2 citations · 5 across the 5 of their papers we have counts for
6 papers
To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management
Philippe Bergault, Olivier Guéant, Hamza Bodor
This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk…
Automated Market Making: the case of Pegged Assets
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currenc…
Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics,…
Market Making in Spot Precious Metals
Alexander Barzykin, Philippe Bergault, Olivier Guéant
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, whi…
Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
Bastien Baldacci, Philippe Bergault, Olivier Guéant
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which freque…
Asset and Factor Risk Budgeting: A Balanced Approach
Adil Rengim Cetingoz, Olivier Guéant
Portfolio optimization methods have evolved significantly since Markowitz introduced the mean-variance framework in 1952. While the theoretical appeal of this approach is undeniabl…