Jiang Pu, Guillaume Royer
In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter su…
Option pricing and hedging with execution costs and market impact
Olivier Guéant, Jiang Pu
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opp…