2 papers
q-fin.TR2021
Liquidity Provision with Adverse Selection and Inventory Costs
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary inf…
math.PR2019
Fine Properties of the Optimal Skorokhod Embedding Problem
Mathias Beiglböck, Marcel Nutz, Florian Stebegg
We study the problem of stopping a Brownian motion at a given distribution while optimizing a reward function that depends on the (possibly randomized) stopping time and the Br…