2 citations · 2 across the 1 of their papers we have counts for
3 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,…