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math.OC2025
Dam Management in the Era of Climate Change
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath +1
Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is cruci…
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…