39 citations · 62 across the 18 of their papers we have counts for
4 papers · 1 filter
No-Arbitrage Commodity Option Pricing with Market Manipulation
René Aïd, Giorgia Callegaro, Luciano Campi
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a repre…
Nonzero-sum stochastic differential games between an impulse controller and a stopper
Luciano Campi, Davide De Santis
We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any ti…
-player games and mean-field games with smooth dependence on past absorptions
Luciano Campi, Maddalena Ghio, Giulia Livieri
Mean-field games with absorption is a class of games, that have been introduced in Campi and Fischer (2018) and that can be viewed as natural limits of symmetric stochastic differe…
Optimal market making under partial information with general intensities
Diego Zabaljauregui, Luciano Campi
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. T…