6 papers
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
Optimal dividend and capital injection under self-exciting claims
Paulin Aubert, Etienne Chevalier, Vathana Ly Vath
In this paper, we study an optimal dividend and capital-injection problem in a Cramér--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects oft…
Option market making with hedging-induced market impact
Paulin Aubert, Etienne Chevalier, Vathana Ly Vath
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is mode…
Optimal Execution under Liquidity Uncertainty
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath +1
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually d…
Optimal Execution under Incomplete Information
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing…
Uncovering Market Disorder and Liquidity Trends Detection
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity m…