22 citations · 43 across the 21 of their papers we have counts for
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math.OC2024
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…
q-fin.MF2024
Delegated portfolio management with random default
Alberto Gennaro, Thibaut Mastrolia
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Princip…
q-fin.TR2024
Clearing time randomization and transaction fees for auction market design
Thibaut Mastrolia, Tianrui Xu
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper…