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math.OC2025
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…
q-fin.TR2025
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…
q-fin.MF2025
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…