8 citations · 14 across the 4 of their papers we have counts for
4 papers
Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
Philippe Bergault, Louis Bertucci, David Bouba +1
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Mar…
Dealing with multi-currency inventory risk in FX cash markets
Alexander Barzykin, Philippe Bergault, Olivier Guéant
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To…
Algorithmic market making in dealer markets with hedging and market impact
Alexander Barzykin, Philippe Bergault, Olivier Guéant
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting…
Optimal control on finite graphs: asymptotic optimal controls and ergodic constant in the case of entropic costs
Olivier Guéant
For optimal control problems on finite graphs in continuous time, the dynamic programming principle leads to value functions characterized by systems of nonlinear ordinary differen…