8 citations · 9 across the 9 of their papers we have counts for
6 papers · 1 filter
Signature Methods for Optimal Market Making
Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera
We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the mark…
Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs
Isabel Agostino, Thibaut Mastrolia
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that th…
Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
Thibaut Mastrolia, Haoze Yan
We study an agency problem between a leader (the principal) seeking to design an optimal incentive scheme to a follower (the agent) to increase the value of a risky project subject…
Optimal Impulse Control for Cyber Risk Management
Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compart…
Contract theory in a VUCA world
Nicolás Hernández Santibánez, Thibaut Mastrolia
In this paper we investigate a Principal-Agent problem with moral hazard under Knightian uncertainty. We extend the seminal framework of Holmström and Milgrom by combining a Stacke…
Principal-Agent Problem with Common Agency without Communication
Thibaut Mastrolia, Zhenjie Ren
In this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal…