38 citations · 44 across the 17 of their papers we have counts for
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q-fin.MF2023
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal
Guillermo Alonso Alvarez, Sergey Nadtochiy
In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was…
q-fin.MF2017
Control-stopping Games for Market Microstructure and Beyond
Roman Gayduk, Sergey Nadtochiy
In this paper, we present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic…