5 papers
Optimal Execution and Macroscopic Market Making
Ivan Guo, Shijia Jin
We propose a stochastic game modelling the strategic interaction between market makers and traders. From the trader's perspective, the conventional exogenous permanent price impact…
Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Ivan Guo, Severin Nilsson, Johannes Wiesel
We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juill…
Robust Pricing and Hedging of American Options in Continuous Time
Ivan Guo, Jan ObÅój
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model u…
Macroscopic Market Making Games via Multidimensional Decoupling Field
Ivan Guo, Shijia Jin
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent…
Switching to a Green and sustainable finance setting: a mean field game approach
Anna Aksamit, Kaustav Das, Ivan Guo +2
We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultane…