2 papers
q-fin.TR2021
Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
Alexander Barzykin, Philippe Bergault, Olivier Guéant
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (in…
q-fin.TR2018
Closed-form approximations in multi-asset market making
Philippe Bergault, David Evangelista, Olivier Guéant +1
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in thes…