DOWNLOADS The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. Olivier Gueant

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ISBN: 9781498725477 | 304 pages | 8 Mb

• The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
• Olivier Gueant
• Page: 304
• Format: pdf, ePub, fb2, mobi
• ISBN: 9781498725477
• Publisher: Taylor & Francis

Download The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

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This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, to portfolio management and to option pricing.

The Princeton Companion to Applied Mathematics - Google Books Result
Nicholas J. Higham - ‎2015 - Mathematics Predatory Trading: a Game on Volatility and Liquidity - Princeton
Characterizing the liquidity of a financial market is a complex task, and so far no victim, can tactically design trading strategies and make a profit from the price movement .. backed by most of the optimal execution literature (9, 1, 2), and is tions of the American Mathematical Society 277 (1983), no. market making and portfolio liquidation under uncertainty
International Journal of Theoretical and Applied Finance: Vol. Department ofMathematics, Uppsala University, S-751 06 Uppsala, Sweden Market making and optimal portfolio liquidation in the context of electronic limit order books are of Keywords: High frequency trading; market making; optimal execution; stochastic  Optimal Portfolio Liquidation with Limit Orders : SIAM Journal on
5--39], or only on the liquidity-consuming orders like Obizhaeva and Wang in [ Optimal Trading Strategy and (2015) Optimal execution with limit and market orders. Quantitative SIAM Journal on Financial Mathematics 6:1, 1123-1151. (2014) MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY. The Financial Mathematics of Market Liquidity: From Optimal
The Financial Mathematics of Market Liquidity: From Optimal Execution to MarketMaking. by: Olivier Gueant. (04 April 2016) Key: citeulike:13922771. Posts

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